recent break tends to produce more accurate forecasts than unconditional estimation methods based on expanding or rolling …

estimation of their standard errors. As the asymptotic distribution of the thresholds parameters is neither normal nor nuisance …

modelling that enables stochastic structural change in model parameters and on model estimation by Bayesian or non …-parametric kernel methods. In the context of the estimation of covariance matrices of large dimensional panels, such data requires … applicable in econometric analysis beyond estimation of large covariance matrices. We discuss the utility of the robust …