Similar Search Results

A state space approach to extracting the signal from uncertain data

Cunningham, Alastair W. F.; Eklund, Jana; Jeffery, Chris; … - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 2, pp. 173-180

Persistent link: https://www.econbiz.de/10009657376

A State Space Approach to Extracting the Signal From Uncertain Data

Cunningham, Alastair; Eklund, Jana; Jeffery, Chris; … - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 2, pp. 173-181

Persistent link: https://www.econbiz.de/10009976543

Forecasting using predictive likelihood model averaging

Kapetanios, George; Labhard, Vincent; Price, Simon - In: Economics Letters 91 (2006) 3, pp. 373-379

Persistent link: https://www.econbiz.de/10005257524

Are more data always better for factor analysis? : results for the euro area, the six largest euro area countries and the UK

Caggiano, Giovanni; Kapetanios, George; Labhard, Vincent - In: Journal of forecasting 30 (2011) 8, pp. 736-752

Persistent link: https://www.econbiz.de/10009423355

Forecasting using Bayesian and information-theoretic model averaging : an application to UK inflation

Kapetanios, George; Labhard, Vincent; Price, Simon - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 1, pp. 33-41

Persistent link: https://www.econbiz.de/10003625198

Forecasting Using Bayesian and Information-Theoretic Model Averaging: An Application to U.K. Inflation

Kapetanios, George; Labhard, Vincent; Price, Simon - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 1, pp. 33-41

Persistent link: https://www.econbiz.de/10008221440

Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK

Caggiano, Giovanni; Kapetanios, George; Labhard, Vincent - In: Journal of forecasting 30 (2011) 8, pp. 736-753

Persistent link: https://www.econbiz.de/10009802951

A testing procedure for determining the number of factors in approximate factor models with large datasets

Kapetanios, George - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 3, pp. 397-409

Persistent link: https://www.econbiz.de/10008736170

A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors

Atak, Alev; Kapetanios, George - In: Economics Letters 120 (2013) 2, pp. 224-228

There is a growing literature on the realized volatility (RV) forecasting of asset returns using high-frequency data. We explore the possibility of forecasting RV with factor analysis; once considering the significant jumps. A real high-frequency financial data application suggests that the...

Persistent link: https://www.econbiz.de/10010678826

Nonlinear autoregressive models and long memory

Kapetanios, George - In: Economics Letters 91 (2006) 3, pp. 360-368

Persistent link: https://www.econbiz.de/10005297141