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Estimating and forecasting with a dynamic spatial panel data model

Baltagi, Badi H.; Fingleton, Bernard; Pirotte, Alain - 2011

Persistent link: https://www.econbiz.de/10009546961

Estimating and forecasting with a dynamic spatial panel data model

Baltagi, Badi H.; Fingleton, Bernard; Pirotte, Alain - In: Oxford bulletin of economics and statistics 76 (2014) 1, pp. 112-138

Persistent link: https://www.econbiz.de/10010439610

A non-parametric test and predictive model for signed path dependence

Dias, Fabio S.; Peters, Gareth - In: Computational economics 56 (2020) 2, pp. 461-498

Persistent link: https://www.econbiz.de/10012272043

About predictions in spatial autoregressive models : optimal and almost optimal strategies

Goulard, Michel; Laurent, Thibault; Thomas-Agnan, Christine - In: Spatial economic analysis : the journal of the Regional … 12 (2017) 2/3, pp. 304-325

Persistent link: https://www.econbiz.de/10011669341

A latent factor model for forecasting realized variances

Calzolari, Giorgio; Halbleib, Roxana; Zagidullina, Aygul - In: Journal of financial econometrics 19 (2021) 5, pp. 860-909

Persistent link: https://www.econbiz.de/10012799052

Predicting Momentum

Ma, Siyuan - 2022

This paper examines to what extent the momentum spread ratio (MSR) can predict momentum profits. The momentum spread ratio as a potential proxy of investor underreaction can significantly predict the momentum, industry momentum, and residual momentum, especially after 1994, suggesting that...

Persistent link: https://www.econbiz.de/10013404733