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Optimal model averaging based on forward-validation
Zhang, Xiaomeng; Zhang, Xinyu - In: Journal of econometrics 237 (2023) 2,3, pp. 1-20
Persistent link: https://www.econbiz.de/10014471810
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On the aggregation of probability assessments : regularized mixtures of predictive densities for Eurozone inflation and real interest rates
Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - In: Journal of econometrics 237 (2023) 2,3, pp. 1-25
Persistent link: https://www.econbiz.de/10014471814
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Uniform predictive inference for factor models with instrumental and idiosyncratic betas
Cheng, Mingmian; Liao, Yuan; Yang, Xiye - In: Journal of econometrics 237 (2023) 2,3, pp. 1-28
Persistent link: https://www.econbiz.de/10014471816
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A flexible predictive density combination for large financial data sets in regular and crisis periods
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - In: Journal of econometrics 237 (2023) 2,3, pp. 1-12
Persistent link: https://www.econbiz.de/10014471818
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Dynamic factor copula models with estimated cluster assignments
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of econometrics 237 (2023) 2,3, pp. 1-23
Persistent link: https://www.econbiz.de/10014471820
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Business-cycle consumption risk and asset prices
Bandi, Federico M.; Tamoni, Andrea - In: Journal of econometrics 237 (2023) 2,3, pp. 1-23
Persistent link: https://www.econbiz.de/10014471828
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Score-driven asset pricing : predicting time-varying risk premia based on cross-sectional model performance
Umlandt, Dennis - In: Journal of econometrics 237 (2023) 2,3, pp. 1-26
Persistent link: https://www.econbiz.de/10014471829
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Large stochastic volatility in mean VARs
Cross, Jamie; Hou, Chenghan; Koop, Gary; Poon, Aubrey - In: Journal of econometrics 236 (2023) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
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Bootstrap based probability forecasting in multiplicative error models
Perera, Indeewara; Silvapulle, Mervyn J. - In: Journal of econometrics 221 (2021) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10012618609
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Hierarchical Markov-switching models for multivariate integer-valued time-series
Catania, Leopoldo; Di Mari, Roberto - In: Journal of econometrics 221 (2021) 1, pp. 118-137
Persistent link: https://www.econbiz.de/10012618804