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Size matters : estimation sample length and electricity price forecasting accuracy

Fezzi, Carlo; Mosetti, Luca - In: The energy journal 41 (2020) 4, pp. 231-254

Persistent link: https://www.econbiz.de/10012546856

Rolling window selection for out-of-sample forecasting with time-varying parameters

Inoue, Atsushi; Lu, Jin; Rossi, Barbara - In: Journal of econometrics 196 (2017) 1, pp. 55-67

Persistent link: https://www.econbiz.de/10011743498

Robust inference for diffusion-index forecasts with cross-sectionally dependent data

Kim, Min Seong - 2021

Persistent link: https://www.econbiz.de/10012593573

Robust inference for diffusion-index forecasts with cross-sectionally dependent data

Kim, Min Seong - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1153-1167

Persistent link: https://www.econbiz.de/10013539471

Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement

Liu, Xiaoyu; Yan, Xing; Zhang, Kun - In: European journal of operational research : EJOR 312 (2024) 3, pp. 1168-1177

Persistent link: https://www.econbiz.de/10014456483

Forecasting with many predictors - Is boosting a viable alternative?

Buchen, Teresa; Wohlrabe, Klaus - 2010

This paper evaluates the forecast performance of boosting, a variable selection device, and compares it with the forecast combination schemes and dynamic factor models presented in Stock and Watson (2006). Using the same data set and comparison methodology, we find that boosting is a serious...

Persistent link: https://www.econbiz.de/10010427583

Wind power forecasting using the k-nearest neighbors algorithm

Mangalova, E.; Agafonov, E. - In: International journal of forecasting 30 (2014) 2, pp. 402-406

Persistent link: https://www.econbiz.de/10010510891

Nonparametric prediction of stock returns based on yearly data : the long-term view

Scholz, Michael; Nielsen, Jens Perch; Sperlich, Stefan - In: Insurance / Mathematics & economics 65 (2015), pp. 143-155

Persistent link: https://www.econbiz.de/10011422898

Bandwidth selection by cross-validation for forecasting long memory financial time series

Baillie, Richard; Kapetanios, George; Papailias, Fotis - In: Journal of empirical finance 29 (2014), pp. 129-143

Persistent link: https://www.econbiz.de/10011300500

Forecasting with factor-augmented regression : a frequentist model averaging approach

Cheng, Xu; Hansen, Bruce E. - In: Journal of econometrics 186 (2015) 2, pp. 280-293

Persistent link: https://www.econbiz.de/10011349480