37 citations · 55 across the 3 of their papers we have counts for
3 papers
stat.ME2023
Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach
Massimiliano Caporin, Tommaso Di Fonzo, Daniele Girolimetto
We address the construction of Realized Variance (RV) forecasts by exploiting the hierarchical structure implicit in available decompositions of RV. By using data referred to the D…
stat.ME2023★ 18 cited
Point and probabilistic forecast reconciliation for general linearly constrained multiple time series
Daniele Girolimetto, Tommaso Di Fonzo
Forecast reconciliation is the post-forecasting process aimed to revise a set of incoherent base forecasts into coherent forecasts in line with given data structures. Most of the p…
stat.ME2020★ 37 cited
Cross-temporal forecast reconciliation: Optimal combination method and heuristic alternatives
Tommaso Di Fonzo, Daniele Girolimetto
Forecast reconciliation is a post-forecasting process aimed to improve the quality of the base forecasts for a system of hierarchical/grouped time series (Hyndman et al., 2011). Co…