Forecast rationality tests based on multi-horizon bounds: Comment

Journal of Business and Economic Statistics

Volumn 30, Issue 1, 2012, Pages 30-33

  Hoogerheide, Lennart ^a   Ravazzolo, Francesco ^b   van Dijk, Herman K ^c  

^a VU UNIVERSITY AMSTERDAM   (Netherlands)

^b NORGES BANK   (Norway)

^c ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84857090738     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.2012.634348     Document Type: Note

References (6)

1. Christoffersen, P. F. (1998), "Evaluating Interval Forecasts," International Economic Review, 39 (4), 841-862. [31]
2. Hoogerheide, L. F., Kaashoek, J. F., and Van Dijk, H. K. (2007), "On the Shape of Posterior Densities and Credible Sets in Instrumental Variable Regression ModelsWith Reduced Rank: an Application of Flexible Sampling Methods Using Neural Networks," Journal of Econometrics, 139 (1), 154-180. [33]
3. Hoogerheide, L. F., Opschoor, A., and Van Dijk, H. K. (2011), "A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation," Tinbergen Institute Discussion Paper TI 2011-004/4. [33]
4. Hoogerheide, L. F., and Van Dijk, H. K. (2010), "Bayesian Forecasting of Value atRisk and Expected Shortfall UsingAdaptive Importance Sampling," International Journal of Forecasting, 26 (2), 231-247. [33]
5. Kupiec, P. H. (1995), "Techniques for Verifying the Accuracy of Risk Measurement Models," Journal of Derivatives, 3, 73-84. [31]
6. Patton, A. J., and Timmermann, A. (2011), "Forecast Rationality Tests Based on Multi-Horizon Bounds," Journal of Business & Economic Statistics, 30 (1), 1-17. [30]