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Forecasting returns and risk in financial markets using linear and nonlinear models

Clements, Michael P.; Milas, Costas; van Dijk, Dick - In: International Journal of Forecasting 25 (2009) 2, pp. 215-217

Persistent link: https://www.econbiz.de/10005418218

Gunnar, Bardsen, Oyvind, Eitrheim, Eilev S. Jansen, Ragnar Nymoen (Eds.), The Econometrics of Macroeconomic Modelling, Published in the series "Advanced Texts in Econometrics" Oxford University Press, Oxford 2005, 360pp., ISBN: 0-19-924650-5, Paperback, [UK pound]29.99.

Milas, Costas - In: International Journal of Forecasting 22 (2006) 1, pp. 198-199

Persistent link: https://www.econbiz.de/10005429108

Out-of-sample forecasting of unemployment rates with pooled STVECM forecasts

Milas, Costas; Rothman, Philip - In: International Journal of Forecasting 24 (2008) 1, pp. 101-121

In this paper we use smooth transition vector error-correction models (STVECMs) in a simulated out-of-sample forecasting experiment for the unemployment rates of the four non-Euro G-7 countries, the U.S., the U.K., Canada, and Japan. For the U.S., pooled forecasts constructed by taking the...

Persistent link: https://www.econbiz.de/10005418296

Forecasting economic and financial time-series with non-linear models

Clements, Michael P.; Franses, Philip Hans; Swanson, … - In: International Journal of Forecasting 20 (2004) 2, pp. 169-183

Persistent link: https://www.econbiz.de/10005428677

Evaluating multivariate forecast densities: a comparison of two approaches

Clements, Michael P.; Smith, Jeremy - In: International Journal of Forecasting 18 (2002) 3, pp. 397-407

Persistent link: https://www.econbiz.de/10005429396

Bootstrapping prediction intervals for autoregressive models

Clements, Michael P.; Taylor, Nick - In: International Journal of Forecasting 17 (2001) 2, pp. 247-267

Persistent link: https://www.econbiz.de/10005429526

Some possible directions for future research

Clements, Michael P. - In: International Journal of Forecasting 19 (2003) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10005429574

Forecasting economic processes

Clements, Michael P.; Hendry, David F. - In: International Journal of Forecasting 14 (1998) 1, pp. 111-131

Persistent link: https://www.econbiz.de/10005418064

A comparison of tests of nonlinear cointegration with application to the predictability of US interest rates using the term structure

Clements, Michael P.; Galvao, Ana Beatriz - In: International Journal of Forecasting 20 (2004) 2, pp. 219-236

Persistent link: https://www.econbiz.de/10005418127

An empirical study of seasonal unit roots in forecasting

Clements, Michael P.; Hendry, David F. - In: International Journal of Forecasting 13 (1997) 3, pp. 341-355

Persistent link: https://www.econbiz.de/10005418187