Our research centers on evaluating economic forecasts, from both theoretical and applied perspectives. Research topics include
- Probabilistic forecasting
- Theory and methods for forecast evaluation
- Macroeconomic survey expectations
Research areas
Publications
↵
| Author/s | Title | Journal | Links |
| Krüger, F., Plett, H. | Prediction Intervals for Economic Fixed-Event Forecasts | Annals of Applied Statistics 18, 2635-2655, 2024. | [paper] [supplement] [code] |
| Krüger, F., Pavlova, L. | Quantifying Subjective Uncertainty in Survey Expectations | International Journal of Forecasting 40, 796-810, 2024 | |
| Bracher, J., Koster, N., Krüger, F., Lerch S. | Learning to Forecast: The Probabilistic Time Series Forecasting Challenge | The American Statistician 78, 115-127, 2024 | [paper] [preprint] [code] |
| Bracher, J., Rüter, L., Krüger, F., Lerch, S., Schienle, M. | Direction Augmentation in the Evaluation of Armed Conflict Predictions | International Interactions 49, 989-1004, 2023 | [paper] [preprint] [code] |
| Reh, L., Krüger, F., Liesenfeld, R. | Predicting the Global Minimum Variance Portfolio | Journal of Business & Economic Statistics 41, 440-452, 2023 | [paper] |
| Grothe, O., Kächele, F., Krüger, F. | From Point Forecasts to Multivariate Probabilistic Forecasts: The Schaake Shuffle for Day-Ahead Electricity Price Forecasting | Energy Economics 120, 106602, 2023 | [paper] [code] |
| Hoffmann, M., Moench, E., Pavlova, L., Schultefrankenfeld, G. | Would Households Understand Average Inflation Targeting? | Journal of Monetary Economics 129, S52-S66, 2022 | [paper] |
| Koster, N., Grothe, O., Rettinger, A. | Signing the Supermask: Keep, Hide, Invert | International Conference on Learning Representations (ICLR) 2022 | [paper] [preprint] [code] |
| Knüppel, M., Krüger, F. | Forecast Uncertainty, Disagreement, and the Linear Pool | Journal of Applied Econometrics 37, 23-41, 2022 | [paper] [preprint] [supplement] |
| Krüger, F., Ziegel, J.F. | Generic Conditions for Forecast Dominance | Journal of Business & Economic Statistics 39, 972-983, 2021 | [paper] [preprint] [supplement and replication] |
| Krüger, F., Lerch, S., Thorarinsdottir, T.L., Gneiting, T. | Predictive Inference based on Markov Chain Monte Carlo Output | International Statistical Review 89, 274-301, 2021 | [paper] [preprint] [replication] |
| Ziegel, J.F., Krüger, F., Jordan, A., Fasciati, F. | Robust Forecast Evaluation of Expected Shortfall | Journal of Financial Econometrics 18, 95-120, 2020 | [paper] |
| Jordan, A., Krüger, F., Lerch, S. | Evaluating Probabilistic Forecasts with scoringRules | Journal of Statistical Software 90, 2019 | [paper] [R package] |
| Ehm, W., Krüger, F. | Forecast Dominance Testing via Sign Randomization | Electronic Journal of Statistics 12, 3758-3793, 2018 | [paper] |
| Krüger, F., Clark, T.E., Ravazzolo, F. | Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts | Journal of Business & Economic Statistics 35, 470-485, 2017 | [paper] |
| Krüger, F. | Survey-based Forecast Distributions for Euro Area Growth and Inflation: Ensembles versus Histograms | Empirical Economics 53, 235-246, 2017 | [paper] |
| Elliott, G., Ghanem, D.A., Krüger, F. | Forecasting Conditional Probabilities of Binary Outcomes under Misspecification | Review of Economics and Statistics 98, 742-755, 2016 | [paper] [replication] |
| Krüger, F., Nolte, I. | Disagreement versus Uncertainty: Evidence from Distribution Forecasts | Journal of Banking and Finance 72, S172-S186, 2016 | [paper] |
| Ehm, W., Gneiting, T., Jordan, A., Krüger, F. | Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Rankings | Journal of the Royal Statistical Society (Series B) 78, 505-562, 2016 | [paper] [R package] |
Working Papers
| Author/s (Year) | Title | Links |
| Koster, N., Krüger, F. (2024) | Simplifying Random Forests' Probabilistic Forecasts | [preprint] |
| Becker, F., Krüger, F., Schienle, M. (2024) | Simple Macroeconomic Forecast Distributions for the G7 Economies | [preprint] [code] |
| Knüppel, M., Krüger, F., Pohle, M.-O. (2023) | Score-based Calibration Testing for Multivariate Forecast Distributions | [preprint] [code] |