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Smooth dynamic factor analysis with application to the US term structure of interest rates
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - In: Journal of applied econometrics 29 (2014) 1, pp. 65-90
Persistent link: https://www.econbiz.de/10010414251
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Model selection with estimated factors and idiosyncratic components
Fosten, Jack - In: Journal of applied econometrics 32 (2017) 6, pp. 1087-1106
Persistent link: https://www.econbiz.de/10011862567
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Evaluating point and density forecasts of DSGE models
Wolters, Maik H. - In: Journal of applied econometrics 30 (2015) 1, pp. 74-96
Persistent link: https://www.econbiz.de/10011327648
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Forecasting disconnected exchange rates
Berge, Travis J. - In: Journal of applied econometrics 29 (2014) 5, pp. 713-735
Persistent link: https://www.econbiz.de/10010414857
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On the forecasting accuracy of multivariate GARCH models
Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - In: Journal of applied econometrics 27 (2012) 6, pp. 934-955
Persistent link: https://www.econbiz.de/10010219744
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Forecasting with global vector autoregressive models : a Bayesian approach
Crespo Cuaresma, Jesús; Feldkircher, Martin; Huber, Florian - In: Journal of applied econometrics 31 (2016) 7, pp. 1371-1391
Persistent link: https://www.econbiz.de/10011687530
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Modeling and forecasting large realized covariance matrices and portfolio choice
Callot, Laurent A. F.; Kock, Anders Bredahl; Medeiros, … - In: Journal of applied econometrics 32 (2017) 1, pp. 140-158
Persistent link: https://www.econbiz.de/10011688494
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Forecasting with the standardized self-perturbed Kalman filter
Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo - In: Journal of applied econometrics 32 (2017) 2, pp. 318-341
Persistent link: https://www.econbiz.de/10011689787
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General Bayesian time-varying parameter vector autoregressions for modeling government bond yields
Fischer, Manfred M.; Hauzenberger, Niko; Huber, Florian; … - In: Journal of applied econometrics 38 (2023) 1, pp. 69-87
Persistent link: https://www.econbiz.de/10014287924
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Isolating the roles of individual covariates in reweighting estimation
Elder, Todd E.; Goddeeris, John Henry; Haider, Steven - In: Journal of applied econometrics 30 (2015) 7, pp. 1144-1168
Persistent link: https://www.econbiz.de/10011431747