Construction and Visualization of Confidence Sets for Frequentist Distributional Forecasts

animation: AnRPackage for Creating Animations and Demonstrating Statistical Methods

(2015) Yihui Xie   Journal of Statistical Software

Bootstrap Joint Prediction Regions

(2014) Michael Wolf et al.   JOURNAL OF TIME SERIES ANALYSIS

Probabilistic Forecasting

(2014) Tilmann Gneiting et al.   Annual Review of Statistics and Its Application

Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture

(2013) Mark J. Jensen et al.   JOURNAL OF ECONOMETRICS

Probabilistic forecasts of volatility and its risk premia

(2012) Worapree Maneesoonthorn et al.   JOURNAL OF ECONOMETRICS

Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters

(2011) Alejandro Rodríguez et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS

Efficient probabilistic forecasts for counts

(2011) Brendan P. M. McCabe et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

Do high-frequency measures of volatility improve forecasts of return distributions?

(2010) John M. Maheu et al.   JOURNAL OF ECONOMETRICS

Predictive Model Assessment for Count Data

(2009) Claudia Czado et al.   BIOMETRICS

Bootstrap prediction intervals in state-space models

(2009) Alejandro Rodriguez et al.   JOURNAL OF TIME SERIES ANALYSIS

A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects

(2008) Tim Bollerslev et al.   JOURNAL OF ECONOMETRICS