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Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH

Brännäs, Kurt; Gooijer, Jan G. de - 2000

variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk … forecasting. …

Persistent link: https://www.econbiz.de/10011303289

Boosting nonlinear predictability of macroeconomic time series

Kauppi, Heikki; Virtanen, Timo - In: International journal of forecasting 37 (2021) 1, pp. 151-170

Persistent link: https://www.econbiz.de/10012692684

Time series forecasting using a moving average model for extrapolation of number of tourist

Ivanovski, Zoran; Milenkovski, Ace; Narasanov, Zoran - In: UTMS journal of economics / University of Tourism and … 9 (2018) 2, pp. 121-132

important include macroeconomic and financial time series. In this paper we are testing forecasting capacity of the time series … forecasting the number of tourist guests for the next year. …

Persistent link: https://www.econbiz.de/10012178433

Seasonality robust local whittle estimation

Wingert, Simon; Leschinski, Christian; Sibbertsen, Philipp - In: Applied economics letters 27 (2020) 18, pp. 1489-1494

Persistent link: https://www.econbiz.de/10012315624

Finite-sample size distortion of the AESTAR unit root test : GARCH, corrected variance-covariance matrix estimators and adjusted critical values

Cook, Steven - In: Applied economics letters 23 (2016) 4/6, pp. 318-323

Persistent link: https://www.econbiz.de/10011430513

Testing for short-run threshold effects in a vector error-correction framework : a reappraisal of the stability of the US money demand

Lieb, Lenard; Candelon, Bertrand - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 3, pp. 355-376

Persistent link: https://www.econbiz.de/10011339429

Testing for co-nonlinearity

Hungnes, Håvard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 3, pp. 339-353

Persistent link: https://www.econbiz.de/10011339430

Nonlinear regressions with nonstationary time series

Chan, Nigel; Wang, Qiying - In: Journal of econometrics 185 (2015) 1, pp. 182-195

Persistent link: https://www.econbiz.de/10011339876

Testing for nonlinear structure and chaos in economic time series : a comment

Hommes, Cars H.; Manzan, Sebastiano - 2005 - August 2005, Journal of Macroeconomics, forthcoming

This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine Kyrtsou and Apostolos Serletis. We summarize their main results and discuss some of their conclusions concerning the role of outliers and noisy chaos. In particular, we include...

Persistent link: https://www.econbiz.de/10011349217

Note on fully modified estimation for three-regime threshold cointegration model

Wang, Chien-Ho - In: Theoretical economics letters 4 (2014) 6, pp. 506-512

Persistent link: https://www.econbiz.de/10010530796

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