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A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model

Fernandes, Marcelo; Medeiros, Marcelo C.; Veiga, Alvaro - In: Econometric reviews 35 (2016) 5/7, pp. 1221-1250

Persistent link: https://www.econbiz.de/10011591186

A flexible coefficient smooth transition time series model

Medeiros, Marcelo C.; Veiga, Alvaro - 2000

Persistent link: https://www.econbiz.de/10001452808

A flexible coefficient smooth transition time series model

Medeiros, Marcelo C.; Veiga, Alvaro - 2000 - Rev. version

Persistent link: https://www.econbiz.de/10001486613

Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series : a re-examination

Teräsvirta, Timo (contributor); Dijk, Dick van (contributor) - 2004 - [Elektronische Ressource], Rev. November 9, 2004

In this paper we examine the forecast accuracy of linear autoregressive, smooth transition autoregressive (STAR), and neural network (NN) time series models for 47 monthly macroeconomic variables of the G7 economies. Unlike previous studies that typically consider multiple but fixed model...

Persistent link: https://www.econbiz.de/10002127012

Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series : a reexamination

Teräsvirta, Timo (contributor); Dijk, Dick van (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002220582

Modeling and predicting the CBOE market volatility index

Fernandes, Marcelo; Medeiros, Marcelo C.; Scharth, Marcel - In: Journal of banking & finance 40 (2014), pp. 1-10

Persistent link: https://www.econbiz.de/10010402334

A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries

McAleer, Michael (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003460319

Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series : a re-examination

Teräsvirta, Timo; Dijk, Dick van; Medeiros, Marcelo C. - In: International journal of forecasting 21 (2005) 4, pp. 755-774

Persistent link: https://www.econbiz.de/10003150707

Comments on "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series : a re-examination

Novales, Alfonso - In: International journal of forecasting 21 (2005) 4, pp. 775-780

Persistent link: https://www.econbiz.de/10003150708

Reply: [Comments on "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series : a re-examination]

Teräsvirta, Timo; Dijk, Dick van; Medeiros, Marcelo C. - In: International journal of forecasting 21 (2005) 4, pp. 781-783

Persistent link: https://www.econbiz.de/10003150710