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Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models
Zhou, Xiaocong; Nakajima, Jouchi; West, Mike - In: International journal of forecasting 30 (2014) 4, pp. 963-980
Persistent link: https://www.econbiz.de/10010517774
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Realized volatility forecasting : Robustness to measurement errors
Cipollini, Fabrizio; Gallo, Giampiero M.; Otranto, Edoardo - In: International journal of forecasting 37 (2021) 1, pp. 44-57
Persistent link: https://www.econbiz.de/10012692572
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A survey of recent advances in forecast accuracy comparison testing, with an extension to stochastic dominance
Corradi, Valentina; Swanson, Norman R. - 2013
In recent years, an impressive body or research on predictive accuracy testing and model comparison has been published …
Persistent link: https://www.econbiz.de/10009766717
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The geometric meaning of the notion of joint unpredictability of a bivariate VAR(1) stochastic process
Triacca, Umberto - In: Econometrics : open access journal 1 (2013) 3, pp. 207-216
This paper investigates, in a particular parametric framework, the geometric meaning of joint unpredictability for a bivariate discrete process. In particular, the paper provides a characterization of the joint unpredictability in terms of distance between information sets in an Hilbert space.
Persistent link: https://www.econbiz.de/10010237098
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l 1 - penalized likelihood smoothing of volatility processes allowing for abrupt changes
Neto, David; Sardy, Sylvain; Tseng, Paul - 2009
Persistent link: https://www.econbiz.de/10003926975
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Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models
Langrock, Roland; MacDonald, Iain L.; Zucchini, Walter - In: Journal of empirical finance 19 (2012) 1, pp. 147-161
Persistent link: https://www.econbiz.de/10009615752
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Process parameter prediction via Markov models of sub-activities
Marujo, Lino G.; Qassim, Raad Y. - In: RAIRO / Operations research 48 (2014) 3, pp. 303-324
Persistent link: https://www.econbiz.de/10010530199
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A unified approach to mortality modelling using state-space framework : characterisation, identification, estimation and forecasting
Fung, Man Chung; Peters, Gareth; Shevchenko, Pavel V. - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 2, pp. 343-389
Persistent link: https://www.econbiz.de/10011820669
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High-dimensional DSGE models : pointers on prior, estimation, comparison, and prediction
Chib, Siddhartha; Shin, Minchul; Tan, Fei - 2020
Persistent link: https://www.econbiz.de/10012373015
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Mortality forecasting using a Lexis-based state-space model
Andersson, Patrik; Lindholm, Mathias - In: Annals of actuarial science : publ. by the Institute of … 15 (2021) 3, pp. 519-548
Persistent link: https://www.econbiz.de/10012656701