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06/05/2023
Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach
We address the construction of Realized Variance (RV) forecasts by explo...
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05/09/2023
Point and probabilistic forecast reconciliation for general linearly constrained multiple time series
Forecast reconciliation is the post-forecasting process aimed to revise ...
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03/30/2023
Cross-temporal Probabilistic Forecast Reconciliation
Forecast reconciliation is a post-forecasting process that involves tran...
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09/15/2022
Enhancements in cross-temporal forecast reconciliation, with an application to solar irradiance forecasts
In recent works by Yang et al. (2017a,b), and Yagli et al. (2019), geogr...
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06/10/2021
Forecast combination based forecast reconciliation: insights and extensions
In a recent paper, while elucidating the links between forecast combinat...
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06/15/2020
Cross-temporal forecast reconciliation: Optimal combination method and heuristic alternatives
Forecast reconciliation is a post-forecasting process aimed to improve t...
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04/08/2020