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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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Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 161 (2011) 2, pp. 304-324
Persistent link: https://www.econbiz.de/10009242123
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The three-pass regression filter : a new approach to forecasting using many predictors
Kelly, Bryan T.; Pruitt, Seth - In: Journal of econometrics 186 (2015) 2, pp. 294-316
Persistent link: https://www.econbiz.de/10011349476
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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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Variable selection, estimation and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - In: Journal of econometrics 164 (2011) 1, pp. 173-187
Persistent link: https://www.econbiz.de/10009270389
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A flexible semiparametric forecasting model for time series
Li, Degui; Linton, Oliver; Lu, Zu-di - In: Journal of econometrics 187 (2015) 1, pp. 345-357
Persistent link: https://www.econbiz.de/10011499465
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The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept
Magnus, Jan R. - In: Journal of econometrics 42 (1989) 2, pp. 157-179
Persistent link: https://www.econbiz.de/10001071077
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Volatility analysis with realized GARCH-Itô models
Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
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Model averaging prediction for time series models with a diverging number of parameters
Liao, Jun; Zou, Guohua; Gao, Yan; Zhang, Xinyu - In: Journal of econometrics 223 (2021) 1, pp. 190-221
Persistent link: https://www.econbiz.de/10012619966
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Boosting high dimensional predictive regressions with time varying parameters
Yousuf, Kashif; Ng, Serena - In: Journal of econometrics 224 (2021) 1, pp. 60-87
Persistent link: https://www.econbiz.de/10013275363