2 papers
econ.EM2024
Density forecast transformations
Matteo Mogliani, Florens Odendahl
The popular choice of using a forecasting scheme implies that the individual predictions do not contain information on cross-horizon dependence. However, this dependence i…
econ.EM2024
Bayesian Bi-level Sparse Group Regressions for Macroeconomic Density Forecasting
Matteo Mogliani, Anna Simoni
We propose a Machine Learning approach for optimal macroeconomic density forecasting in a high-dimensional setting where the underlying model exhibits a known group structure. Our…