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Time-varying NoVaS versus GARCH : point prediction, volatility estimation and prediction intervals
Chen, Jie; Politis, Dimitris N. - In: Journal of time series econometrics 12 (2020) 2, pp. 1-36
Persistent link: https://www.econbiz.de/10012300649
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Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros; Titsias, Michalis K.; Petrova, Katerina - In: Journal of econometrics 232 (2023) 2, pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
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Reservoir computing for macroeconomic forecasting with mixed-frequency data
Ballarin, Giovanni; Dellaportas, Petros; Grigoryeva, … - In: International journal of forecasting 40 (2024) 3, pp. 1206-1237
Persistent link: https://www.econbiz.de/10014547272