Quantile forecast combination using stochastic dominance

This paper derives optimal forecast combinations based on stochastic dominance efficiency (SDE) analysis with differential forecast weights for different quantiles of forecast error distribution. For the optimal forecast combination, SDE will minimize the cumulative density functions of the levels o...

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Detalles Bibliográficos
Autores principales: Pinar, Mehmet, Stengos, Thanasis, Yazgan, M. Ege
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2017
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6405180/
https://www.ncbi.nlm.nih.gov/pubmed/30930528
http://dx.doi.org/10.1007/s00181-017-1343-1

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6405180/
https://www.ncbi.nlm.nih.gov/pubmed/30930528
http://dx.doi.org/10.1007/s00181-017-1343-1

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