Optimal and robust combination of forecasts via constrained optimization and shrinkage

Francesco Roccazzella, Paolo Gambetti and Frédéric Vrins

No 2020006, LIDAM Discussion Papers LFIN from Université catholique de Louvain, Louvain Finance (LFIN)

Keywords: forecasts combination; robust methods; optimal combination; machine learning (search for similar items in EconPapers)
Date: 2020-01-01
New Economics Papers: this item is included in nep-big and nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://dial.uclouvain.be/pr/boreal/fr/object/bore ... tastream/PDF_03/view (application/pdf)

Related works:
Journal Article: Optimal and robust combination of forecasts via constrained optimization and shrinkage (2022)
Working Paper: Optimal and robust combination of forecasts via constrained optimization and shrinkage (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ajf:louvlf:2020006

Access Statistics for this paper

More papers in LIDAM Discussion Papers LFIN from Université catholique de Louvain, Louvain Finance (LFIN) Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Séverine De Visscher ().