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~person:"van Dijk, Dick"
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Monte-Carlo-Methode
2
Prognoseverfahren
2
Copula-based density forecast
1
High dimensionality
1
Kopula (Mathematik)
1
Kullback-Leibler Information Criterion
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Smooth Transition AutoRegressive models
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kernel methods
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monte carlo
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nonlinear forecasting
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nonlinearity
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out-of-sample forecast evaluation
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random walk
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ridge regression
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stochastic unit root
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van Dijk, Dick
Koop, Gary
168
Dijk, Herman K. van
161
Ravazzolo, Francesco
136
Casarin, Roberto
114
Schorfheide, Frank
113
Koopman, Siem Jan
111
Tsionas, Efthymios G.
96
Kapetanios, George
85
Strachan, Rodney W.
72
Marcellino, Massimiliano
70
Hoogerheide, Lennart
68
Bauwens, Luc
65
Korobilis, Dimitris
65
Billio, Monica
64
Frühwirth-Schnatter, Sylvia
64
Pesaran, M. Hashem
64
Carriero, Andrea
61
Clark, Todd E.
61
Kaufmann, Sylvia
61
Robert, Christian P.
58
Kohn, Robert
55
Reed, W. Robert
54
Chan, Joshua
53
Huber, Florian
51
Chib, Siddhartha
50
Dufour, Jean-Marie
50
Österholm, Pär
49
Canova, Fabio
48
Leon-Gonzalez, Roberto
48
Gupta, Rangan
46
Paap, Richard
46
Bos, Charles S.
44
Del Negro, Marco
44
Joshi, Mark S.
44
Martin, Gael M.
44
McAleer, Michael
44
Crespo Cuaresma, Jesús
43
Havránek, Tomáš
43
Hoogerheide, Lennart F.
43
Zhang, Xibin
43
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
2
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EconStor
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Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support
Diks, Cees
;
Panchenko, Valentyn
;
Sokolinskiy, Oleg
;
van …
-
2013
on the region of interest.
Monte
Carlo simulations document that the resulting test statistics have satisfactory size and …
Persistent link: https://www.econbiz.de/10010326216
Saved in:
2
Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression
Exterkate, Peter
;
Groenen, Patrick J.F.
;
Heij, Christiaan
; …
-
2011
and financial applications.
Monte
Carlo simulations as well as an empirical application to various key measures of real …
Persistent link: https://www.econbiz.de/10010325897
Saved in:
3
Nonlinearities and outliers: robust specification of STAR models
Franses, Philip Hans
;
van Dijk, Dick
;
Escribano, A.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
1998
Outliers and nonlinearity may easily be mistaken. This paper uses
Monte
Carlo methods to examine and compare the …
Persistent link: https://www.econbiz.de/10010837988
Saved in:
4
Testing for Stochastic Unit Roots - Some
Monte
Carlo evidence
van Dijk, Dick
;
Taylor, A.M.R.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
1999
and alternative. The extensive
Monte
Carlo experiments demonstrate that the test statistics are particularly sensitive to …
Persistent link: https://www.econbiz.de/10010731872
Saved in:
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