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Variable selection and inference for multi-period forecasting problems

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009

Persistent link: https://www.econbiz.de/10003814581

Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section

Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 110-129

Persistent link: https://www.econbiz.de/10011704120

Duration dependence in stock prices : an analysis of bull and bear markets

Lunde, Asger; Timmermann, Allan - 2003

Persistent link: https://www.econbiz.de/10001845274

Density forecasts with MIDAS models

Aastveit, Knut Are; Foroni, Claudia; Ravazzolo, Francesco - In: Journal of applied econometrics 32 (2017) 4, pp. 783-801

Persistent link: https://www.econbiz.de/10011862204

Breaks in the Phillips Curve : Evidence from Panel Data

Smith, Simon C.; Timmermann, Allan; Wright, Jonathan H. - National Bureau of Economic Research - 2023

We revisit time-variation in the Phillips curve, applying new Bayesian panel methods with breakpoints to US and European Union disaggregate data. Our approach allows us to accurately estimate both the number and timing of breaks in the Phillips curve. It further allows us to determine the...

Persistent link: https://www.econbiz.de/10014250170