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Semiparametric approaches to the prediction of conditional correlation matrices in finance

Golosnoy, Vasyl (contributor); Herwartz, Helmut (contributor) - 2006

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...

Persistent link: https://www.econbiz.de/10003516408

Empirical analysis of a travel-time forecasting model

You, Jinsoo; Kim, Tschangho John - In: Geographical analysis : an international journal of … 39 (2007) 4, pp. 397-417

Persistent link: https://www.econbiz.de/10003565588

Maximising entropy on the nonparametric predictive inference model for multinomial data

Abellán, Joaquín; Baker, Rebecca M.; Coolen, Frank P. A. - In: European journal of operational research : EJOR 212 (2011) 1, pp. 112-122

Persistent link: https://www.econbiz.de/10008990550

Distributional modeling and short-term forecasting of electricity prices by Generalized Additive Models for Location, Scale and Shape

Serinaldi, Francesco - In: Energy economics 33 (2011) 6, pp. 1216-1226

Persistent link: https://www.econbiz.de/10009510919

Nonparametric predictive utility inference

Houlding, B.; Coolen, Frank P. A. - In: European journal of operational research : EJOR 221 (2012) 1, pp. 222-230

Persistent link: https://www.econbiz.de/10009553083

Predicting bankruptcy with semi-parametric single-index model

Brezigar Masten, Arjana; Masten, Igor - In: Economic research 25 (2012) 1, pp. 121-133

Persistent link: https://www.econbiz.de/10009532596

Exchange rates forecasting using nonparametric methods

Álvarez-Díaz, Marcos - 2006

Persistent link: https://www.econbiz.de/10009260355

Forecasting equity premium : global historical average versus local historical average and constraints

Lee, Tae-hwy; Tu, Yundong; Ullah, Aman - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 3, pp. 393-402

Persistent link: https://www.econbiz.de/10011390401

Forecasting inflation rates using daily data : a nonparametric midas approach

Breitung, Jörg; Roling, Christoph - In: Journal of forecasting 34 (2015) 7, pp. 588-603

Persistent link: https://www.econbiz.de/10011390487

Wind power forecasting using the k-nearest neighbors algorithm

Mangalova, E.; Agafonov, E. - In: International journal of forecasting 30 (2014) 2, pp. 402-406

Persistent link: https://www.econbiz.de/10010510891