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Modelling and forecasting wind speed intensity for weather risk management. (2010). Caporin, Massimiliano ; Pres, Juliusz .
In: Marco Fanno Working Papers.
RePEc:pad:wpaper:0106.

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Cited: 9

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Cites: 13

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Cocites: 50

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  1. Forecasting the intraday market price of money. (2014). Monticini, Andrea ; Ravazzolo, Francesco.
    In: DISCE - Working Papers del Dipartimento di Economia e Finanza.
    RePEc:ctc:serie1:def10.

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  2. Forecasting the intraday market price of money. (2014). Ravazzolo, Francesco ; Monticini, Andrea.
    In: DISCE - Working Papers del Dipartimento di Economia e Finanza.
    RePEc:ctc:serie1:def010.

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  3. Wind Derivatives: Modeling and Pricing. (2013). Zapranis, A. ; Alexandridis, A..
    In: Computational Economics.
    RePEc:kap:compec:v:41:y:2013:i:3:p:299-326.

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  4. Combining predictive densities using Bayesian filtering with applications to US economic data. (2012). van Dijk, Herman ; Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica.
    In: Working Papers.
    RePEc:ven:wpaper:2012_16.

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  5. The power of weather. (2012). Zhou, Chen ; Ravazzolo, Francesco ; Huurman, Christian .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:11:p:3793-3807.

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  6. Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data. (2011). van Dijk, Herman ; Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20110172.

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  7. Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data. (2011). van Dijk, Herman ; Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20110003.

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  8. Forecasting the intraday market price of money. (2011). Ravazzolo, Francesco ; Monticini, Andrea.
    In: Working Paper.
    RePEc:bno:worpap:2011_06.

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  9. Combining predictive densities using Bayesian filtering with applications to US economics data. (2010). van Dijk, Herman ; Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica.
    In: Working Paper.
    RePEc:bno:worpap:2010_29.

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References

References cited by this document

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Cocites

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  1. Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance. (2017). van Dijk, Herman ; Ravazzolo, Francesco ; Grassi, Stefano ; Casarin, Roberto.
    In: Tinbergen Institute Discussion Papers.
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  2. The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling. (2015). Chan, Joshua ; Joshua C. C. Chan, .
    In: CAMA Working Papers.
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  3. Optimal combination of survey forecasts. (2015). Giannone, Domenico ; Conflitti, Cristina ; de Mol, Christine .
    In: International Journal of Forecasting.
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  4. Point and density forecasts for the euro area using Bayesian VARs. (2015). Henzel, Steffen ; Berg, Tim.
    In: International Journal of Forecasting.
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  5. Asymmetric Quantile Persistence and Predictability: the Case of US Inflation. (2015). Zerom, Dawit ; Manzan, Sebastiano .
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  6. Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR. (2015). Huber, Florian ; Feldkircher, Martin ; Dovern, Jonas.
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  7. A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics. (2014). Pettenuzzo, Davide ; Timmermann, Allan G ; Valkanov, Rossen .
    In: CEPR Discussion Papers.
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  8. Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts. (2014). Wang, Mu-Chun ; Demetrescu, Matei.
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  9. Bond returns and market expectations. (2013). Costantini, Riccardo ; Altavilla, Carlo ; Carlo Altavilla , ; Giacomini, Raffaella.
    In: CeMMAP working papers.
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  10. Money Growth and Inflation: evidence from a Markov Switching Bayesian VAR. (2013). amisano, gianni ; Colavecchio, Roberta .
    In: Macroeconomics and Finance Series.
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  11. Assessment of probabilistic forecasts: Proper scoring rules and moments. (2012). Tsyplakov, Alexander.
    In: Applied Econometrics.
    RePEc:ris:apltrx:0181.

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  12. Constructing Optimal Density Forecasts from Point Forecast Combinations. (2012). Lima, Luiz ; Gaglianone, Wagner ; Luiz Renato Regis de Oliveira Lima, .
    In: Série Textos para Discussão (Working Papers).
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  13. Multivariate Rotated ARCH Models. (2012). Sheppard, Kevin ; Shephard, Neil ; Noureldin, Diaa.
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  14. Prior Selection for Vector Autoregressions. (2012). Primiceri, Giorgio ; Lenza, Michele ; Giannone, Domenico.
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  15. Robust Ranking of Multivariate GARCH Models by Problem Dimension. (2012). McAleer, Michael ; Caporin, Massimiliano.
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  16. Common drifting volatility in large Bayesian VARs. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
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  20. Estimating Phillips Curves in Turbulent Times using the ECBs Survey of Professional Forecasters*. (2011). onorante, luca ; Koop, Gary.
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  21. Multivariate High-Frequency-Based Volatility (HEAVY) Models. (2011). Sheppard, Kevin ; Shephard, Neil ; Noureldin, Diaa.
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  22. Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models. (2011). McCabe, Brendan ; Martin, Gael ; Forbes, Catherine ; Brendan P. M. McCabe, ; Ng, Jason .
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  23. Likelihood-based scoring rules for comparing density forecasts in tails. (2011). Diks, Cees ; Panchenko, Valentyn ; van Dijk, Dick.
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  24. The Number of Regimes Across Asset Returns: Identification and Economic Value. (2011). Ielpo, Florian ; Gatumel, Mathieu .
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  25. Scoring rules and survey density forecasts. (2011). Wallis, Kenneth ; Smith, Jeremy ; Boero, Gianna.
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  26. Multivariate semi-nonparametric distributions with dynamic conditional correlations. (2011). Perote, Javier ; Ñíguez Grau, Trino ; DEL BRIO, ESTHER.
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  27. Likelihood-based scoring rules for comparing density forecasts in tails. (2011). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
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  49. Out-of-sample comparison of copula specifications in multivariate density forecasts. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
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  50. Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
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