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Exact moments of the sample autocorrelations from series generated by general ARIMA processes of order (p, d, q), d=0 OR 1
Gooijer, Jan G. de - In: Journal of econometrics 14 (1980) 3, pp. 365-379
Persistent link: https://www.econbiz.de/10002465898
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Nonlinear stochastic inflation modelling using SEASETARs
De Gooijer, Jan G.; Vidiella-i-Anguera, Antoni - In: Insurance / Mathematics & economics 32 (2003) 1, pp. 3-18
Persistent link: https://www.econbiz.de/10006891306
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On Conditional Density Estimation
De Gooijer, Jan G.; Zerom, Dawit - In: Statistica Neerlandica : journal of the Netherlands … 57 (2003) 2, pp. 159-176
Persistent link: https://www.econbiz.de/10006435083
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25 years of time series forecasting
De Gooijer, Jan G.; Hyndman, Rob J. - In: International journal of forecasting 22 (2006) 3, pp. 443-474
Persistent link: https://www.econbiz.de/10007286091
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Forecasting threshold cointegrated systems
De Gooijer, Jan G.; Vidiella-i-Anguera, Antoni - In: International journal of forecasting 20 (2004) 2, pp. 237-254
Persistent link: https://www.econbiz.de/10006964442
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Introduction to forecasting decisions in conflict situations
De Gooijer, Jan G. - In: International journal of forecasting 18 (2002) 3, pp. 319-320
Persistent link: https://www.econbiz.de/10006973611
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Introduction to nonlinearities, business cycles, and forecasting
García-Ferrer, Antonio; De Gooijer, Jan G.; Poncela, Pilar - In: International journal of forecasting 21 (2005) 4, pp. 623-626
Persistent link: https://www.econbiz.de/10007779280
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Editorial Announcement
De Gooijer, Jan G. - In: International journal of forecasting 20 (2004) 4, pp. 523-524
Persistent link: https://www.econbiz.de/10006961500
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Asymmetries in Conditional Mean and Variance : Modelling Stock Returns by Asma-Asqgarch
Brannas, Kurt - 2000
The asymmetric moving average model (asMA) is extended to allow for asymmetric quadratic conditional heteroskedasticity (asQGARCH). The asymmetric parametrization of the conditional variance encompasses the quadratic GARCH model of Sentana (1995). We introduce a framework for testing asymmetries...
Persistent link: https://www.econbiz.de/10012743165
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Power of the Neyman Smooth Test for Evaluating Multivariate Forecast Densities
Gooijer, Jan G. De - In: Journal of Applied Statistics 34 (2007) 4, pp. 371-381
We compare and investigate Neyman's smooth test, its components, and the Kolmogorov-Smirnov (KS) goodness-of-fit test for testing the uniformity of multivariate forecast densities. Simulations indicate that the KS test lacks power when the forecast distributions are misspecified, especially for...
Persistent link: https://www.econbiz.de/10005495284