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Semiparametric GARCH via Bayesian model averaging

Chen, Wilson Ye; Gerlach, Richard H. - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 437-452

Persistent link: https://www.econbiz.de/10012499090

GEFCom2012 : electric load forecasting and backcasting with semi-parametric models

Nedellec, Raphael; Cugliari, Jairo; Goude, Yannig - In: International journal of forecasting 30 (2014) 2, pp. 375-381

Persistent link: https://www.econbiz.de/10010510898

Multiple time series forecasting using quasi-randomized functional link neural networks

Moudiki, Thierry; Planchet, Frédéric; Cousin, Areski - In: Risks : open access journal 6 (2018) 1, pp. 1-20

We are interested in obtaining forecasts for multiple time series, by taking into account the potential nonlinear relationships between their observations. For this purpose, we use a specific type of regression model on an augmented dataset of lagged time series. Our model is inspired by dynamic...

Persistent link: https://www.econbiz.de/10011811615

Dynamic principal component regression : application to age-specific mortality forecasting

Shang, Han Lin - In: Astin bulletin : the journal of the International … 49 (2019) 3, pp. 619-645

Persistent link: https://www.econbiz.de/10012116374

Inferring causal interactions in financial markets using conditional Granger causality based on quantile regression

Cheng, Hong; Wang, Yunqing; Wang, Yihong; Yang, Tinggan - In: Computational economics 59 (2022) 2, pp. 719-748

Persistent link: https://www.econbiz.de/10013169042

Estimating structural parameters in regression models with adaptive learning

Christopeit, Norbert; Massmann, Michael - 2015

This paper examines the ordinary least squares (OLS) estimator of the structural parameters in a class of stylised macroeconomic models in which agents are boundedly rational and use an adaptive learning rule to form expectations of the endogenous variable. The popularity of this type of model...

Persistent link: https://www.econbiz.de/10011333062

The distribution of rolling regression estimators

Cai, Zongwu; Juhl, Ted - 2020

Persistent link: https://www.econbiz.de/10012312838

Investor sentiment and bitcoin prices

Koutmos, Dimitrios - In: Review of quantitative finance and accounting 60 (2023) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10013548963

Fast algorithms for the quantile regression process

Chernozhukov, Victor; Fernández-Val, Iván; Melly, Blaise - In: Empirical economics : a quarterly journal of the … 62 (2022) 1, pp. 7-33

Persistent link: https://www.econbiz.de/10012819429

Testing for a general class of functional inequalities

Lee, Sokbae; Song, Kyungchul; Whang, Yoon-jae - 2014

functionals of kernel-type estimators (1 < p < ∞) and is easy to implement in general, mainly due to its recourse to the bootstrap … method. The bootstrap procedure is based on nonparametric bootstrap applied to kernel-based test statistics, with estimated … "contact sets". We provide regularity conditions under which the bootstrap test is asymptotically valid uniformly over a large …

Persistent link: https://www.econbiz.de/10010254852

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