• Higher Moment Constraints for Predictive Density Combinations 

      Pauwels, Laurent; Radchenko, Peter; Vasnev, Andrey
      Published 2019-03-19
      The majority of financial data exhibit asymmetry and heavy tails, which makes forecasting the entire density critically important. Recently, a forecast combina- tion methodology has been developed to combine predictive ...
      Open Access
      Working Paper
    • Higher Moment Constraints for Predictive Density Combinations 

      Pauwels, Laurent; Radchenko, Peter; Vasnev, Andrey
      Published 2020-05-01
      The majority of financial data exhibit asymmetry and heavy tails, which makes forecasting the entire density critically important. Recently, a forecast combination methodology has been developed to combine predictive ...
      Open Access
      Article
    • Too similar to combine? On negative weights in forecast combination 

      Radchenko, Peter; Vasnev, Andrey; Wang, Wendun
      Published 2020-01-01
      This paper provides the first thorough investigation of the negative weights that can emerge when combining forecasts. The usual practice in the literature is to ignore or trim negative weights, i.e., set them to zero. ...
      Open Access
      Working Paper