Papers

Publications

Generic Conditions for Forecast Dominance (with Johanna F. Ziegel). Journal of Business & Economic Statistics, forthcoming.

Robust Forecast Evaluation of Expected Shortfall (with Johanna F. Ziegel, Alexander Jordan and Fernando Fasciati). Journal of Financial Econometrics, 18, 95-120, 2020.

Evaluating Probabilistic Forecasts with scoringRules (with Alexander Jordan and Sebastian Lerch). Journal of Statistical Software, 90, 2019. R package

Forecast Dominance Testing via Sign Randomization (with Werner Ehm). Electronic Journal of Statistics, 12, 3758-3793, 2018.

Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts (with Todd E. Clark and Francesco Ravazzolo). Journal of Business & Economic Statistics, 35, 470-485, 2017. Data and programs, R package (source file)

Survey-based Forecast Distributions for Euro Area Growth and Inflation: Ensembles versus Histograms. Empirical Economics, 53, 235-246, 2017.

Disagreement versus Uncertainty: Evidence from Distribution Forecasts (with Ingmar Nolte). Journal of Banking & Finance, 72, S172-S186, 2016. Working paper version, data and programs

Forecasting Conditional Probabilities of Binary Outcomes under Misspecification (with Graham Elliott and Dalia Ghanem). Review of Economics and Statistics, 98, 742-755, 2016. Programs

Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Rankings (with Werner Ehm, Tilmann Gneiting and Alexander Jordan). Journal of the Royal Statistical Society (Series B), 78, 505-562, 2016. Data and programs

Working Papers

Dynamic Modeling of the Global Minimum Variance Portfolio (with Laura Reh and Roman Liesenfeld; October 2019)

Forecast Uncertainty, Disagreement, and the Linear Pool (with Malte Knüppel; July 2019)

Quantifying Subjective Uncertainty in Survey Expectations (with Lora Pavlova; May 2019)

Predictive Inference Based on Markov Chain Monte Carlo Output (with Sebastian Lerch, Thordis L. Thorarinsdottir and Tilmann Gneiting; latest version: January 2020)

Combining Density Forecasts under various Scoring Rules: An Analysis of UK Inflation (latest version: September 2015)

Other Writings

Prognosen auf dem Prüfstand. Popular science-type summary article on probabilistic macro forecasting. Published in Forschungsmagazin Ruperto Carola, 11, 2017 (in German; non-refereed).