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Danaher, Peter J.; Dagger, Tracey S.; Smith, Michael S. - In: International journal of forecasting 27 (2011) 4, pp. 1215-1240

Persistent link: https://www.econbiz.de/10009316791

A comparison of periodic autoregressive and dynamic factor models in intraday energy demand forecasting

Mestekemper, Thomas; Kauermann, Göran; Smith, Michael S. - In: International journal of forecasting 29 (2013) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10009706183

Asymmetric forecast densities for U.S. macroeconomic variables from a Gaussian copula model of cross-sectional and serial dependence

Smith, Michael S.; Vahey, Shaun P. - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 416-434

Persistent link: https://www.econbiz.de/10011691656

Asymmetric Forecast Densities for U.S. Macroeconomic Variables from a Gaussian Copula Model of Cross-Sectional and Serial Dependence

Smith, Michael S. - 2015

Most existing reduced-form macroeconomic multivariate time series models employ elliptical disturbances, so that the forecast densities produced are symmetric. In this paper, we use a copula model with asymmetric margins to produce forecast densities with the scope for severe departures from...

Persistent link: https://www.econbiz.de/10013025261

Inversion copulas from nonlinear state space models with an application to inflation forecasting

Smith, Michael S.; Maneesoonthorn, Worapree - In: International journal of forecasting 34 (2018) 3, pp. 389-407

Persistent link: https://www.econbiz.de/10012030987

Real-time macroeconomic forecasting with a heteroscedastic inversion copula

Loiza-Maya, Ruben; Smith, Michael S. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 470-486

Persistent link: https://www.econbiz.de/10012262488

Deep distributional time series models and the probabilistic forecasting of intraday electricity prices

Klein, Nadja; Smith, Michael S.; Nott, David J. - In: Journal of applied econometrics 38 (2023) 4, pp. 493-511

Persistent link: https://www.econbiz.de/10014288014

Comparing naive with econometric market share models when competitors' actions are forecast

Danaher, Peter J. - In: International journal of forecasting 10 (1994) 2, pp. 287-294

Persistent link: https://www.econbiz.de/10001172403

Using a nested logit model to forecast television ratings

Danaher, Peter J.; Dagger, Tracey - In: International journal of forecasting 28 (2012) 3, pp. 607-622

Persistent link: https://www.econbiz.de/10009659899

Bayesian density forecasting of intraday electricity prices using multivariate skew t distributions

Panagiotelis, Anastasios; Smith, Michael - In: International journal of forecasting 24 (2008) 4, pp. 710-727

Persistent link: https://www.econbiz.de/10003808377