Similar Search Results

Joint modeling of call and put implied volatility

Ahoniemi, Katja; Lanne, Markku - In: International journal of forecasting 25 (2009) 2, pp. 239-258

Persistent link: https://www.econbiz.de/10003870046

Forecasting exchange rates with a large Bayesian VAR

Carriero, Andrea; Kapetanios, George; Marcellino, … - In: International journal of forecasting 25 (2009) 2, pp. 400-417

Persistent link: https://www.econbiz.de/10003870070

Estimating time variation in measurement error from data revisions : an application to backcasting and forecasting in dynamic models

Kapetanios, George; Yates, Anthony - In: Journal of applied econometrics 25 (2010) 5, pp. 869-893

Persistent link: https://www.econbiz.de/10008667439

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10009488893

Optimal forecasting of noncausal autoregressive time series

Lanne, Markku; Luoto, Jani; Saikkonen, Pentti - In: International journal of forecasting 28 (2012) 3, pp. 623-631

Persistent link: https://www.econbiz.de/10009659890

Near unit roots, cointegration, and the term structure of interest rates

Lanne, Markku - In: Journal of applied econometrics 15 (2000) 5, pp. 513-529

Persistent link: https://www.econbiz.de/10001533584

Overnight stock returns and realized volatility

Ahoniemi, Katja; Lanne, Markku - In: International journal of forecasting 29 (2013) 4, pp. 592-604

Persistent link: https://www.econbiz.de/10010212465

Bayesian model selection and forecasting in noncausal autoregressive models

Lanne, Markku; Luoma, Arto; Luoto, Jani - In: Journal of applied econometrics 27 (2012) 5, pp. 812-830

Persistent link: https://www.econbiz.de/10010219731

A new approach for detecting shifts in forecast accuracy

Chiu, Ching Wai Jeremy; Hayes, Simon; Kapetanios, George; … - In: International journal of forecasting 35 (2019) 4, pp. 1596-1612

Persistent link: https://www.econbiz.de/10012305469

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - In: Journal of applied econometrics 31 (2016) 6, pp. 929-960

Persistent link: https://www.econbiz.de/10011686163