Concepedia

Combining Density Forecasts

Combining Density Forecasts is a statistical framework that integrates multiple probability density forecasts of a target variable into a single, more accurate and robust predictive density by optimally weighting or aggregating the individual densities.

42

Publications

2.2K

Citations

61

Authors

55

Institutions

Publications per year

2017–2026

14

Variants

Density Forecast Combination

Parents

Publications

42

Evaluating, Comparing and Combining Density Forecasts Using the KLIC with an Application to the Bank of England and NIESR ‘Fan’ Charts of Inflation*

James Mitchell, Stephen G. Hall · Oxford Bulletin of Economics and Statistics · 2005 · 217 citations

, , +17

Combining forecast densities from VARs with uncertain instabilities

Anne Sofie Jore, James Mitchell, Shaun P. Vahey · Journal of Applied Econometrics · 2010 · 183 citations

, , +17

Combining forecasts – forty years later

Kenneth F. Wallis · Applied Financial Economics · 2010 · 164 citations

, , +14

Combining Density and Interval Forecasts: A Modest Proposal*

Kenneth F. Wallis · Oxford Bulletin of Economics and Statistics · 2005 · 157 citations

, , +15

Evaluating density forecasts: forecast combinations, model mixtures, calibration and sharpness

James Mitchell, Kenneth F. Wallis · Journal of Applied Econometrics · 2010 · 154 citations

, , +16

1–5 of 42

Authors

61

  1. JM
    James Mitchell

    National Institute of Economic and Social Research, United Kingdom

    11 publications · 765 citations

    10

    h-index

  2. FR
    Francesco Ravazzolo

    BI Norwegian Business School, Norway

    8 publications · 338 citations

    8

    h-index

  3. SP
    Shaun P. Vahey

    Norges Bank

    5 publications · 305 citations

    5

    h-index

  4. TE
    Todd E. Clark

    Federal Reserve Bank of Cleveland, United States

    4 publications · 200 citations

    4

    h-index

  5. AS
    Anne Sofie Jore

    Norges Bank

    3 publications · 354 citations

    3

    h-index

1–5 of 61

Institutions

55

  1. BI Norwegian Business School

    Oslo, Norway

    9 h-index

    10 publications

    386 citations

  2. Norges Bank

    Oslo, Norway

    7 h-index

    14 publications

    1.2K citations

  3. National Institute of Economic and Social Research

    London, United Kingdom

    7 h-index

    8 publications

    866 citations

  4. University of Warwick

    Coventry, United Kingdom

    6 h-index

    6 publications

    585 citations

  5. Free University of Bozen-Bolzano

    Bolzano, Italy

    5 h-index

    5 publications

    105 citations

  6. Federal Reserve Bank of Cleveland

    Cleveland, United States

    5 h-index

    5 publications

    219 citations

  7. Tinbergen Institute

    Rotterdam, The Netherlands

    4 h-index

    6 publications

    197 citations

  8. Queen Mary University of London

    London, United Kingdom

    4 h-index

    4 publications

    249 citations

1–8 of 55

Venues

  1. SSRN Electronic Journal

    Repository · 12 publications · 263 citations

    12

    h-index

  2. Journal of Applied Econometrics

    4 publications · 410 citations

    4

    h-index

  3. Oxford Bulletin of Economics and Statistics

    3 publications · 412 citations

    3

    h-index

  4. RePEc: Research Papers in Economics

    Repository · 3 publications · 54 citations

    3

    h-index

  5. Journal of Business and Economic Statistics

    JBES · 2 publications · 185 citations

    2

    h-index

1–5