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The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept
Magnus, Jan R. - In: Journal of econometrics 42 (1989) 2, pp. 157-179
Persistent link: https://www.econbiz.de/10001071077
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Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 161 (2011) 2, pp. 304-324
Persistent link: https://www.econbiz.de/10009242123
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Forecasting economic time series using targeted predictors
Bai, Jushan; Ng, Serena - In: Journal of econometrics 146 (2008) 2, pp. 304-317
Persistent link: https://www.econbiz.de/10003782981
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Estimating the variance of a combined forecast : bootstrap-based approach
Hounyo, Ulrich; Lahiri, Kajal - In: Journal of econometrics 232 (2023) 2, pp. 445-468
Persistent link: https://www.econbiz.de/10014340010
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Structural inference in sparse high-dimensional vector autoregressions
Krampe, Jonas; Paparoditis, Efstathios; Trenkler, Carsten - In: Journal of econometrics 234 (2023) 1, pp. 276-300
Persistent link: https://www.econbiz.de/10014364826
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Inference and forecasting for continuous-time integer-valued trawl processes
Bennedsen, Mikkel; Lunde, Asger; Shephard, Neil G.; … - In: Journal of econometrics 236 (2023) 2, pp. 1-21
Persistent link: https://www.econbiz.de/10014365470
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An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
Choi, Hwan-sik; Jeong, Minsoo; Park, Joon Y. - In: Journal of econometrics 178 (2014) 1, pp. 539-557
Persistent link: https://www.econbiz.de/10010256867
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Jump-robust volatility estimation using nearest neighbor truncation
Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - In: Journal of econometrics 169 (2012) 1, pp. 75-93
Persistent link: https://www.econbiz.de/10009666722
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Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
Athanasopoulos, George; Guillén, Osmani Teixeira de … - In: Journal of econometrics 164 (2011) 1, pp. 116-129
Persistent link: https://www.econbiz.de/10009270397
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Likelihood-based scoring rules for comparing density forecasts in tails
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - In: Journal of econometrics 163 (2011) 2, pp. 215-230
Persistent link: https://www.econbiz.de/10009270608