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Solving the Forecast Combination Puzzle
In addition, we demonstrate that the low power of such predictive accuracy tests in the forecast combination setting can be completely avoided if more efficient estimation strategies are used in the production of the combinations, when feasible.
Optimal probabilistic forecasts for risk management
This paper explores the implications of producing forecast distributions that are optimized according to scoring rules that are relevant to financial risk management.
Bayesian Forecasting in Economics and Finance: A Modern Review
The Bayesian statistical paradigm provides a principled and coherent approach to probabilistic forecasting.
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