Similar Search Results

Nonparametric estimation and forecasting for time-varying coefficient realized volatility models

Chen, Xiangjin B.; Gao, Jiti; Li, Degui; Silvapulle, … - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 88-100

Persistent link: https://www.econbiz.de/10011894402

Measuring nonlinear Granger causality in mean

Song, Xiaojun; Taamouti, Abderrahim - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 321-333

Persistent link: https://www.econbiz.de/10011895015

Rolling window selection for out-of-sample forecasting with time-varying parameters

Inoue, Atsushi; Lu, Jin; Rossi, Barbara - In: Journal of econometrics 196 (2017) 1, pp. 55-67

Persistent link: https://www.econbiz.de/10011743498

Large time-varying parameter VARs : a non-parametric approach

Kapetanios, George; Marcellino, Massimiliano; Venditti, … - 2017

Persistent link: https://www.econbiz.de/10011959996

Time-varying predictability of the long horizon equity premium based on semiparametric regressions

Yu, Deshui; Li, Chen; Li, Luyang - In: Economics letters 224 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014307887

Forecasting tourism demand with a new time-varying forecast averaging approach

Sun, Yuying; Zhang, Jian; Li, Xin; Wang, Shouyang - In: Journal of travel research : a quarterly publication of … 62 (2023) 2, pp. 305-323

Persistent link: https://www.econbiz.de/10014245383

Proposing an innovative real-time monitoring approach for the parameter stability of credit-default prediction model

Liu, Linzi; Lai, Xin; Cai, Xiaofang; Huang, Wei; Miao, … - In: Journal of the Operational Research Society 75 (2024) 11, pp. 2115-2126

Persistent link: https://www.econbiz.de/10015188773

Robust nonparametric estimation and prediction in ARCH-related models

Cron, Axel - 1997

Persistent link: https://www.econbiz.de/10000633843

Mixtures of t-distributions for finance and forecasting

Giacomini, Raffaella; Gottschling, Andreas; Häfke, … - 2007

We explore convenient analytic properties of distributions constructed as mixtures of scaled and shifted t-distributions. A feature that makes this family particularly desirable for econometric applications is that it possesses closed-form expressions for its anti-derivatives (e.g., the...

Persistent link: https://www.econbiz.de/10009735358

Mixtures of t-distributions for finance and forecasting

Giacomini, Raffaella; Gottschling, Andreas; Häfke, … - 2007

Persistent link: https://www.econbiz.de/10003556381