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Prediction and Signal Extraction of Strong Dependent Processess in the Frequency Domain

Hidalgo, Javier S. - 2008

We frequently observe that one of the aims of time series analysts is to predict future values of the data. For weakly dependent data, when the model is known up to a finite set of parameters, its statistical properties are well documented and exhaustively examined. However, if the model was...

Persistent link: https://www.econbiz.de/10012771044

Term structure modeling and forecasting of government bond yields : does a good in -sample fit imply reasonable out-of-sample forecasts?

Ullah, Wali; Matsuda, Yasumasa; Tsukuda, Yoshihiko - In: Economic papers : a journal of applied economics and policy 32 (2013) 4, pp. 535-560

Persistent link: https://www.econbiz.de/10010259467

Term structure forecasting of government bond yields with latent and macroeconomic factors : do macroeconomic factors imply better out-of-sample forecasts?

Ullah, Wali; Tsukuda, Yoshihiko; Matsuda, Yasumasa - In: Journal of forecasting 32 (2013) 8, pp. 702-723

Persistent link: https://www.econbiz.de/10010344463

Deep learning for multivariate volatility forecasting in high-dimensional financial time series

Iwafuchi, Rei; Matsuda, Yasumasa - 2024

Persistent link: https://www.econbiz.de/10014526627