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Exploiting spillovers to forecast crashes
Gresnigt, Francine; Kole, Erik; Franses, Philip Hans - In: Journal of forecasting 36 (2017) 8, pp. 936-955
Persistent link: https://www.econbiz.de/10011860928
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Forecasting global stock market volatility : the impact of volatility spillover index in spatial-temporal graph-based model
Son, Bumho; Lee, Yunyoung; Park, Seongwan; Lee, Jaewook - In: Journal of forecasting 42 (2023) 7, pp. 1539-1559
Persistent link: https://www.econbiz.de/10014432719
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COVID-19 and risk spillovers of China's major financial markets : evidence from time-varying variance decomposition and wavelet coherence analysis
Xie, Qiwei; Cheng, Lu; Liu, Ranran; Zheng, Xiaolong; … - In: Finance research letters 52 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014472112
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The spillover effect of economic policy uncertainty : evidence from analyst behaviors in Hong Kong
Zhu, Zhaobo; Lin, Hang; Chen, Min; Han, Peiwen - In: Finance research letters 52 (2023), pp. 1-7
Persistent link: https://www.econbiz.de/10014472119
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Forecasting oil price volatility using spillover effects from uncertainty indices
Chatziantoniou, Ioannis; Degiannakis, Stavros; Delis, … - In: Finance research letters 42 (2021), pp. 1-5
Persistent link: https://www.econbiz.de/10014580430
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Influence and predictive power of sentiment : evidence from the lithium market
Jeong, Woojin; Park, Seongwan; Lee, Seungyun; Son, Bumho; … - In: Finance research letters 68 (2024), pp. 1-11
Persistent link: https://www.econbiz.de/10015063280
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Forecasting with panel data
Baltagi, Badi H. - In: Journal of forecasting 27 (2008) 2, pp. 153-173
Persistent link: https://www.econbiz.de/10003738580
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Trend/cycle decomposition of regime-switching processes
Morley, James C.; Piger, Jeremy Max - In: Journal of econometrics 146 (2008) 2, pp. 220-226
Persistent link: https://www.econbiz.de/10003782912
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Efficient forecast tests for conditional policy forecasts
Faust, Jon; Wright, Jonathan H. - In: Journal of econometrics 146 (2008) 2, pp. 293-303
Persistent link: https://www.econbiz.de/10003782979
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Forecasting economic time series using targeted predictors
Bai, Jushan; Ng, Serena - In: Journal of econometrics 146 (2008) 2, pp. 304-317
Persistent link: https://www.econbiz.de/10003782981