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Forecasting expected shortfall : should we use a multivariate model for stock market factors?
Fortin, Alain-Philippe; Simonato, Jean-Guy; Dionne, Georges - In: International journal of forecasting 39 (2023) 1, pp. 314-331
Persistent link: https://www.econbiz.de/10014462782
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Evaluating factor forecasts for the UK : the role of asset prices
Zaher, Fadi - In: International journal of forecasting 23 (2007) 4, pp. 679-693
Persistent link: https://www.econbiz.de/10003616095
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Forecasting long memory series subject to structural change : a two-stage approach
Papailias, Fotis; Dias, Gustavo Fruet - In: International journal of forecasting 31 (2015) 4, pp. 1056-1066
Persistent link: https://www.econbiz.de/10011474899
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Density forecast evaluation in unstable environments
González-Rivera, Gloria; Sun, Yingying - In: International journal of forecasting 33 (2017) 2, pp. 416-432
Persistent link: https://www.econbiz.de/10011922146
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How costly is it to ignore breaks when forecasting the direction of a time series?
Pesaran, M. Hashem; Timmermann, Allan - In: International journal of forecasting 20 (2004) 3, pp. 411-425
Persistent link: https://www.econbiz.de/10002169185
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A new structural break model, with an application to Canadian inflation forecasting
Maheu, John M.; Song, Yong - In: International journal of forecasting 30 (2013) 1, pp. 144-160
Persistent link: https://www.econbiz.de/10010246985
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Forecasting return volatility : level shifts with varying jump probability and mean reversion
Xu, Jiawen; Perron, Pierre - In: International journal of forecasting 30 (2014) 3, pp. 449-463
Persistent link: https://www.econbiz.de/10010511565
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Nowcasting unemployment insurance claims in the time of COVID-19
Larson, William; Sinclair, Tara M. - In: International journal of forecasting 38 (2022) 2, pp. 635-647
Persistent link: https://www.econbiz.de/10013348688
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(Structural) VAR models with ignored changes in mean and volatility
Demetrescu, Matei; Salish, Nazarii - In: International journal of forecasting 40 (2024) 2, pp. 840-854
Persistent link: https://www.econbiz.de/10014547211
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Multi-population mortality projection : the augmented common factor model with structural breaks
Wang, Pengjie; Pantelous, Athanasios A.; Vahid, Farshid - In: International journal of forecasting 39 (2023) 1, pp. 450-469
Persistent link: https://www.econbiz.de/10014462791