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An alternative Bayesian approach to structural breaks in time series models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick van - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10011383033
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An Alternative Bayesian Approach to Structural Breaks in Time Series Models
van den Hauwe, Sjoerd; Paap, Richard; van Dijk, Dick J.C. - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10010325904
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Structural compressed panel VAR with stochastic volatility : a robust Bayesian model averaging procedure
Pacifico, Antonio - In: Econometrics : open access journal 10 (2022) 3, pp. 1-24
forecasting accuracy. …
Persistent link: https://www.econbiz.de/10013459503
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The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts
Huurman, Christian; Ravazzolo, Francesco; Zhou, Chen - 2007
wholesale power markets have only recently been deregulated. We introduce the weather factor into well-known forecasting models …
Persistent link: https://www.econbiz.de/10010325407
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The power of weather : some empirical evidence on predicting day-ahead power prices through day-ahead weather forecasts
Huurman, Christian; Ravazzolo, Francesco; Chen Zhou - 2007
wholesale power markets have only recently been deregulated. We introduce the weather factor into well-known forecasting models …
Persistent link: https://www.econbiz.de/10011372511
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Are the crude oil markets really becoming more efficient over time? : some new evidence
Krištoufek, Ladislav - 2018
procedure, which outperforms the original shuffling procedure in the provided forecasting study. …
Persistent link: https://www.econbiz.de/10011809394
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Lasso-type and heuristic strategies in model selection and forecasting
Savin, Ivan; Winker, Peter - 2012
Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to …
Persistent link: https://www.econbiz.de/10010291802
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Modelling and Simulation: An Overview
McAleer, Michael; Chan, Felix; Oxley, Les - 2013
underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …
Persistent link: https://www.econbiz.de/10010326266
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Konjunkturanalysen mit DIWAX
Kooths, Stefan - In: Vierteljahrshefte zur Wirtschaftsforschung 76 (2007) 4, pp. 21-34
DIWAX is an agent-based software package designed to support macroeconomic forecasting based on national accounting …
Persistent link: https://www.econbiz.de/10010377813
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Adaptive trees : a new approach to economic forecasting
Woloszko, Nicolas - 2020
forecasting. Economic forecasting is made difficult by economic complexity, which implies non-linearities (multiple interactions … the algorithm in forecasting GDP growth 3- to 12-months ahead is assessed through simulations in pseudo-real-time for six …
Persistent link: https://www.econbiz.de/10012203223