Similar Search Results

Models for optimising the theta method and their relationship to state space models

Fiorucci, Jose A.; Pellegrini, Tiago R.; Louzada, Francisco - In: International journal of forecasting 32 (2016) 4, pp. 1151-1161

Persistent link: https://www.econbiz.de/10011622119

Forecasting and nowcasting economic growth in the euro area using factor models

Hindrayanto, Irma; Koopman, Siem Jan; Winter, Jasper de - In: International journal of forecasting 32 (2016) 4, pp. 1284-1305

Persistent link: https://www.econbiz.de/10011622152

Forecasting based on decomposed financial return series : a wavelet analysis

Berger, Theo - In: Journal of forecasting 35 (2016) 5, pp. 419-433

Persistent link: https://www.econbiz.de/10011580976

Bayesian analysis of a threshold stochastic volatility model

Wirjanto, Tony S.; Kolkiewicz, Adam W.; Men, Zhongxian - In: Journal of forecasting 35 (2016) 5, pp. 462-476

Persistent link: https://www.econbiz.de/10011580989

An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns

Ojeda Cunya, Junior Alex; Rodriguez, Gabriel - In: Macroeconomics and finance in emerging market economies 9 (2016) 1/3, pp. 34-55

Persistent link: https://www.econbiz.de/10011583531

Time-varying combinations of Bayesian dynamic models and equity momentum strategies

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016

A novel dynamic asset-allocation approach is proposed where portfolios as well as portfolio strategies are updated at every decision period based on their past performance. For modeling, a general class of models is specified that combines a dynamic factor and a vector autoregressive model and...

Persistent link: https://www.econbiz.de/10011563065

Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators

Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - In: Econometric reviews 35 (2016) 1/4, pp. 232-256

Persistent link: https://www.econbiz.de/10011549916

Forecasting copper prices with dynamic averaging and selection models

Buncic, Daniel; Moretto, Carlo - In: The North American journal of economics and finance : a … 33 (2015), pp. 1-38

Persistent link: https://www.econbiz.de/10011533586

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

Persistent link: https://www.econbiz.de/10010511565

A new index of financial conditions

Koop, Gary; Korobilis, Dimitris - In: European economic review : EER 71 (2014), pp. 101-116

Persistent link: https://www.econbiz.de/10010512275