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Forecasting volatility using double shrinkage methods

Cheng, Mingmian; Swanson, Norman R.; Yang, Xiye - In: Journal of empirical finance 62 (2021), pp. 46-61

Persistent link: https://www.econbiz.de/10012693319

Cheng, Mingmian; Swanson, Norman R.; Yao, Chun - In: Macroeconomic forecasting in the era of big data : …, (pp. 495-537). 2020

Persistent link: https://www.econbiz.de/10012160017

Uniform Predictive Inference for Factor Models with Instrumental and Idiosyncratic Betas

Cheng, Mingmian; Liao, Yuan; Yang, Xiye - 2021

This paper investigates the effect of characteristic-based time-varying factor beta on the diffusion-index type forecast. Specifically, the factor beta includes two distinct components: the "instrumental beta'' is a function of some observed stable variables, while the "idiosyncratic beta''...

Persistent link: https://www.econbiz.de/10013240929

Uniform predictive inference for factor models with instrumental and idiosyncratic betas

Cheng, Mingmian; Liao, Yuan; Yang, Xiye - In: Journal of econometrics 237 (2023) 2,3, pp. 1-28

Persistent link: https://www.econbiz.de/10014471816

Forecasting using first-available versus fully revised economic time-series data

Swanson, Norman R. (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 1 (1996) 1, pp. 47-64

Persistent link: https://www.econbiz.de/10001769610

Comments on: "A vector error-correction forecasting model of the US economy"

Swanson, Norman R. - In: Journal of macroeconomics 24 (2002) 4, pp. 599-606

Persistent link: https://www.econbiz.de/10001729049

Comments on "Forecasting economic and financial variables with global VARs"

Swanson, Norman R. - In: International journal of forecasting 25 (2009) 4, pp. 697-702

Persistent link: https://www.econbiz.de/10003921327

Essays in forecasting stationary and nonstationary stochastic processes

Swanson, Norman R. - 1994

Persistent link: https://www.econbiz.de/10000916507

A model selection approach to real-time macroeconomic forecasting using linear models and artificial neural networks

Swanson, Norman R. - In: The review of economics and statistics 79 (1997) 4, pp. 540-550

Persistent link: https://www.econbiz.de/10001229897

Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models

Swanson, Norman R. - In: International journal of forecasting 13 (1997) 4, pp. 439-461

Persistent link: https://www.econbiz.de/10001240454