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Variational Bayes for assessment of dynamic quantile forecasts

Gerlach, Richard; Abeywardana, Sachin - In: International journal of forecasting 32 (2016) 4, pp. 1385-1402

Persistent link: https://www.econbiz.de/10011622172

Bayesian predictive distributions of oil returns using mixed data sampling volatility models

Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran - 2023

Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …

Persistent link: https://www.econbiz.de/10014252427

Finite sample properties of the BDS statistic

Hsieh, David A.; LeBaron, Blake Dean - 1990 - Rev

Persistent link: https://www.econbiz.de/10000848606

On the finite sample size and power of the generallized KPSS test in the presence of level breaks

Sephton, Peter S. - In: Applied economics letters 15 (2008) 10/12, pp. 833-843

Persistent link: https://www.econbiz.de/10003785755

Inference for local distributions at high sampling frequencies : a bootstrap approach

Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 215 (2020) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10012439150

A new approach for detecting shifts in forecast accuracy

Chiu, Ching Wai Jeremy; Hayes, Simon; Kapetanios, George; … - In: International journal of forecasting 35 (2019) 4, pp. 1596-1612

Persistent link: https://www.econbiz.de/10012305469

Comparing Predictive Accuracy in Small Samples Using Fixed-Smoothing Asymptotics

Coroneo, Laura - 2018

We consider fixed-smoothing asymptotics for the Diebold and Mariano (1995) test of predictive accuracy. We show that this approach delivers predictive accuracy tests that are correctly sized even when only a small number of out of sample observations are available. We apply the fixed-smoothing...

Persistent link: https://www.econbiz.de/10012934974

Bayesian analysis of integration at different frequencies in quarterly data

Amisano, Gianni - 1994

Persistent link: https://www.econbiz.de/10000894623

Non-stationarity in Garch models : a Bayesian analysis

Kleibergen, F.; Dijk, H. K. van - 1993

Persistent link: https://www.econbiz.de/10000122423

Nonstationarity in GARCH models : a Bayesian analysis

Kleibergen, Frank; Dijk, Herman K. van - 1993

Persistent link: https://www.econbiz.de/10000122477