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Probabilistic forecasting of bubbles and flash crashes
Banerjee, Anurag Narayan; Chewillon, Guillaume; Kratz, Marie - In: The econometrics journal 23 (2020) 2, pp. 297-315
Persistent link: https://www.econbiz.de/10012236246
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Inferring the predictability induced by a persistent regressor in a predictive threshold model
Gonzalo, Jesús; Pitarakis, Jean-Yves - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 202-217
Persistent link: https://www.econbiz.de/10011704166
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Uncovering regimes in out of sample forecast errors
Silva, Anibal Emiliano da; Gonzalo, Jesús; Pitarakis, … - 2018
Persistent link: https://www.econbiz.de/10011945978
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Uncovering regimes in out of sample forecast errors from predictive regressions
Silva Neto, Aníbal Emiliano da; Gonzalo, Jesús; … - 2020
Persistent link: https://www.econbiz.de/10012501495
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Out of sample predictability in predictive regressions with many predictor candidates
Gonzalo, Jesús; Pitarakis, Jean-Yves - 2020
Persistent link: https://www.econbiz.de/10012501524
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Out-of-sample predictability in predictive regressions with many predictor candidates
Gonzalo, Jesús; Pitarakis, Jean-Yves - In: International journal of forecasting 40 (2024) 3, pp. 1166-1178
Persistent link: https://www.econbiz.de/10014547266