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Inference in Bayesian Proxy-SVARs
Arias, Jonas E.; Rubio-Ramírez, Juan Francisco; … - In: Journal of econometrics 225 (2021) 1, pp. 88-106
Persistent link: https://www.econbiz.de/10013279023
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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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VAR for VaR: measuring tail dependence using multivariate regression quantiles
White, Halbert; Kim, Tae-hwan; Manganelli, Simone - In: Journal of econometrics 187 (2015) 1, pp. 169-188
Persistent link: https://www.econbiz.de/10011498808
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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
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Forecasting using a large number of predictors : is Bayesian shrinkage a valid alternative to principal components?
De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia - In: Journal of econometrics 146 (2008) 2, pp. 318-328
Persistent link: https://www.econbiz.de/10003782984
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Forecasting the yield curve in a data-rich environment : a no-arbitrage factor-augmented VAR approach
Mönch, Emanuel - In: Journal of econometrics 146 (2008) 1, pp. 26-43
Persistent link: https://www.econbiz.de/10003778196