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Bootstrap VAR forecasts : the effect of model uncertainties
Fresoli, Diego - In: Journal of forecasting 41 (2022) 2, pp. 279-293
Persistent link: https://www.econbiz.de/10012817747
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Standard error biases when using generated regressors in accounting research
Chen, Wei; Hribar, Paul; Melessa, Sam - In: Journal of accounting research 61 (2023) 2, pp. 531-569
Persistent link: https://www.econbiz.de/10014308353
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Quantile-based GARCH-MIDAS : estimating value-at-risk using mixed-frequency information
Xu, Yan; Wang, Xinyu; Liu, Hening - In: Finance research letters 43 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10014632411
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A comparison of expected shortfall estimation models
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of economics & business 78 (2015), pp. 14-47
Persistent link: https://www.econbiz.de/10011317189
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Robust estimation of conditional risk measures using machine learning algorithm for commodity futures prices in the presence of outliers
Byers, John W.; Popova, I.; Simkins, Betty J. - In: Journal of commodity markets 24 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10013392402
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Semiparametric structure guided by prior knowledge with applications in economics
Scholz, Michael - 2011
example, the curse of dimensionality can be circumvented, the estimation accuracy on boundaries can be improved, or the bias …
Persistent link: https://www.econbiz.de/10010238701
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Bias-corrected bootstrap prediction intervals for autoregressive model : new alternatives with applications to tourism forecasting
Kim, Jae H.; Song, Haiyang; Wong, Kevin - In: Journal of forecasting 29 (2010) 7, pp. 655-672
Persistent link: https://www.econbiz.de/10008935428
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Bootstrap multi-step forecasts of non-Gaussian VAR models
Fresoli, Diego; Ruiz, Esther; Pascual, Lorenzo - In: International journal of forecasting 31 (2015) 3, pp. 834-848
Persistent link: https://www.econbiz.de/10011474590
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Bootstrapping prediction intervals for autoregressive models
Clements, Michael P.; Taylor, Nicholas - In: International journal of forecasting 17 (2001) 2, pp. 247-267
Persistent link: https://www.econbiz.de/10001575596
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Data snooping bias in tests of the relative performance of multiple forecasting models
Anghel, Dan Gabriel - In: Journal of banking & finance 126 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012820405