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Moments, shocks and spillovers in Markov switching VAR models

Dijk, Dick van; Kole, Erik - 2021

To investigate how economies, financial markets or institutions can deal with stress, we nowadays often analyze the effects of shocks conditional on a recession or a bear market. MSVAR models are ideally suited for such analyses because they combine gradual movement with sudden switches. In this...

Persistent link: https://www.econbiz.de/10012621564

Gold against the machine

Plakandaras, Vasilios; Gkonkas, Periklēs; … - In: Computational economics 57 (2021) 1, pp. 5-28

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Forecasting with second-order approximations and Markov-switching DSGE models

Ivashchenko, Sergey; Çekin, Semih Emre; Kotzé, Kevin; … - In: Computational economics 56 (2020) 4, pp. 747-771

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Forecasting core inflation : the case of South Africa

Ruch, Franz; Balcilar, Mehmet; Gupta, Rangan; Modise, … - In: Applied economics 52 (2020) 28, pp. 3004-3022

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Forecasting South African inflation using non-linearmodels : a weighted loss-based evaluation

Kanda, Patrick T.; Balcilar, Mehmet; Bahramian, Pejman; … - In: Applied economics 48 (2016) 25/27, pp. 2412-2427

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Forecasting US consumer price index : does nonlinearity matter?

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Yield curve and recession forecasting in a Machine Learning framework

Gkonkas, Periklēs; Papadimitriou, Theophilos; … - In: Computational economics 45 (2015) 4, pp. 635-645

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Forecasting home sales in the four census regions and the aggregate US economy using singular spectrum analysis

Hassani, Hossein; Ghodsi, Zara; Gupta, Rangan; Segnon, … - In: Computational economics 49 (2017) 1, pp. 83-97

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Forecasting day-ahead electricity prices : utilizing hourly prices

Raviv, Eran; Bouwman, Kees E.; Dijk, Dick van - 2013

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The out-of-sample forecasting performance of nonlinear models of regional housing prices in the US

Balcilar, Mehmet; Gupta, Rangan; Miller, Stephen M. - In: Applied economics 47 (2015) 22/24, pp. 2259-2277

Persistent link: https://www.econbiz.de/10010516653