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Dynamic prediction pools : an investigation of financial frictions and forecasting performance

Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - In: Journal of econometrics 192 (2016) 2, pp. 391-405

Persistent link: https://www.econbiz.de/10011704724

Dynamic prediction pools : an investigation of financial frictions and forecasting performance

Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - 2014

Persistent link: https://www.econbiz.de/10010430597

Backward/forward optimal combination of performance measures for equity screening

Billio, Monica; Caporin, Massimiliano; Costola, Michele - In: The North American journal of economics and finance : a … 34 (2015), pp. 63-83

Persistent link: https://www.econbiz.de/10011539679

Markov Switching GARCH models : filtering, approximations and duality

Billio, Monica; Cavicchioli, Maddalena - In: Mathematical and statistical methods for actuarial …, (pp. 59-72). 2017

Persistent link: https://www.econbiz.de/10012098763

Portfolio optimization based on stochastic dominance and empirical likelihood

Post, Thierry; Karabati, Selcuk; Arvanitis, Stelios - In: Journal of econometrics 206 (2018) 1, pp. 167-186

Persistent link: https://www.econbiz.de/10012110374

Improving GDP measurement : a measurement-error perspective

Aruoba, S. Borağan; Diebold, Francis X.; Nalewaik, Jeremy - In: Journal of econometrics 191 (2016) 2, pp. 384-397

Persistent link: https://www.econbiz.de/10011610607

Tempered particle filtering

Herbst, Edward P.; Schorfheide, Frank - 2016

The accuracy of particle filters for nonlinear state-space models crucially depends on the proposal distribution that mutates time t-1 particle values into time t values. In the widely-used bootstrap particle filter this distribution is generated by the state-transition equation. While...

Persistent link: https://www.econbiz.de/10011578495

Stochastic spanning

Arvanitis, Stelios; Hallam, Mark; Post, Thierry; … - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 573-585

Persistent link: https://www.econbiz.de/10012178998

Testing for prospect and Markowitz stochastic dominance efficiency

Arvanitis, Stelios; Topaloglou, Nikolas - In: Journal of econometrics 198 (2017) 2, pp. 253-270

Persistent link: https://www.econbiz.de/10011818790

Assessing DSGE model nonlinearities

Aruoba, S. Borağan; Bocola, Luigi; Schorfheide, Frank - In: Journal of economic dynamics & control 83 (2017), pp. 34-54

Persistent link: https://www.econbiz.de/10011915578