Better the devil you know: improved forecasts from imperfect models

Cites Work

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Making and Evaluating Point Forecasts
Forecasting the term structure of government bond yields
The Model Confidence Set
Estimation of copula-based semiparametric time series models
Higher order elicitability and Osband's principle
Rolling window selection for out-of-sample forecasting with time-varying parameters
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
Local quasi-likelihood with a parametric guide
Nonparametric vector autoregression
Local polynomial estimators of the volatility function in nonparametric autoregression
Elicitability and backtesting: perspectives for banking regulation
Generalized autoregressive conditional heteroscedasticity
Nonlinear time series. Nonparametric and parametric methods
Dynamic semiparametric models for expected shortfall (and value-at-risk)
Conditional rotation between forecasting models
How should parameter estimation be tailored to the objective?
Theory-coherent forecasting
Optimal forecasts in the presence of structural breaks
Local Likelihood Estimation
Locally Weighted Regression: An Approach to Regression Analysis by Local Fitting
Optimal Properties of Exponentially Weighted Forecasts
Local Maximum Likelihood Estimation and Inference
The asymptotic properties of the maximum-relevance weighted likelihood estimators
Conditional Superior Predictive Ability
Copulas and Temporal Dependence
Tests of Conditional Predictive Ability
Prediction with a Generalized Cost of Error Function
Comparing Possibly Misspecified Forecasts
Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution

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