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Forecasting random walks under drift instability
Pesaran, M. Hashem; Pick, Andreas - 2008
Persistent link: https://www.econbiz.de/10003850869
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Forecasting random walks under drift instability
Pesaran, M. Hashem (contributor); Pick, Andreas (contributor) - 2008
Persistent link: https://www.econbiz.de/10003711763
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Forecasting Random Walks under Drift Instability
Pesaran, M. Hashem - 2011
This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … estimation windows leads to a lower bias and to a lower root mean square forecast error for all but the smallest of breaks …
Persistent link: https://www.econbiz.de/10012714199
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Forecasting Random Walks Under Drift Instability
Pesaran, M. Hashem - 2011
This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … estimation windows leads to a lower bias and to a lower root mean square forecast error for all but the smallest of breaks …
Persistent link: https://www.econbiz.de/10012756639
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Enhancing the forecasting power of exchange rate models by introducing nonlinearity : does it work?
Burns, Kelly; Moosa, Imad A. - In: Economic modelling 50 (2015), pp. 27-39
Persistent link: https://www.econbiz.de/10011439608
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Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets
Wang, Man; Cheng, Yihan - In: Journal of forecasting 41 (2022) 8, pp. 1595-1607
Persistent link: https://www.econbiz.de/10013465725
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Why random walk forecasting works well in forecasting the Japanese inflation
Kurasawa, Kazutaka - In: The empirical economics letters : a monthly … 16 (2017) 1, pp. 19-26
Persistent link: https://www.econbiz.de/10011718765
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The Kalman filter approach for estimating the natural enemployment rate in Romania
Bratu, Mihaela - In: Acta Universitatis Danubius / Oeconomica 10 (2014) 1, pp. 148-159
Persistent link: https://www.econbiz.de/10010402245
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Time-varying trend models for forecasting inflation in Australia
Guo, Na; Zhang, Bo; Cross, Jamie - In: Journal of forecasting 41 (2022) 2, pp. 316-330
Persistent link: https://www.econbiz.de/10012817762
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Time-varying trend models for forecasting inflation in Australia
Guo, Na; Zhang, Bo; Cross, Jamie - 2020
Persistent link: https://www.econbiz.de/10012534328