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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
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Unit root quantile autoregression testing using covariates
Galvão Júnior, Antônio Fialho - In: Journal of econometrics 152 (2009) 2, pp. 165-178
Persistent link: https://www.econbiz.de/10003892736
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Adaptive forecasting of the EURIBOR swap term structure
Blaskowitz, Oliver; Herwartz, Helmut - In: Journal of forecasting 28 (2009) 7, pp. 575-594
Persistent link: https://www.econbiz.de/10003902215
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On the predictive content of autoregression residuals : a semiparametric, Copula-based approach to time series prediction
Herwartz, Helmut - In: Journal of forecasting 32 (2013) 4, pp. 353-368
Persistent link: https://www.econbiz.de/10009775499
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Evaluating DSGE model forecasts of comovements
Herbst, Edward P.; Schorfheide, Frank - In: Journal of econometrics 171 (2012) 2, pp. 152-166
Persistent link: https://www.econbiz.de/10009691168
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A Markov-switching multifractal inter-trade duration model, with application to US equities
Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342
Persistent link: https://www.econbiz.de/10010255140
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Structural vector autoregressions with Markov switching : combining conventional with statistical identification of shocks
Herwartz, Helmut; Lütkepohl, Helmut - In: Journal of econometrics 183 (2014) 1, pp. 104-116
Persistent link: https://www.econbiz.de/10010506080
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Asymptotics for panel quantile regression models with individual effects
Kato, Kengo; Galvão Júnior, Antônio Fialho; … - In: Journal of econometrics 170 (2012) 1, pp. 76-91
Persistent link: https://www.econbiz.de/10009673139
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Quantile regression for dynamic panel data with fixed effects
Galvão Júnior, Antônio Fialho - In: Journal of econometrics 164 (2011) 1, pp. 142-157
Persistent link: https://www.econbiz.de/10009270393
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Bootstrap inference in systems of single equation error correction models
Herwartz, Helmut; Neumann, Michael H. - In: Journal of econometrics 128 (2005) 1, pp. 165-193
Persistent link: https://www.econbiz.de/10003002296