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

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

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

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

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 with specification‐switching VARs

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

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

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

A modification of the self-perturbed Kalman filter of Park and Jun (1992) is proposed for the on-line estimation of models subject to parameter in stability. The perturbation term in the updating equation of the state covariance matrix is weighted by the measurement error variance, thus avoiding...

Persistent link: https://www.econbiz.de/10010402289