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A semi-parametric approach for estimating critical fractiles under autocorrelated demand

Lee, Yun Shin - In: European journal of operational research : EJOR 234 (2014) 1, pp. 163-173

Persistent link: https://www.econbiz.de/10010247342

Botosaru, Irene; Giacomini, Raffaella; Weidner, Martin - 2023

the focus should be on forecast unbiasedness rather than accuracy. Correct specification of the forecasting model is not …

Persistent link: https://www.econbiz.de/10014335601

A frequency-domain alternative to long-horizon regressions with application to return predictability

Sizova, Natalia - In: Journal of empirical finance 28 (2014), pp. 261-272

Persistent link: https://www.econbiz.de/10011285632

Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction

Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2018

In this paper, we propose three new predictive models: the multi-step nonparametric predictive regression model and the multi-step additive predictive regression model, in which the predictive variables are locally stationary time series; and the multi-step time-varying coefficient predictive...

Persistent link: https://www.econbiz.de/10011775136