Search Results - subject:"Dynamic Model Selection"

Prediction and allocation of stocks, bonds, and REITs in the US market

Monteiro, Ana Sofia Melo; Sebastião, Helder Miguel … - In: Computational economics 65 (2025) 3, pp. 1191-1230

Persistent link: https://www.econbiz.de/10015590026

Sophisticated and small versus simple and sizeable : when does it pay off to introduce drifting coefficients in Bayesian vector autoregressions?

Feldkircher, Martin; Gruber, Luis; Huber, Florian; … - In: Journal of forecasting 43 (2024) 6, pp. 2126-2145

Persistent link: https://www.econbiz.de/10015110374

Is Bitcoin a relevant predictor of standard & poor's 500?

Muglia, Camilla; Santabarbara, Luca; Grassi, Stefano - In: Journal of risk and financial management : JRFM 12 (2019) 2/93, pp. 1-10

Model Selection (DMS). According to our results, Bitcoin does not show any direct impact on the predictability of Standard … we compare alternative models using a point and density forecast relying on Dynamic Model Averaging (DMA) and Dynamic …

Persistent link: https://www.econbiz.de/10012022045

Does the belt and road initiative resolve the steel overcapacity in China? : evidence from a dynamic model averaging approach

Ni, Zhongxin; Lu, Xing; Xue, Wenjun - In: Empirical economics : a quarterly journal of the … 61 (2021) 1, pp. 279-307

Persistent link: https://www.econbiz.de/10012585907

Is Bitcoin a relevant predictor of standard & poor's 500?

Muglia, Camilla; Santabarbara, Luca; Grassi, Stefano - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10012611105

Forecasting with specification‐switching VARs

Hwang, Youngjin - In: Journal of forecasting 36 (2017) 5, pp. 581-596

Persistent link: https://www.econbiz.de/10011860701

Sophisticated and small versus simple and sizeable : when does it pay off to introduce drifting coefficients

Feldkircher, Martin; Huber, Florian; Kastner, Gregor - 2018

Persistent link: https://www.econbiz.de/10011799559

Forecasting with the standardized self-perturbed Kalman filter

Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo - In: Journal of applied econometrics 32 (2017) 2, pp. 318-341

Persistent link: https://www.econbiz.de/10011689787

Forecasting with the standardized self-perturbed kalman filter

Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo - 2014

Persistent link: https://www.econbiz.de/10010339076

Forecasting spot oil price in a dynamic model averaging framework : Have the determinants changed over time?

Drachal, Krzysztof - In: Energy economics 60 (2016), pp. 35-46

Persistent link: https://www.econbiz.de/10011699775