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Testing Granger causality in the presence of threshold effects
Li, Jing - In: International journal of forecasting 22 (2006) 4, pp. 771-780
Persistent link: https://www.econbiz.de/10003385876
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Testing for multiple-period predictability between serially dependent time series
Heaton, Christopher - In: International journal of forecasting 31 (2015) 3, pp. 587-597
Persistent link: https://www.econbiz.de/10011474421
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Covariance estimation for multivariate conditionally Gaussian dynamic linear models
Triantafyllopoulos, K. - In: Journal of forecasting 26 (2007) 8, pp. 551-569
Persistent link: https://www.econbiz.de/10003608120
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Estimation and forecasting of dynamic conditional covariance : a semiparametric multivariate model
Long, Xiangdong; Su, Liangjun; Ullah, Aman - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 1, pp. 109-125
Persistent link: https://www.econbiz.de/10009159106
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Matrix Box-Cox models for multivariate realized volatility
Weigand, Roland - 2014
covariance matrix eigenvalues, while for the Box-Cox dynamic correlation (BC-DC) specification the variances are transformed …
Persistent link: https://www.econbiz.de/10010344500
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Asymptotic variance of Brier (skill) score in the presence of serial correlation
Lahiri, Kajal; Yang, Liu - 2015
applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance … of taking care of serial correlation. We find that the conventional variances are too conservative to account for the …
Persistent link: https://www.econbiz.de/10010503468
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Two classes of covariance matrices giving simple linear forecasts
Jewell, William S. - 1975
Persistent link: https://www.econbiz.de/10003066199
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Dynamics of Macroeconomic Forecasting Variation and Correlation Structure in the Business Cycle
Han, Lloyd S. - 2020
, the signal accuracy and the correlation structure across signals, and analyze how time variation in these two properties …
Persistent link: https://www.econbiz.de/10012843071
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Finding the Nearest Valid Covariance Matrix : A FX Market Case
Minabutdinov, Alexey - 2018
We consider the problem of finding a valid covariance matrix in the FX market given an initial non-PSD estimate of such a matrix. The standard no-arbitrage assumption implies additional linear constraints on such matrices, which automatically makes them singular. As a result, one cannot just...
Persistent link: https://www.econbiz.de/10012937911