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Forecasting large datasets with reduced rank multivariate models

Carriero, Andrea (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003564869

On loss functions and ranking forecasting performances of multivariate volatility models

Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - In: Journal of econometrics 173 (2013) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10009719647

On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models

Laurent, Sébastien - 2012

framework. However, little is known about the ranking of multivariate volatility models in terms of their forecasting ability …. The ranking of multivariate volatility models is inherently problematic because it requires the use of a proxy for the … unobservable volatility matrix and this substitution may severely affect the ranking. We address this issue by investigating the …

Persistent link: https://www.econbiz.de/10013116642

Forecasting death rates using exogenous determinants

French, Declan; O'Hare, Colin - In: Journal of forecasting 33 (2014) 8, pp. 640-650

Persistent link: https://www.econbiz.de/10011282839

Factor-based forecasting in the presence of outliers : are factors better selected and estimated by the median than by the mean?

Kristensen, Johannes Tang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 3, pp. 309-338

Persistent link: https://www.econbiz.de/10010384286

Forecasting density function : application in finance

Sen, Rituparna; Ma, Changie - In: Journal of mathematical finance 5 (2015) 5, pp. 433-447

Persistent link: https://www.econbiz.de/10011440098

Forecasting using random subspace methods

Boot, Tom; Nibbering, Didier - 2016

Random subspace methods are a novel approach to obtain accurate forecasts in high-dimensional regression settings. We provide a theoretical justification of the use of random subspace methods and show their usefulness when forecasting monthly macroeconomic variables. We focus on two approaches....

Persistent link: https://www.econbiz.de/10011531132

On the identification of sales forecasting models in the presence of promotions

Trapero, Juan R.; Kourentzes, Nikolaos; Fildes, Robert - In: Journal of the Operational Research Society : OR 66 (2015) 2, pp. 299-307

Persistent link: https://www.econbiz.de/10010487519

Nowcasting real GDP for Saudi Arabia

Alkhareif, Ryadh M.; Barnett, William A. - In: Open economies review 33 (2022) 2, pp. 333-345

Persistent link: https://www.econbiz.de/10013273192

Sparse structures with LASSO through principal components : forecasting GDP components in the short-run

Jokubaitis, Saulius; Celov, Dmitrij; Leipus, Remigijus - In: International journal of forecasting 37 (2021) 2, pp. 759-776

Persistent link: https://www.econbiz.de/10012792868

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