Search Results - subject:"nonlinear time series"

News shocks: Different effects in boom and recession?

Bolboaca, Maria; Fischer, Sarah - 2019

This paper investigates the nonlinearity in the effects of news shocks about technological innovations. In a maximally flexible logistic smooth transition vector autoregressive model, state-dependent effects of news shocks are identified based on medium-run restrictions. We propose a novel...

Persistent link: https://www.econbiz.de/10012271926

Interpreting the skill score form of forecast performance metrics

Wheatcroft, Edward - In: International journal of forecasting 35 (2019) 2, pp. 573-579

Persistent link: https://www.econbiz.de/10012300701

Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model

He, Changli; Kang, Jian; Teräsvirta, Timo; Zhang, Shuhua - 2019

Persistent link: https://www.econbiz.de/10012316892

Permutation entropy and information recovery in nonlinear dynamic economic time series

Henry, Miguel; Judge, George G. - In: Econometrics : open access journal 7 (2019) 1/10, pp. 1-16

The focus of this paper is an information theoretic-symbolic logic approach to extract information from complex economic systems and unlock its dynamic content. Permutation Entropy (PE) is used to capture the permutation patterns-ordinal relations among the individual values of a given time...

Persistent link: https://www.econbiz.de/10012025643

News shocks : different effects in boom and recession?

Bolboaca, Maria; Fischer, Sarah - 2019 - This version: February, 2019

Persistent link: https://www.econbiz.de/10011967392

Robust forecasting of electricity prices : simulations, models and the impact of renewable sources

Grossi, Luigi; Nan, Fany - In: Technological forecasting & social change : an … 141 (2019), pp. 305-318

Persistent link: https://www.econbiz.de/10012133107

Examination of the predictability of BDI and VIX : a threshold approach

Bildirici, Melike; Ersin, Özgür Ömer; Onat, Işil Şahin - In: International journal of transport economics : IJTE 46 (2019) 3, pp. 9-28

Persistent link: https://www.econbiz.de/10012136039

Inversion copulas from nonlinear state space models with an application to inflation forecasting

Smith, Michael S.; Maneesoonthorn, Worapree - In: International journal of forecasting 34 (2018) 3, pp. 389-407

Persistent link: https://www.econbiz.de/10012030987

Forecasting dynamically asymmetric fluctuations of the U.S. business cycle

Zanetti Chini, Emilio - In: International journal of forecasting 34 (2018) 4, pp. 711-732

Persistent link: https://www.econbiz.de/10012031089

Copula-based nonlinear modeling of the law of one price for lumber products

Goodwin, Barry K.; Holt, Matthew T.; Onel, Gulcan; … - In: Empirical economics : a journal of the Institute for … 54 (2018) 3, pp. 1237-1265

Persistent link: https://www.econbiz.de/10011949514