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Macroeconomic forecasting and structural analysis through regularized reduced-rank regression
Bernardini, Emmanuela; Cubadda, Gianluca - In: International journal of forecasting 31 (2015) 3, pp. 682-691
Persistent link: https://www.econbiz.de/10011474523
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Selecting volatility forecasting models for portfolio allocation purposes
Becker, Ralf; Clements, Adam; Doolan, M. B.; Hurn, Stan - In: International journal of forecasting 31 (2015) 3, pp. 849-861
Persistent link: https://www.econbiz.de/10011474597
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EXSSA : SSA-based reconstruction of time series via exponential smoothing of covariance eigenvalues
Papailias, Fotis; Thomakos, Dimitrios D. - In: International journal of forecasting 33 (2017) 1, pp. 214-229
Persistent link: https://www.econbiz.de/10011754701
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A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo; Buccheri, Giuseppe; Corsi, Fulvio - In: International journal of forecasting 37 (2021) 2, pp. 569-586
Persistent link: https://www.econbiz.de/10012792854
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Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces
Shang, Han Lin; Kearney, Fearghal - In: International journal of forecasting 38 (2022) 3, pp. 1025-1049
Persistent link: https://www.econbiz.de/10013349639
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DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc; Xu, Yongdeng - In: International journal of forecasting 39 (2023) 2, pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
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Spurious relationships in high-dimensional systems with strong or mild persistence
Gonzalo, Jesús; Pitarakis, Jean-Yves - In: International journal of forecasting 37 (2021) 4, pp. 1480-1497
Persistent link: https://www.econbiz.de/10013274296
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Outlier-robust methods for forecasting realized covariance matrices
Li, Dan; Drovandi, Christopher; Clements, Adam - In: International journal of forecasting 40 (2024) 1, pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
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Measuring output gap nowcast uncertainty
Garratt, Anthony; Mitchell, James; Vahey, Shaun P. - In: International journal of forecasting 30 (2014) 2, pp. 268-279
Persistent link: https://www.econbiz.de/10010510911
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Multivariate semi-nonparametric distributions with dynamic conditional correlations
Brio, Esther B. del; Ñíguez, Trino-Manuel; Perote, Javier - In: International journal of forecasting 27 (2011) 2, pp. 347-364
Persistent link: https://www.econbiz.de/10009247498