Evaluation and Combination of Conditional Quantile Forecasts

  title={Evaluation and Combination of Conditional Quantile Forecasts},
  author={Ivana Komunjer},
  • Ivana Komunjer
  • Published 2003
This paper proposes a method for comparing and combining conditional quantile forecasts in an out-of-sample framework. We construct a Conditional Quantile Forecast Encompassing (CQFE) test as a Wald-type test of superior predictive ability. Rejection of CQFE provides a basis for combination of conditional quantile forecasts. Central features of our encompassing test are: (1) the use of the ‘tick’ loss function; (2) a conditional, rather than unconditional approach to out-of-sample evaluation… CONTINUE READING
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