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Confidence intervals for diffusion index forecasts and inference for factor-augmented regressions

Bai, Jushan; Ng, Serena - In: Econometrica : journal of the Econometric Society, an … 74 (2006) 4, pp. 1133-1150

Persistent link: https://www.econbiz.de/10003346183

Forecasting economic time series using targeted predictors

Bai, Jushan; Ng, Serena - In: Journal of econometrics 146 (2008) 2, pp. 304-317

Persistent link: https://www.econbiz.de/10003782981

Clustering Huge Number of Financial Time Series : A Panel Data Approach with High-Dimensional Predictors and Factor Structures

Ando, Tomohiro - 2016

This paper introduces a new procedure for clustering a large number of financial time series based on high-dimensional panel data with grouped factor structures. The proposed method attempts to capture the level of similarity of each of the time series based on sensitivity to observable risk...

Persistent link: https://www.econbiz.de/10013004036

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

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

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

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

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

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

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