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The multistep Beveridge-Nelson decomposition
Proietti, Tommaso - 2009
The Beveridge-Nelson decomposition defines the trend component in terms of the eventual forecast function, as the value the series would take if it were on its long-run path. The paper in-troduces the multistep Beveridge-Nelson decomposition, which arises when the forecast function is obtained...
Persistent link: https://www.econbiz.de/10011523928
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On the selection of common factors for macroeconomic forecasting
Giovannelli, Alessandro; Proietti, Tommaso - In: Dynamic factor models, (pp. 595-630). 2016
Persistent link: https://www.econbiz.de/10011448731
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EuroMInd-C : a disaggregate monthly indicator of economic activity for the Euro area and member countries
Grassi, Stefano; Proietti, Tommaso; Frale, Cecilia; … - In: International journal of forecasting 31 (2015) 3, pp. 712-738
Persistent link: https://www.econbiz.de/10011474534
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Exponential smoothing, long memory and volatility prediction
Proietti, Tommaso - 2015
Persistent link: https://www.econbiz.de/10011387619
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Component-wise representations of long-memory models and volatility prediction
Proietti, Tommaso - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 668-692
Persistent link: https://www.econbiz.de/10011623820
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The multistep Beveridge-Nelson decomposition
Proietti, Tommaso - In: Econometric reviews 35 (2016) 1/4, pp. 373-395
Persistent link: https://www.econbiz.de/10011549941
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Nowcasting monthly GDP with big data : a model averaging approach
Proietti, Tommaso; Giovannelli, Alessandro - 2020
Persistent link: https://www.econbiz.de/10012224870
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On the selection of common factors for macroeconomic forecasting
Giovannelli, Alessandro; Proietti, Tommaso - 2014
Persistent link: https://www.econbiz.de/10010438076
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Comparing seasonal components for structural time series models
Proietti, Tommaso - In: International journal of forecasting 16 (2000) 2, pp. 247-260
Persistent link: https://www.econbiz.de/10001476898
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Forecasting with structural time-series models
Proietti, Tommaso - In: A companion to economic forecasting, (pp. 105-132). 2002
Persistent link: https://www.econbiz.de/10001893020