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Search: subject:"Encompassing test"
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encompassing test
5
Backtesting
4
Forecasting model
4
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Encompassing test
3
Statistical test
3
Statistischer Test
3
Conditional predictive ability
2
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FIGARCH
2
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Air pollution
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Deglobalization
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Derivat
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Diebold-Mariano test
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Gupta, Rangan
3
Segnon, Mawuli
3
Chen, Cathy Yi-Hsuan
2
Lux, Thomas
2
Tu, Anthony H.
2
Borup, Daniel
1
Christensen, Bent Jesper
1
Demirer, Rıza
1
Ergemen, Yunus Emre
1
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1
Lee, Tae-Hwy
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Department of Economics, University of California-Riverside
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ECONIS (ZBW)
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Deglobalization and foreign exchange volatility : the role of supply chain pressures
Segnon, Mawuli
;
Demirer, Rıza
;
Gupta, Rangan
-
2025
Persistent link: https://www.econbiz.de/10015205838
Saved in:
2
Assessing predictive accuracy in panel data models with long-range dependence
Borup, Daniel
;
Christensen, Bent Jesper
;
Ergemen, Yunus Emre
-
2019
Persistent link: https://www.econbiz.de/10011991275
Saved in:
3
What derives the bond portfolio value-at-risk: Information roles of macroeconomic and financial stress factors
Tu, Anthony H.
;
Chen, Cathy Yi-Hsuan
-
2016
This paper first develops a new approach, which is based on the Nelson-Siegel term structure factor-augmented model, to compute the VaR of bond portfolios. We then applied the model to examine whether information contained on macroeconomic variables and financial shocks can help to explain the...
Persistent link: https://www.econbiz.de/10011531882
Saved in:
4
Improving model-based near-term GDP forecasts by subjective forecasts : a real-time exercise for the G7 countries
Jansen, Willem Jos
;
Winter, Jasper de
-
2016
Persistent link: https://www.econbiz.de/10011447795
Saved in:
5
What derives the bond portfolio value-at-risk : information roles of macroeconomic and financial stress factors
Tu, Anthony H.
;
Chen, Cathy Yi-Hsuan
-
2016
This paper first develops a new approach, which is based on the Nelson-Siegel term structure factor-augmented model, to compute the VaR of bond portfolios. We then applied the model to examine whether information contained on macroeconomic variables and financial shocks can help to explain the...
Persistent link: https://www.econbiz.de/10011437907
Saved in:
6
Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-type Volatility Models
Segnon, Mawuli
;
Lux, Thomas
;
Gupta, Rangan
-
2015
This paper applies Markov-switching multifractal (MSM) processes to model and forecast carbon dioxide (CO2) emission price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH) and the two-state Markov-switching GARCH (MS-GARCH)...
Persistent link: https://www.econbiz.de/10011306665
Saved in:
7
Finding SPF Percentiles Closest to Greenbook
Lee, Tae-Hwy
;
Wang, Yiyao
-
Department of Economics, University of California-Riverside
-
2015
introduce the forecast
encompassing
test
for the asymmetric least square regression of conditional expectiles. From the analysis …
Persistent link: https://www.econbiz.de/10011160791
Saved in:
8
Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models
Segnon, Mawuli
;
Lux, Thomas
;
Gupta, Rangan
-
2015
This paper applies Markov-switching multifractal (MSM) processes to model and forecast carbon dioxide (CO2) emission price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH) and the two-state Markov-switching GARCH (MS-GARCH)...
Persistent link: https://www.econbiz.de/10011296114
Saved in:
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