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Stochastic volatility models with ARMA innovations : an application to G7 inflation forecasts
Zhang, Bo; Chan, Joshua; Cross, Jamie - In: International journal of forecasting 36 (2020) 4, pp. 1318-1328
Persistent link: https://www.econbiz.de/10012546706
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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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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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Should I open to forecast? : implications from a multi-country unobserved components model with sparse factor stochastic volatility
Wu, Ping - In: International journal of forecasting 40 (2024) 3, pp. 903-917
Persistent link: https://www.econbiz.de/10014547224
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Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models
Ng, Jason; Forbes, Catherine Scipione; Martin, Gael M.; … - In: International journal of forecasting 29 (2013) 3, pp. 411-430
Persistent link: https://www.econbiz.de/10009787038
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Nowcasting GDP with a pool of factor models and a fast estimation algorithm
Eraslan, Sercan; Schröder, Maximilian - In: International journal of forecasting 39 (2023) 3, pp. 1460-1476
Persistent link: https://www.econbiz.de/10014465295
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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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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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Forecasting realized variance measures using time-varying coefficient models
Bekierman, Jeremias; Manner, Hans - In: International journal of forecasting 34 (2018) 2, pp. 276-287
Persistent link: https://www.econbiz.de/10012030902
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Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
Gefang, Deborah; Koop, Gary; Poon, Aubrey - In: International journal of forecasting 39 (2023) 1, pp. 346-363
Persistent link: https://www.econbiz.de/10014462786