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THE EFFECT OF SEASONAL ADJUSTM...
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Forecasting model
Theory
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133
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93
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93
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69
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Ghysels, Eric
59
Perron, Pierre
10
Valkanov, Rossen I.
7
Jagannathan, Ravi
6
Andrade, Philippe
5
Andreou, Elena
5
Idier, Julien
5
Santa-Clara, Pedro
5
Striaukas, Jonas
5
Xu, Jiawen
5
Babii, Andrii
4
Marcellino, Massimiliano
4
Ball, Ryan T.
3
Chabot, Benjamin
3
Chabot, Benjamin Remy
3
Gagliardini, Patrick
3
Granger, C. W. J.
3
Horan, Casidhe
3
Mönch, Emanuel
3
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2
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2
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2
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2
Plazzi, Alberto
2
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2
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2
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2
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Journal of econometrics
7
International journal of forecasting
5
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4
Discussion paper / Centre for Economic Policy Research
3
Journal of empirical finance
3
The review of financial studies
3
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3
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2
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2
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1
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1
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1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
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1
FRB of Chicago Working Paper
1
FRB of New York Staff Report
1
Handbook of economic forecasting ; Vol. 1
1
Handbook of economic forecasting ; Volume 2A
1
Handbook of research methods and applications in macroeconomic forecasting
1
Journal of applied econometrics
1
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1
Journal of financial economics
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
National tax journal
1
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1
Swiss Finance Institute Research Paper
1
The journal of finance : the journal of the American Finance Association
1
UNC Kenan-Flagler Research Paper
1
VAR models in macroeconomics - new developments and applications : essays in honor of Christopher A. Sims
1
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1
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ECONIS (ZBW)
69
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1
Tests of return predictability : an analysis of their properties based on a continuous time asymptotic framework
Perron, Pierre
;
Vodounou, Cosmé
- In:
Journal of empirical finance
11
(
2004
)
2
,
pp. 203-230
Persistent link: https://www.econbiz.de/10001981312
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2
Combining long memory and level shifts in modeling and forecasting of persistent time series
Varneskov, Rasmus Tangsgaard
;
Perron, Pierre
-
2011
Persistent link: https://www.econbiz.de/10009228960
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3
Forecasting return volatility : level shifts with varying jump probability and mean reversion
Xu, Jiawen
;
Perron, Pierre
- In:
International journal of forecasting
30
(
2014
)
3
,
pp. 449-463
Persistent link: https://www.econbiz.de/10010511565
Saved in:
4
Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
Varneskov, Rasmus Tangsgaard
;
Perron, Pierre
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 371-393
Persistent link: https://www.econbiz.de/10011906384
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5
Comments on "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models"
Perron, Pierre
;
Xu, Jiawen
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 891-892
Persistent link: https://www.econbiz.de/10011621864
Saved in:
6
Rejoinder to the discussion "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models"
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 893-894
Persistent link: https://www.econbiz.de/10011621879
Saved in:
7
Modelling exchange rate volatility with random level shifts
Li, Ye
;
Perron, Pierre
;
Xu, Jiawen
- In:
Applied economics
49
(
2017
)
26
,
pp. 2579-2589
Persistent link: https://www.econbiz.de/10011819611
Saved in:
8
Testing for changes in forecasting performance
Perron, Pierre
;
Yamamoto, Yohei
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
1
,
pp. 148-165
Persistent link: https://www.econbiz.de/10012424505
Saved in:
9
Testing for changes in forecasting performance
Perron, Pierre
;
Yamamoto, Yohei
-
2018
Persistent link: https://www.econbiz.de/10011962445
Saved in:
10
Forecasting in the presence of in-sample and out-of-sample breaks
Xu, Jiawen
;
Perron, Pierre
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
6
,
pp. 3001-3035
Persistent link: https://www.econbiz.de/10014329022
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