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~accessRights:"free"
~isPartOf:"Applied economics"
~isPartOf:"Computational economics"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"International journal of forecasting"
~person:"Allen, David E."
~person:"Blasques, Francisco"
~person:"Burns, Kelly"
~person:"Chen, Yi-Ting"
~person:"Gooijer, Jan G. de"
~person:"Rubaszek, Michał"
~subject:"Nationaleinkommen"
~subject:"Prognoseverfahren"
~subject:"VAR-Modell"
~subject:"World"
~subject:"Zeitreihenanalyse"
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Nationaleinkommen
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Allen, David E.
Blasques, Francisco
Burns, Kelly
Chen, Yi-Ting
Gooijer, Jan G. de
Rubaszek, Michał
Koopman, Siem Jan
13
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9
Dijk, Dick van
4
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3
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ECONIS (ZBW)
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1
Low frequency and weighted likelihood solutions for mixed frequency dynamic factor models
Blasques, Francisco
;
Koopman, Siem Jan
;
Mallee, Max I. P.
-
2014
The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...
Persistent link: https://www.econbiz.de/10010391543
Saved in:
2
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
; …
-
2014
We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...
Persistent link: https://www.econbiz.de/10010391531
Saved in:
3
Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH
Brännäs, Kurt
;
Gooijer, Jan G. de
-
2000
variancefunctions. In a genuine out-of-sample
forecasting
experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean
forecasting
as well as in terms of risk …
forecasting
. …
Persistent link: https://www.econbiz.de/10011303289
Saved in:
4
Realized volatility risk
Allen, David E.
;
McAleer, Michael
;
Scharth, Marcel
-
2013
Persistent link: https://www.econbiz.de/10009784942
Saved in:
5
Asymmetric realized volatility risk
Allen, David E.
;
McAleer, Michael
;
Scharth, Marcel
-
2014
-
This version: June 2014
forecasting
errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10010366935
Saved in:
6
Dynamic factor models with clustered loadings :
forecasting
education flows using unemployment data
Blasques, Francisco
;
Hoogerkamp, Meindert Heres
; …
-
2020
in its ability to accurately capture clusters and preserve or enhance
forecasting
accuracy. For a high …
Persistent link: https://www.econbiz.de/10012315409
Saved in:
7
Asymmetric stable stochastic volatility models : estimation, filtering, and
forecasting
Blasques, Francisco
;
Koopman, Siem Jan
;
Moussa, Karim
-
2023
filtering of time-varying volatility, and volatility
forecasting
. Specifically, we make use of the indirect inference method to …
Persistent link: https://www.econbiz.de/10014433826
Saved in:
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