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Cumulated prediction errors of multivariate time series models
Klein, André; Gooijer, Jan G. de - 1996
Persistent link: https://www.econbiz.de/10000929738
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Combined forecasts from linear and nonlinear time series models
Terui, Nobuhiko; Dijk, Herman K. van - 2000
Persistent link: https://www.econbiz.de/10001464744
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Inflation, forecast intervals and long memory regression models
Bos, Charles S.; Franses, Philip Hans; Ooms, Marius - 2001
Persistent link: https://www.econbiz.de/10001569637
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Model-based measurement of actual volatility in high-frequency data
Jungbacker, Borus; Koopman, Siem Jan - 2005
Persistent link: https://www.econbiz.de/10002564535
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25 years of IIF time series forecasting : a selective review
Gooijer, Jan G. de; Hyndman, Rob J. - 2005
Persistent link: https://www.econbiz.de/10002983186
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Forecasting daily time series using periodic unobserved components time series models
Koopman, Siem Jan; Ooms, Marius - 2004
Persistent link: https://www.econbiz.de/10002503685
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A Bayesian analysis of periodic integration
Franses, Philip H.; Koop, Gary - 1994
Persistent link: https://www.econbiz.de/10000122538
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Out-of-sample comparison of Copula specifications in multivariate density forecasts
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008
Persistent link: https://www.econbiz.de/10003787159
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Model-based measurement of latent risk in time series with applications
Bijleveld, Frits; Commandeur, Jacques; Gould, Phillip; … - 2005
Persistent link: https://www.econbiz.de/10003248138
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Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices
Gatarek, Lukasz; Hoogerheide, Lennart F.; Dijk, Herman … - 2014
In this paper we consider two cases of pairs trading strategies: a conditional statistical arbitrage method and an implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a cointegration model, of pairs of stock prices. We show...
Persistent link: https://www.econbiz.de/10010259626