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Range-based volatility estimation and forecasting
Benčík, Daniel - 2014
a vector error-correction model of daily highs and lows. Contrary to intuition, models based on co-integration of daily …
Persistent link: https://www.econbiz.de/10010461231
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Consumption, aggregate wealth and expected stock returns : an FCVAR approach
Quineche, Ricardo - In: Journal of time series econometrics 13 (2021) 1, pp. 21-42
Persistent link: https://www.econbiz.de/10012437824
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Dynamic econometrics in action: a biography of David F. Hendry
Ericsson, Neil R. - 2021
Persistent link: https://www.econbiz.de/10012589414
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Finite sample forecast properties and window length under breaks in cointegrated systems
Nocciola, Luca - In: Essays in honor of M. Hashem Pesaran : prediction and …, (pp. 167-196). 2022
Persistent link: https://www.econbiz.de/10013201853
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Non-stationary parametric single-index predictive models : simulation and empirical studies
Zhou, Ying; Kew, Hsein; Gao, Jiti - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 349-365). 2023
Persistent link: https://www.econbiz.de/10014313764
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Cointegration, forecasting, and some linear rational expectations models
Warne, Anders - 1989 - [2.] version
Persistent link: https://www.econbiz.de/10000124266
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Forecasting aggregates and disaggregates with common features
Espasa Terrades, Antoni; Mayo-Burgos, Iván - In: International journal of forecasting 29 (2013) 4, pp. 718-732
Persistent link: https://www.econbiz.de/10010221293
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Forecasting cointegrated nonstationary time series with time-varying variance
Tu, Yundong; Yi, Yanping - In: Journal of econometrics 196 (2017) 1, pp. 83-98
Persistent link: https://www.econbiz.de/10011743781
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Forecasting using sparse cointegration
Wilms, Ines; Croux, Christophe - In: International journal of forecasting 32 (2016) 4, pp. 1256-1267
Persistent link: https://www.econbiz.de/10011622146