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Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH

Brännäs, Kurt; Gooijer, Jan G. de - 2000

variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk … forecasting. …

Persistent link: https://www.econbiz.de/10011303289

A stochastic recurrence equation approach to stationarity and phi-mixing of a class of nonlinear ARCH models

Blasques, Francisco; Nientker, Marc - 2017

This article generalises the results of Sadi and Zakoian (2006) to a considerably larger class of nonlinear ARCH models with discontinuities, leverage e ects and robust news impact curves. We propose a new method of proof for the existence of a strictly stationary and phi-mixing solution....

Persistent link: https://www.econbiz.de/10011699508

Smooth transition spatial autoregressive models

Andree, Bo Pieter Johannes; Blasques, Francisco; … - 2017

This paper introduces a new model for spatial time series in which cross-sectional dependence varies nonlinearly over space by means of smooth transitions. We refer to our model as the Smooth Transition Spatial Autoregressive (ST-SAR). We establish consistency and asymptotic Gaussianity for the...

Persistent link: https://www.econbiz.de/10011658755

Frontiers in time series and financial econometrics : an overview

Ling, Shiqing; McAleer, Michael; Tong, Howell - 2015

to time series and financial econometrics, including forecasting co-volatilities via factor models with asymmetry and … factors, endogeneity and nonlinearity, sign-based portmanteau test for ARCH-type models with heavy-tailed innovations, toward …

Persistent link: https://www.econbiz.de/10010484894

Diagnostic tools for nonlinearity in spatial models

Graaff, Thomas de; Florax, Raymond J. G. M.; Nijkamp, Peter - 1998

econometrics to nonlinearity tests for empirical data series, in particular the so-called BDS (Brock, Dechert, Scheinkman) test. A …

Persistent link: https://www.econbiz.de/10011299990

Testing for nonlinear structure and chaos in economic time series : a comment

Hommes, Cars H.; Manzan, Sebastiano - 2005 - August 2005, Journal of Macroeconomics, forthcoming

This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine Kyrtsou and Apostolos Serletis. We summarize their main results and discuss some of their conclusions concerning the role of outliers and noisy chaos. In particular, we include...

Persistent link: https://www.econbiz.de/10011349217

Forecasting football match results in national league competitions using score-driven time series models

Koopman, Siem Jan S.J.; Lit, Rutger - 2017

We develop a new dynamic multivariate model for the analysis and the forecasting of football match results in national … model specification yield the best forecasting results. In an extensive forecasting study, we consider match results from …

Persistent link: https://www.econbiz.de/10011688523

Dynamic factor models with clustered loadings : forecasting education flows using unemployment data

Blasques, Francisco; Hoogerkamp, Meindert Heres; … - 2020

in its ability to accurately capture clusters and preserve or enhance forecasting accuracy. For a high …

Persistent link: https://www.econbiz.de/10012315409

The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model

Gorgi, P.; Koopman, Siem Jan; Lit, R. - 2018

surface types. We finally show that our proposed model can also be effective in forecasting. We provide evidence that our … model significantly outperforms existing models in the forecasting of tennis match results. …

Persistent link: https://www.econbiz.de/10011794344

A near optimal test for structural breaks when forecasting under square error loss

Boot, Tom; Pick, Andreas - 2017

forecasting occur much less frequently than indicated by existing tests. …

Persistent link: https://www.econbiz.de/10011636475