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Empirical model for forecasting exchange rate dynamics : the GO-GARCH approach
Isenah, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 7 (2016) 1, pp. 179-208
The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and...
Persistent link: https://www.econbiz.de/10011534717
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Predictive Quantile Regressions Under Persistence and Conditional Heteroskedasticity
Fan, Rui - 2019
This paper provides an improved inference for predictive quantile regressions with persistent predictors and conditionally heteroskedastic errors. The confidence intervals based on conventional quantile regression techniques are not valid when predictors are highly persistent. Moreover, the...
Persistent link: https://www.econbiz.de/10012901370
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Testing heteroskedasticity for predictive regressions with nonstationary regressors
Hong, Shaoxin; Zhang, Zhengyi; Cai, Zongwu - In: Economics letters 201 (2021), pp. 1-4
Persistent link: https://www.econbiz.de/10012607071
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Predictive quantile regressions under persistence and conditional heteroskedasticity
Fan, Rui; Lee, Ji Hyung - In: Journal of econometrics 213 (2019) 1, pp. 261-280
Persistent link: https://www.econbiz.de/10012304551
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Testing heteroskedasticity for predictive regressions with nonstationary regressors
Hong, Shaoxin; Zhang, Zhengyi; Cai, Zongwu - 2021
Persistent link: https://www.econbiz.de/10012425349
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Extensions to IVX methods of inference for return predictability
Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 237 (2023) 2,3, pp. 1-30
Persistent link: https://www.econbiz.de/10014471800
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Foreign exchange risk and the predictability of carry trade returns
Cenedese, Gino; Sarno, Lucio; Tsiakas, Ilias - In: Journal of banking & finance 42 (2014), pp. 302-313
Persistent link: https://www.econbiz.de/10010408374
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Macroeconomic forecasting and structural analysis through regularized reduced-rank regression
Bernardini, Emmanuela; Cubadda, Gianluca - In: International journal of forecasting 31 (2015) 3, pp. 682-691
Persistent link: https://www.econbiz.de/10011474523
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Forecast comparison of principal component regression and principal covariate regression
Heij, Christiaan (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003092858
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Correlation and Linear Regression Analysis : A Predictive Decision Support System for LEAE
Origines, Domingo - 2017
This study introduces a Decision Support System called Correlation and Linear Regression Analysis –Decision Support … Examination. The integration of Data Mining Technique using Pearson-Product Moment Correlation that is used to determine the … on the Outcome, the results obtained from the Correlation and Regression Analysis and the attributes obtained from eSMS …
Persistent link: https://www.econbiz.de/10012962496