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Generalized forecast averaging in autoregressions with a near unit root

Kejriwal, Mohitosh; Yu, Xuewen - In: The econometrics journal 24 (2021) 1, pp. 83-102

Persistent link: https://www.econbiz.de/10012504451

Generalized forecast averaging in autoregressions with a near unit root

Kejriwal, Mohitosh; Yu, Xuewen - 2019

Persistent link: https://www.econbiz.de/10012139722

Consumption, aggregate wealth and expected stock returns : an FCVAR approach

Quineche, Ricardo - In: Journal of time series econometrics 13 (2021) 1, pp. 21-42

Persistent link: https://www.econbiz.de/10012437824

Forecasting daily political opinion polls using the fractionally cointegrated VAR model

Nielsen, Morten Ørregaard; Shibaev, Sergei S. - 2015

We examine forecasting performance of the recent fractionally cointegrated vector autoregressive (FCVAR) model. The model is applied to daily polling data of political support in the United Kingdom for 2010 - 2015. We compare with popular competing models and at various forecast horizons. Our...

Persistent link: https://www.econbiz.de/10011279787

Modeling multivariate time series with fractional integration in macroeconomics and finance

Weigand, Roland - 2018

Persistent link: https://www.econbiz.de/10012197752

Consumption, aggregate wealth and expected stock returns : a fractional cointegration approach

Ren, Yu; Xie, Tian - In: Quantitative finance 18 (2018) 12, pp. 2101-2112

Persistent link: https://www.econbiz.de/10012262986

Essays on financial time series with a focus on high-frequency data

Becker, Janis - 2020

Persistent link: https://www.econbiz.de/10012225306

Estimation of a dynamic multi-level factor model with possible long-range dependence

Ergemen, Yunus Emre; Rodríguez-Caballero, Carlos Vladimir - In: International journal of forecasting 39 (2023) 1, pp. 405-430

Persistent link: https://www.econbiz.de/10014462789

Forecasting cointegrated nonstationary time series with time-varying variance

Tu, Yundong; Yi, Yanping - In: Journal of econometrics 196 (2017) 1, pp. 83-98

Persistent link: https://www.econbiz.de/10011743781

Chapter 11 Forecasting with Trending Data

Elliott, Graham - 2006

models as well as examine the effects of erroneously assuming cointegration. It is shown that inconclusive theoretical … imposing cointegration can be more or less useful for different horizons. The problem of forecasting variables with trending …

Persistent link: https://www.econbiz.de/10014023695