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Forecasting economic time series using targeted predictors

Bai, Jushan; Ng, Serena - In: Journal of econometrics 146 (2008) 2, pp. 304-317

Persistent link: https://www.econbiz.de/10003782981

Confidence intervals for diffusion index forecasts and inference for factor-augmented regressions

Bai, Jushan; Ng, Serena - In: Econometrica : journal of the Econometric Society, an … 74 (2006) 4, pp. 1133-1150

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Econometric Analysis of Large Factor Models

Bai, Jushan; Wang, Peng - 2016

Large factor models use a few latent factors to characterize the co-movement of economic variables in a high-dimensional data set. High dimensionality brings challenges as well as new insights into the advancement of econometric theory. Because of their ability to effectively summarize...

Persistent link: https://www.econbiz.de/10014124290

Combining long memory and level shifts in modeling and forecasting of persistent time series

Varneskov, Rasmus Tangsgaard; Perron, Pierre - 2011

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Forecasting return volatility : level shifts with varying jump probability and mean reversion

Xu, Jiawen; Perron, Pierre - In: International journal of forecasting 30 (2014) 3, pp. 449-463

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Tests of return predictability : an analysis of their properties based on a continuous time asymptotic framework

Perron, Pierre; Vodounou, Cosmé - In: Journal of empirical finance 11 (2004) 2, pp. 203-230

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Testing for changes in forecasting performance

Perron, Pierre; Yamamoto, Yohei - 2018

Persistent link: https://www.econbiz.de/10011962445

Combining long memory and level shifts in modelling and forecasting the volatility of asset returns

Varneskov, Rasmus Tangsgaard; Perron, Pierre - In: Quantitative finance 18 (2018) 3, pp. 371-393

Persistent link: https://www.econbiz.de/10011906384

Comments on "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models"

Perron, Pierre; Xu, Jiawen - In: International journal of forecasting 32 (2016) 3, pp. 891-892

Persistent link: https://www.econbiz.de/10011621864

Rejoinder to the discussion "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models"

Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - In: International journal of forecasting 32 (2016) 3, pp. 893-894

Persistent link: https://www.econbiz.de/10011621879