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An evaluation of the effectiveness of three early-warning models on financial indexes

He, Yumei; Xu, Xinyi; Cai, Yuewen; Cheng, Mengya - In: Applied economics letters 29 (2022) 20, pp. 1880-1884

Persistent link: https://www.econbiz.de/10013412324

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

Mining big data using parsimonious factor, machine learning, variable selection and shrinkage methods

Kim, Hyun Hak; Swanson, Norman R. - In: International journal of forecasting 34 (2018) 2, pp. 339-354

Persistent link: https://www.econbiz.de/10012030940

Complete subset regressions with large-dimensional sets of predictors

Elliott, Graham; Gargano, Antonio; Timmermann, Allan - In: Journal of economic dynamics & control 54 (2015), pp. 86-110

Persistent link: https://www.econbiz.de/10011587071

Forecasting with supervised factor models

Umbach, Simon Lineu - In: Empirical economics : a journal of the Institute for … 58 (2020) 1, pp. 169-190

Persistent link: https://www.econbiz.de/10012216370

Macroeconomic forecasting with factor-augmented adjusted band regression

Chudý, Marek; Reschenhofer, Erhard - In: Econometrics : open access journal 7 (2019) 4/46, pp. 1-14

Previous findings indicate that the inclusion of dynamic factors obtained from a large set of predictors can improve macroeconomic forecasts. In this paper, we explore three possible further developments: (i) using automatic criteria for choosing those factors which have the greatest predictive...

Persistent link: https://www.econbiz.de/10012160746