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Ranking multivariate GARCH models by problem dimension

Caporin, Massimiliano; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010

(2002). Some recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting …

Persistent link: https://www.econbiz.de/10010731725

Evaluating Macroeconomic Forecast: A Review of Some Recent Developments

Franses, Philip Hans; McAleer, Michael; Legerstee, … - Faculteit der Economische Wetenschappen, Erasmus … - 2010

Macroeconomic forecasts are frequently produced, published, discussed and used. The formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has been addressed, and in this review we analyse some recent developments from that...

Persistent link: https://www.econbiz.de/10010731816

Robust Ranking of Multivariate GARCH Models by Problem Dimension

Caporin, Massimiliano; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2012

has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. We provide an …

Persistent link: https://www.econbiz.de/10010778698

Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments

McAleer, Michael; Franses, Philip Hans; Legerstee, Rianne - Facultad de Ciencias Económicas y Empresariales, … - 2012

better than the Staff, and that the intuition of the FOMC does not add significantly in forecasting the actual values of the …

Persistent link: https://www.econbiz.de/10010778705

Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation

Caporin, Massimiliano; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2011

begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an …

Persistent link: https://www.econbiz.de/10010837893

Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation

Caporin, Massimiliano; McAleer, Michael - Department of Economics and Finance, College of … - 2011

begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an …

Persistent link: https://www.econbiz.de/10009643473

Evaluating Macroeconomic Forecasts:A Concise Review of Some Recent Developments

Franses, Philip Hans; McAleer, Michael; Legerstee, Rianne - Institute of Economic Research, Kyoto University - 2012

better than the Staff, and that the intuition of the FOMC does not add significantly in forecasting the actual values of the …

Persistent link: https://www.econbiz.de/10010553126

Time Series Modelling of Tourism Demand from the USA, Japan and Malaysia to Thailand

Chaovanapoonphol, Yaovarate; Lim, Christine; McAleer, … - Department of Economics and Finance, College of … - 2010

Even though tourism has been recognized as one of the key sectors for the Thai economy, international tourism demand, or tourist arrivals, to Thailand have recently experienced dramatic fluctuations. The purpose of the paper is to investigate the relationship between the demand for international...

Persistent link: https://www.econbiz.de/10010627490

Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments

Franses, Philip Hans; McAleer, Michael; Legerstee, Rianne - Department of Economics and Finance, College of … - 2012

better than the Staff, and that the intuition of the FOMC does not add significantly in forecasting the actual values of the …

Persistent link: https://www.econbiz.de/10010556072

Ranking Multivariate GARCH Models by Problem Dimension

Caporin, Massimiliano; McAleer, Michael - Dipartimento di Scienze Economiche "Marco Fanno", … - 2010

has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we …

Persistent link: https://www.econbiz.de/10008876624