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Backtesting value‐at‐risk : a generalized Markov test
Pajhede, Thor - In: Journal of forecasting 36 (2017) 5, pp. 597-613
Persistent link: https://www.econbiz.de/10011860704
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Empirical Bayesian density forecasting in Iowa and shrinkage for the Monte Carlo era
Lewis, Kurt F.; Whiteman, Charles H. - In: Journal of forecasting 34 (2015) 1, pp. 15-35
Persistent link: https://www.econbiz.de/10011305372
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Weighted empirical likelihood estimator for vector multiplicative error model
Ding, Hao; Lam, Kai-pui - In: Journal of forecasting 32 (2013) 7, pp. 613-627
Persistent link: https://www.econbiz.de/10010202168
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Estimating and predicting the general random effects model
Kouassi, Eugène; Kamdem, Alain Constant; Mougoué, Mbodja - In: Journal of forecasting 33 (2014) 4, pp. 270-283
Persistent link: https://www.econbiz.de/10010425747
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Forecast combination and Bayesian model averaging : a prior sensitivity analysis
Feldkircher, Martin - In: Journal of forecasting 31 (2012) 4, pp. 361-376
Persistent link: https://www.econbiz.de/10009576368
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A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao; Gerlach, Richard - In: Journal of forecasting 43 (2024) 1, pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
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Modeling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian innovations
Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - In: Journal of forecasting 42 (2023) 2, pp. 347-368
Persistent link: https://www.econbiz.de/10014292181
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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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The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models
Ardia, David; Kolly, Jeremy; Trottier, Denis‐Alexandre - In: Journal of forecasting 36 (2017) 7, pp. 808-823
Persistent link: https://www.econbiz.de/10011860735
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Stochastic multivariate mixture covariance model
So, Mike Ka-pui; Li, Raymond W. M.; Asai, Manabu; Jiang, Yue - In: Journal of forecasting 36 (2017) 2, pp. 139-155
Persistent link: https://www.econbiz.de/10011729126