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Deep distributional time series models and the probabilistic forecasting of intraday electricity prices
Klein, Nadja; Smith, Michael S.; Nott, David J. - In: Journal of applied econometrics 38 (2023) 4, pp. 493-511
Persistent link: https://www.econbiz.de/10014288014
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Individual forecaster perceptions of the persistence of shocks to GDP
Clements, Michael P. - In: Journal of applied econometrics 37 (2022) 3, pp. 640-656
Persistent link: https://www.econbiz.de/10013186706
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Marginalized predictive likelihood comparisons of linear gaussian state-space models with applications to DSGE, DSGE-VAR, and VAR models
Warne, Anders; Coenen, Günter; Christoffel, Kai - In: Journal of applied econometrics 32 (2017) 1, pp. 103-119
Persistent link: https://www.econbiz.de/10011688267
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Nowcasting tail risk to economic activity at a weekly frequency
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of applied econometrics 37 (2022) 5, pp. 843-866
Persistent link: https://www.econbiz.de/10013464633
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Modelling and forecasting multivariate realized volatility
Halbleib, Roxana; Voev, Valeri - In: Journal of applied econometrics 26 (2011) 6, pp. 922-947
Persistent link: https://www.econbiz.de/10009408883
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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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Robust inference under time-varying volatility : a real-time evaluation of professional forecasters
Demetrescu, Matei; Hanck, Christoph; Kruse-Becher, Robinson - In: Journal of applied econometrics 37 (2022) 5, pp. 1010-1030
Persistent link: https://www.econbiz.de/10013464645
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Combining forecast densities from VARs with uncertain instabilities
Jore, Anne Sofie; Mitchell, James; Vahey, Shaun P. - In: Journal of applied econometrics 25 (2010) 4, pp. 621-634
Persistent link: https://www.econbiz.de/10008667470
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Dynamic stochastic copula models : estimation, inference and applications
Hafner, Christian M.; Manner, Hans - In: Journal of applied econometrics 27 (2012) 2, pp. 269-295
Persistent link: https://www.econbiz.de/10009618639
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A general test for time dependence in parameters
Becker, Ralf; Enders, Walter; Hurn, Stan - In: Journal of applied econometrics 19 (2004) 7, pp. 899-906
Persistent link: https://www.econbiz.de/10002467876