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Large vector autoregressions with stochastic volatility and flexible priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2016
Persistent link: https://www.econbiz.de/10011549652
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ETLA macro model for forecasting and policy simulations
Lehmus, Markku - In: Economic modelling 74 (2018), pp. 142-166
Persistent link: https://www.econbiz.de/10012101320
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Intrinsic heterogeneity in expectation formation
Branch, William A.; Evans, George W. - In: Journal of economic theory 127 (2006) 1, pp. 264-295
Persistent link: https://www.econbiz.de/10003300590
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Symposium on stochastic volatility : an introductory overview
Viens, Frederi G. - In: Annals of finance 8 (2012) 2/3, pp. 151-157
Persistent link: https://www.econbiz.de/10009548135
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Structural-break models under mis-specification : implications for forecasting
Koo, Bonsoo; Seo, Myung Hwan - 2013
Persistent link: https://www.econbiz.de/10009724649
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Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction
Liao, Yin - 2012
volatility models are compared in terms of their VaR forecasting performances through a Monte Carlo study and an analysis based …
Persistent link: https://www.econbiz.de/10013105658
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Structural-Break Models under Mis-specification : Implications for Forecasting
Koo, Bonsoo - 2015
continuously or with some jumps. This view is widely held in the forecasting literature and under this view, the time series … contemporary forecasting methods is compared to ours using a number of macroeconomic data …
Persistent link: https://www.econbiz.de/10013035699
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Structural-break models under mis-specification : implications for forecasting
Koo, Bonsoo; Seo, Myung Hwan - 2013 - Rev. ed.
Persistent link: https://www.econbiz.de/10009740804
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Retiree mortality forecasting : a partial age-range or a full age-range model?
Shang, Han Lin; Haberman, Steven - In: Risks : open access journal 8 (2020) 3/69, pp. 1-11
, modeling and forecasting can take place in two routes. On the one hand, we can first truncate the available data to retiree …. This is a disadvantage of using methods based on time-series extrapolation for long-term forecasting. Instead, an …
Persistent link: https://www.econbiz.de/10012293122
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Triple the gamma : a unifying shrinkage prior for variance and variable selection in sparse state space and TVP models
Cadonna, Annalisa; Frühwirth-Schnatter, Sylvia; Knaus, … - In: Econometrics : open access journal 8 (2020) 2/20, pp. 1-36
Time-varying parameter (TVP) models are very flexible in capturing gradual changes in the effect of explanatory variables on the outcome variable. However, in particular when the number of explanatory variables is large, there is a known risk of overfitting and poor predictive performance, since...
Persistent link: https://www.econbiz.de/10012265494