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Mehrabani, Ali; Parsaeian, Shahnaz; Ullah, Aman - 2024

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A new test on asset return predictability with structural breaks

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Predictive model averaging with parameter instability and heteroskedasticity

Yin, Anwen - In: Bulletin of economic research 76 (2024) 2, pp. 418-442

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Threshold models in time series analysis : some reflections

Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491

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Sensitivity of univariate AR(1) time-series forecasts near the unit root

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Prediction and simulation using simple models characterized by nonstationarity and seasonality

Swanson, Norman R.; Urbach, Richard - 2013

In this paper, we provide new evidence on the empirical usefulness of various simple seasonal models, and underscore the importance of carefully designing criteria by which one judges alternative models. In particular, we underscore the importance of both choice of forecast or simulation horizon...

Persistent link: https://www.econbiz.de/10009777938