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Bibliography

Journal Article

Fan charts in era of big data and learning

Baruník Jozef, Hanus Luboš

: Finance Research Letters vol.61, 105003

: GX19-28231X, GA ČR

: Fan charts, Probabilistic forecasting, Machine learning

: 10.1016/j.frl.2024.105003

: https://www.sciencedirect.com/science/article/pii/S1544612324000333?dgcid=author

: http://library.utia.cas.cz/separaty/2023/E/barunik-0581659.pdf

(eng): We propose how to construct big data-driven macroeconomic fan charts, using machine learning methods to reflect the information in 216 relevant economic variables. Such data-rich fan charts do not rely on restrictive model assumptions and allow the exploration of non-Gaussian, asymmetric, heavy-tailed data and their non-linear interactions. By allowing complex patterns to be learned from a data-rich environment, our fan charts are useful for decision making that depends on the uncertainty of a potentially large number of economic variables — most public policy issues.

: AH

: 50202

2019-01-07 08:39