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In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - In: International journal of forecasting 32 (2016) 3, pp. 875-887
Persistent link: https://www.econbiz.de/10011621857
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In-sample confidence bands and out-of-sample forecast bands for time-varying parameters : some comments
Forbes, Catherine Scipione - In: International journal of forecasting 32 (2016) 3, pp. 888-890
Persistent link: https://www.econbiz.de/10011621862
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Comments on "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models"
Perron, Pierre; Xu, Jiawen - In: International journal of forecasting 32 (2016) 3, pp. 891-892
Persistent link: https://www.econbiz.de/10011621864
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Rejoinder to the discussion "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models"
Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - In: International journal of forecasting 32 (2016) 3, pp. 893-894
Persistent link: https://www.econbiz.de/10011621879
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Dynamic factor models with clustered loadings : forecasting education flows using unemployment data
Blasques, Francisco; Hoogerkamp, Meindert Heres; … - In: International journal of forecasting 37 (2021) 4, pp. 1426-1441
Persistent link: https://www.econbiz.de/10013274289
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Nowcasting and forecasting global financial sector stress and credit market dislocation
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - In: International journal of forecasting 30 (2014) 3, pp. 741-758
Persistent link: https://www.econbiz.de/10010515585
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Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
Lucas, André; Zhang, Xin - In: International journal of forecasting 32 (2016) 2, pp. 293-302
Persistent link: https://www.econbiz.de/10011596763
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Observation-driven models for realized variances and overnight returns applied to value-at-risk and expected shortfall forecasting
Opschoor, Anne; Lucas, André - In: International journal of forecasting 37 (2021) 2, pp. 622-633
Persistent link: https://www.econbiz.de/10012792858
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Time-varying variance and skewness in realized volatility measures
Opschoor, Anne; Lucas, André - In: International journal of forecasting 39 (2023) 2, pp. 827-840
Persistent link: https://www.econbiz.de/10014465151
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Discussion of "Forecasting macroeconomic variables using collapsed dynamic factor analysis" by Falk Bräuning and Siem Jan Koopman
Mitchell, James - In: International journal of forecasting 30 (2014) 3, pp. 585-588
Persistent link: https://www.econbiz.de/10010513602