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Combining density forecasts using focused scoring rules (replication data)
We investigate the added value of combining density forecasts focused on a specific region of support. We develop forecast combination schemes that assign weights to individual... -
Efficient estimation of Bayesian VARMAs with timeâvarying coefficients (repli...
Empirical work in macroeconometrics has been mostly restricted to using vector autoregressions (VARs), even though there are strong theoretical reasons to consider general... -
State Prices of Conditional Quantiles: New Evidence on Time Variation in the ...
We develop a set of statistics to represent the option-implied stochastic discount factor and we apply them to S&P 500 returns between 1990 and 2012. Our statistics, which... -
How to Identify and Forecast Bull and Bear Markets? (replication data)
Because the state of the equity market is latent, several methods have been proposed to identify past and current states of the market and forecast future ones. These methods...
