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Interaction between autocorrelation and conditional heteroscedasticity : a random-coefficient approach

Bera, Anil K. - In: Journal of business & economic statistics : JBES ; a … 10 (1992) 2, pp. 133-142

Persistent link: https://www.econbiz.de/10001124475

Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section

Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 110-129

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Combined density nowcasting in an uncertain economic environment

Aastveit, Knut Are; Ravazzolo, Francesco; Dijk, Herman … - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 131-145

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Proper scoring rules for evaluating density forecasts with asymmetric loss functions

Iacopini, Matteo; Ravazzolo, Francesco; Rossini, Luca - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 482-496

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Combined Density Nowcasting in an Uncertain Economic Environment

Aastveit, Knut Are - 2015

We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density nowcasts. The combination weights are latent random...

Persistent link: https://www.econbiz.de/10013023300