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The Markov-switching multifractal model of asset returns : GMM estimation and linear forecasting of volatility
Lux, Thomas - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 2, pp. 194-210
Persistent link: https://www.econbiz.de/10003675695
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Financial volatility forecasting with range-based autoregressive volatility model
Li, Hongquan; Hong, Yongmiao - In: Finance research letters 8 (2011) 2, pp. 69-76
Persistent link: https://www.econbiz.de/10009301308
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Real-time forecasting with a mixed-frequency VAR
Schorfheide, Frank; Song, Dongho - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 3, pp. 366-380
Persistent link: https://www.econbiz.de/10011390382
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Bayesian analysis of latent threshold dynamic models
Nakajima, Jouchi; West, Mike - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 151-164
Persistent link: https://www.econbiz.de/10009754013
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Factor-augmented VARMA models with macroeconomic applications
Dufour, Jean-Marie; Stevanovi´c, Dalibor - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 491-506
Persistent link: https://www.econbiz.de/10010337855
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Long swings in exchange rates : are they really in the data?
Klaassen, Franc - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 1, pp. 87-95
Persistent link: https://www.econbiz.de/10002583998
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Comparing predictive accuracy
Diebold, Francis X.; Mariano, Roberto S. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 1, pp. 134-144
Persistent link: https://www.econbiz.de/10001639892
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Forecasting an accumulated series based on partial accumulation : a Bayesian method for short series with seasonal patterns
Alba, Enrique de; Mendoza, Manuel - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 1, pp. 95-102
Persistent link: https://www.econbiz.de/10001543458
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A Bayesian analysis of autoregressive time series panel data
Nandram, Balgobin - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 3, pp. 328-334
Persistent link: https://www.econbiz.de/10001222716
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Tests for forecast encompassing
Harvey, David I. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 2, pp. 254-259
Persistent link: https://www.econbiz.de/10001243991