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Improving out-of-sample forecasts of stock price indexes with forecast reconciliation and clustering
Mattera, Raffaele; Athanasopoulos, George; Hyndman, Rob J. - 2023
Persistent link: https://www.econbiz.de/10014452575
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Improving out-of-sample forecasts of stock price indexes with forecast reconciliation and clustering
Mattera, Raffaele; Athanasopoulos, George; Hyndman, Rob J. - In: Quantitative finance 24 (2024) 11, pp. 1641-1667
Persistent link: https://www.econbiz.de/10015196952
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Recession propagation in small regional economies : spatial spillovers and endogenous clustering
Shibaev, Sergei S. - 2016
This paper develops a statistical model for measuring spatial interactions when estimating macroeconomic regimes and regime shifts. The model is applied to study the contagion and propagation of recessions in small regional economies in the United States from 1990 to 2015. The empirical analysis...
Persistent link: https://www.econbiz.de/10011567460
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Common stochastic trends in international stock prices and dividends : an example of testing overidentifying restrictions on multiple cointegration vectors
Engsted, Tom - In: Applied financial economics 7 (1997) 6, pp. 659-665
Persistent link: https://www.econbiz.de/10001240790
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Regional economic disparities in Europe : time-series clustering of nuts 3 regions
López-Villuendas, Ana María; Del Campo, Cristina - In: International regional science review : IRSR ; an … 46 (2023) 3, pp. 265-298
Persistent link: https://www.econbiz.de/10014252994
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Post-Malthusian Dynamics in Pre-Industrial Scandinavia
Klemp, Marc P. B. - 2015
unclear if a transitory post-Malthusian period is a general phenomenon. Using data from Denmark, Norway and Sweden, this …
Persistent link: https://www.econbiz.de/10013027912
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The dividend-price ratio does predict dividend growth : international evidence
Engsted, Tom; Pedersen, Thomas Q. - 2009
Persistent link: https://www.econbiz.de/10003865691
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Testing for common deterministic trend slopes
Vogelsang, Timothy J.; Franses, Philip Hans - In: Journal of econometrics 126 (2005) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10002538623
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The Dividend-Price Ratio Does Predict Dividend Growth : International Evidence
Engsted, Tom - 2013
characterize the US stock market. In particular, in Sweden and Denmark dividend growth is strongly predictable by the dividend …
Persistent link: https://www.econbiz.de/10013095717