Concepedia

Quantile Forecast Evaluation

Quantile Forecast Evaluation is a formal metric within forecast error analysis that assesses the accuracy of quantile forecasts by comparing predicted quantiles to empirical outcomes using specialized loss functions, such as the asymmetric linear loss in the quantile scoring rule, thereby distinguishing it from point or probabilistic forecast evaluation methods.

55

Publications

2.8K

Citations

160

Authors

115

Institutions

Publications per year

2017–2026

30

Parents

Publications

55

Non‐parametric probabilistic forecasts of wind power: required properties and evaluation

Pierre Pinson, Henrik Aa. Nielsen, Jan Kloppenborg Møller et al. · Wind Energy · 2007 · 291 citations

, , +16

Is It Better to Average Probabilities or Quantiles?

Kenneth C. Lichtendahl, Yael Grushka‐Cockayne, Robert L. Winkler · Management Science · 2013 · 164 citations

, , +15

Does oil prices impede Islamic stock indices? Fresh insights from wavelet-based quantile-on-quantile approach

Shekhar Mishra, Arshian Sharif, Sashikanta Khuntia et al. · Resources Policy · 2019 · 149 citations

, , +17

Quantile forecasts of daily exchange rate returns from forecasts of realized volatility

Michael P. Clements, Ana Beatriz Galvão, Jae H. Kim · Journal of Empirical Finance · 2007 · 134 citations

, , +14

Forecasting daily supermarket sales using exponentially weighted quantile regression

James W. Taylor · European Journal of Operational Research · 2006 · 128 citations

, , +14

1–5 of 55

Authors

160

  1. JW
    James W. Taylor

    University of Wisconsin–Madison, United States

    3 publications · 205 citations

    3

    h-index

  2. RL
    Robert L. Winkler

    Duke University, United States

    3 publications · 286 citations

    3

    h-index

  3. GJ
    Georg J. Mayr

    Universität Innsbruck, Austria

    2 publications · 65 citations

    2

    h-index

  4. GK
    Georges Kariniotakis

    Centre Procédés, Energies Renouvelables et Systèmes Energétiques, France

    2 publications · 376 citations

    2

    h-index

  5. PP
    Pierre Pinson

    Technical University of Denmark, Denmark

    2 publications · 301 citations

    2

    h-index

1–5 of 160

Institutions

115

  1. Karlsruhe Institute of Technology

    Karlsruhe, Germany

    3 h-index

    15 publications

    462 citations

  2. Duke University

    Durham, United States

    3 h-index

    3 publications

    286 citations

  3. Heidelberg Institute for Theoretical Studies

    Heidelberg, Germany

    2 h-index

    13 publications

    370 citations

  4. University of Virginia

    Charlottesville, United States

    2 h-index

    4 publications

    412 citations

  5. University of Pretoria

    Pretoria, South Africa

    2 h-index

    2 publications

    27 citations

  6. University of Warwick

    Coventry, United Kingdom

    2 h-index

    2 publications

    164 citations

  7. Helmut Schmidt University

    Hamburg, Germany

    2 h-index

    4 publications

    114 citations

  8. London Business School

    London, United Kingdom

    2 h-index

    2 publications

    80 citations

1–8 of 115

Venues

  1. International Journal of Forecasting

    5 publications · 197 citations

    5

    h-index

  2. 3

    h-index

  3. Resources Policy

    3 publications · 185 citations

    3

    h-index

  4. SSRN Electronic Journal

    Repository · 2 publications · 79 citations

    2

    h-index

  5. Journal of Forecasting

    2 publications · 77 citations

    2

    h-index

1–5