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~isPartOf:"Discussion paper / Centre for Economic Policy Research"
~isPartOf:"Econometrics : open access journal"
~isPartOf:"International journal of forecasting"
~isPartOf:"Journal of macroeconomics"
~isPartOf:"Journal of the American Statistical Association : JASA"
~person:"Franses, Philip Hans"
~person:"Koehler, Anne B."
~person:"Lucas, André"
~subject:"Autocorrelation"
~subject:"Einheitswurzeltest"
~subject:"Estimation theory"
~subject:"Faktorenanalyse"
~subject:"Frühindikator"
~subject:"Prognose"
~subject:"Theory"
~subject:"USA"
~subject:"Volatility"
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Autocorrelation
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Franses, Philip Hans
Koehler, Anne B.
Lucas, André
Hyndman, Rob J.
17
Marcellino, Massimiliano
11
Makridakis, Spyros G.
10
Forni, Mario
9
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Discussion paper / Centre for Economic Policy Research
Econometrics : open access journal
International journal of forecasting
Journal of macroeconomics
Journal of the American Statistical Association : JASA
Discussion paper / Tinbergen Institute
61
Report / Econometric Institute, Erasmus University Rotterdam
25
Econometric Institute research papers
20
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19
Discussion paper / Tinbergen Institute / Tinbergen Institute
9
Economics letters
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Working paper / Department of Econometrics and Business Statistics, Monash University
7
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6
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Report / Erasmus Center for Financial Research, Erasmus University
6
Research memorandum series / Tinbergen Instituut
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Journal of forecasting
5
Oxford bulletin of economics and statistics
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Discussion paper / Department of Economics, University of California San Diego
3
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
3
Journal of applied econometrics
3
Journal of economic surveys
3
The review of economics and statistics
3
Advanced texts in econometrics
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ERIM report series research in management
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EUI working paper / ECO
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Econometric theory
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IHS economics series : working paper
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Journal of empirical finance
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Reihe Ökonomie
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SSE EFI working paper series in economics and finance
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De economist : Netherlands economic review ; quarterly review of the Royal Netherlands Economic Association
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Discussion paper / Center for Economic Research, Tilburg University
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Discussion papers in economics
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ECONIS (ZBW)
15
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1
Time-varying variance and skewness in realized volatility measures
Opschoor, Anne
;
Lucas, André
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 827-840
Persistent link: https://www.econbiz.de/10014465151
Saved in:
2
Forecasting : theory and practice
Petropoulos, Fotios
;
Apiletti, Daniele
;
Assimakopoulos, V.
- In:
International journal of forecasting
38
(
2022
)
3
,
pp. 705-871
Persistent link: https://www.econbiz.de/10013349395
Saved in:
3
Observation-driven models for realized variances and overnight returns applied to value-at-risk and expected shortfall forecasting
Opschoor, Anne
;
Lucas, André
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 622-633
Persistent link: https://www.econbiz.de/10012792858
Saved in:
4
Forecasting compositional time series : a state space approach
Snyder, Ralph D.
;
Ord, John Keith
;
Koehler, Anne B.
; …
- In:
International journal of forecasting
33
(
2017
)
2
,
pp. 502-512
Persistent link: https://www.econbiz.de/10011922922
Saved in:
5
Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
Lucas, André
;
Zhang, Xin
- In:
International journal of forecasting
32
(
2016
)
2
,
pp. 293-302
Persistent link: https://www.econbiz.de/10011596763
Saved in:
6
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 875-887
Persistent link: https://www.econbiz.de/10011621857
Saved in:
7
Comments on "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models"
Perron, Pierre
;
Xu, Jiawen
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 891-892
Persistent link: https://www.econbiz.de/10011621864
Saved in:
8
Models for optimising the theta method and their relationship to state space models
Fiorucci, Jose A.
;
Pellegrini, Tiago R.
;
Louzada, Francisco
- In:
International journal of forecasting
32
(
2016
)
4
,
pp. 1151-1161
Persistent link: https://www.econbiz.de/10011622119
Saved in:
9
A study of outliers in the exponential smoothing approach to forecasting
Koehler, Anne B.
;
Snyder, Ralph D.
;
Ord, John Keith
; …
- In:
International journal of forecasting
28
(
2012
)
2
,
pp. 477-484
Persistent link: https://www.econbiz.de/10009582559
Saved in:
10
Incorporating a tracking signal into a state space model
Snyder, Ralph D.
;
Koehler, Anne B.
- In:
International journal of forecasting
25
(
2009
)
3
,
pp. 526-530
Persistent link: https://www.econbiz.de/10003877642
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