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A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries

McAleer, Michael; Medeiros, Marcelo C. - In: Journal of econometrics 147 (2008) 1, pp. 104-119

Persistent link: https://www.econbiz.de/10003783790

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Asai, Manabu; McAleer, Michael - In: Journal of econometrics 189 (2015) 2, pp. 251-262

Persistent link: https://www.econbiz.de/10011504522

Moments of Markov switching models

Timmermann, Allan - In: Journal of econometrics 96 (2000) 1, pp. 75-111

Persistent link: https://www.econbiz.de/10001466745

Variable Selection and Inference for Multi-Period Forecasting Problems

Pesaran, M. Hashem - 2011

This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both univariate and multivariate models. Theoretical results and Monte Carlo simulations suggest that iterated forecasts dominate direct forecasts when estimation error is a...

Persistent link: https://www.econbiz.de/10012756285

Annals issue: Time series analysis of higher moments and distributions of financial data

Andersen, Torben (ed.); Chang, Chia-Lin (ed.); … - Association of Asia-Pacific Business School's Academic … - 2022

Persistent link: https://www.econbiz.de/10013440599

Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 227 (2022) 1, pp. 285-304

Persistent link: https://www.econbiz.de/10013441658