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Forecasting Macroeconomic Variables Using Collapsed Dynamic Factor Analysis

Bräuning, Falk; Koopman, Siem Jan - 2012

We explore a new approach to the forecasting of macroeconomic variables based on a dynamic factor state space analysis … forecasting purposes. Given a dynamic factor model as the data generation process, we provide Monte Carlo evidence for the finite … unbalanced panel contain quarterly and monthly variables. The forecasting accuracy is measured against a set of benchmark models …

Persistent link: https://www.econbiz.de/10014170346

Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016

In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV)...

Persistent link: https://www.econbiz.de/10011526121

A new mixture model for the estimation of credit card exposure at default

Leow, Mindy; Crook, Jonathan N. - In: European journal of operational research : EJOR 249 (2016) 2, pp. 487-497

Persistent link: https://www.econbiz.de/10011436718

Reverse adaptive krill herd locally weighted support vector regression for forecasting and trading exchange traded funds

Sermpinis, Georgios; Stasinakis, Charalampos; … - In: European journal of operational research : EJOR 263 (2017) 2, pp. 540-558

Persistent link: https://www.econbiz.de/10011793981