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Forecast accuracy of the linear and nonlinear autoregressive models in macroeconomic modeling
Taiebnia, Ali; Mohammadi, Shapour - In: Journal of forecasting 42 (2023) 8, pp. 2045-2062
Persistent link: https://www.econbiz.de/10014432847
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A robust test for threshold-type nonlinearity in multivariate time series analysis
Chan, Wai-Sum; Cheung, Siu-hung; Chow, Wai Kit; Zhang, … - In: Journal of forecasting 34 (2015) 6, pp. 441-454
Persistent link: https://www.econbiz.de/10011342703
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Forecasting the daily time‐varying beta of European banks during the crisis period : comparison between GARCH models and the Kalman filter
Zhang, Yuanyuan; Choudhry, Taufiq - In: Journal of forecasting 36 (2017) 8, pp. 956-973
Persistent link: https://www.econbiz.de/10011860929
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Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra
Koopman, Siem Jan; Wong, Soon Yip - In: Journal of forecasting 30 (2011) 1, pp. 147-167
Persistent link: https://www.econbiz.de/10009233911
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A nonparametric method for asymmetrically extending signal extraction filters
McElroy, Tucker - In: Journal of forecasting 30 (2011) 7, pp. 597-621
Persistent link: https://www.econbiz.de/10009380004
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Hierarchical shrinkage in time-varying parameter models
Belmonte, Miguel A. G.; Koop, Gary; Korobilis, Dimitris - In: Journal of forecasting 33 (2014) 1, pp. 80-94
Persistent link: https://www.econbiz.de/10010424876
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Monthly employment indicators of the euro area and larger member states : real-time analysis of indirect estimates
Moauro, Filippo - In: Journal of forecasting 33 (2014) 5, pp. 339-349
Persistent link: https://www.econbiz.de/10010425640
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Affine term structure model with macroeconomic factors : do no-arbitrage restriction and macroeconomic factors imply better out-of-sample forecasts?
Ullah, Wali - In: Journal of forecasting 35 (2016) 4, pp. 329-346
Persistent link: https://www.econbiz.de/10011580766
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Forecasting intraday financial time series with sieve bootstrapping and dynamic updating
Shang, Han Lin; Ji, Kaiying - In: Journal of forecasting 42 (2023) 8, pp. 1973-1988
Persistent link: https://www.econbiz.de/10014432826
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Forecast evaluation of DSGE models : linear and nonlinear likelihood
Chin, Kuo-Hsuan - In: Journal of forecasting 41 (2022) 6, pp. 1099-1130
Persistent link: https://www.econbiz.de/10013465683