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Forecasting exchange rates with a large Bayesian VAR
Carriero, Andrea (contributor);  … - 2008
Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate …
Persistent link: https://www.econbiz.de/10003765975
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Revisiting useful approaches to data-rich macroeconomic forecasting
Groen, Jan J. J. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003671730
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Semiparametric sieve-type GLS inference in regressions with long-range dependence
Kapetanios, George (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003428547
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A test for serial dependence using neural networks
Kapetanios, George (contributor) - 2007
Persistent link: https://www.econbiz.de/10003564910
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A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2015
This paper proposes a regularisation method for the estimation of large covariance matrices that uses insights from the multiple testing (MT) literature. The approach tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...
Persistent link: https://www.econbiz.de/10011405221
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Sieve bootstrap for strongly dependent stationary processes
Kapetanios, George (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003262868