Research areas

Formeln

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

Publications

Author/s Title Journal Links
Hoffmann, M., Moench, E., Pavlova, L., Schultefrankenfeld, G. Would Households Understand Average Inflation Targeting? Journal of Monetary Economics, forthcoming [paper]
Reh, L., Krüger, F., Liesenfeld, R. Predicting the Global Minimum Variance Portfolio Journal of Business & Economic Statistics, forthcoming [paper]
Koster, N., Grothe, O., Rettinger, A. Signing the Supermask: Keep, Hide, Invert International Conference on Learning Representations (ICLR) [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 Title Date Links
Krüger, F., Pavlova, L. Quantifying Subjective Uncertainty in Survey Expectations July 2022 [preprint]
[code]
[conference poster]
Grothe, O., Kächele, F., Krüger, F. From Point Forecasts to Multivariate Probabilistic Forecasts: The Schaake Shuffle for Day-Ahead Electricity Price Forecasting April 2022 [preprint]