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Some recent developments in predictive accuracy testing with nested models and (genetic) nonlinear alternatives
Corradi, Valentina; Swanson, Norman R. - In: International journal of forecasting 20 (2004) 2, pp. 185-199
Persistent link: https://www.econbiz.de/10002033313
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Testing the value of directional forecasts in the presence of serial correlation
Blaskowitz, Oliver Jim; Herwartz, Helmut - In: International journal of forecasting 30 (2013) 1, pp. 30-42
Persistent link: https://www.econbiz.de/10010243646
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Testing out-of-sample portfolio performance
Kazak, Ekaterina; Pohlmeier, Winfried - In: International journal of forecasting 35 (2019) 2, pp. 540-554
Persistent link: https://www.econbiz.de/10012300697
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A False Discovery Rate approach to optimal volatility forecasting model selection
Hassanniakalager, Arman; Baker, Paul L.; Platanakis, … - In: International journal of forecasting 40 (2024) 3, pp. 881-902
Persistent link: https://www.econbiz.de/10014547223
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Bootstrapping prediction intervals for autoregressive models
Clements, Michael P.; Taylor, Nicholas - In: International journal of forecasting 17 (2001) 2, pp. 247-267
Persistent link: https://www.econbiz.de/10001575596
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Effects of parameter estimation on prediction densities : a bootstrap approach
Pascual, Lorenzo; Romo, Juan; Ruiz, Esther - In: International journal of forecasting 17 (2001) 1, pp. 83-103
Persistent link: https://www.econbiz.de/10001549777
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Forecast evaluation with shared data sets
Sullivan, Ryan; Timmermann, Allan; White, Halbert - In: International journal of forecasting 19 (2003) 2, pp. 217-227
Persistent link: https://www.econbiz.de/10001764884
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Forecasting autoregressive time series with bias-corrected parameter estimators
Kim, Jae H. - In: International journal of forecasting 19 (2003) 3, pp. 493-502
Persistent link: https://www.econbiz.de/10001793034
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Bootstrap prediction intervals for power-transformed time series
Pascual, Lorenzo; Romo, Juan; Ruiz, Esther - In: International journal of forecasting 21 (2005) 2, pp. 219-235
Persistent link: https://www.econbiz.de/10002687759
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Bootstrap prediction intervals for ARCH models
Reeves, Jonathan J. - In: International journal of forecasting 21 (2005) 2, pp. 237-248
Persistent link: https://www.econbiz.de/10002687767