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Variable selection and forecasting in high dimensional linear regressions with structural breaks

Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2020

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...

Persistent link: https://www.econbiz.de/10012258549

Consumption, aggregate wealth and expected stock returns : a fractional cointegration approach

Ren, Yu; Xie, Tian - In: Quantitative finance 18 (2018) 12, pp. 2101-2112

Persistent link: https://www.econbiz.de/10012262986

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

Ordinal-response GARCH models for transaction data : a forecasting exercise

Dimitrakopoulos, Stefanos; Tsionas, Efthymios G. - In: International journal of forecasting 35 (2019) 4, pp. 1273-1287

Persistent link: https://www.econbiz.de/10012305278

A new test of asset return predictability with an unstable predictor

Chang, Seong Yeon - In: Economics letters 196 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012510680

Modelling and forecasting unbiased extreme value volatility estimator : A study based on exchange rates with economic significance analysis

Kumar, Dilip - In: The journal of prediction markets 13 (2019) 1, pp. 3-28

Persistent link: https://www.econbiz.de/10012607570

Treasury yield implied volatility and real activity

Cremers, Martijn; Fleckenstein, Matthias; Gandhi, Priyank - In: Journal of financial economics 140 (2021) 2, pp. 412-435

Persistent link: https://www.econbiz.de/10012650450

Volatility analysis with realized GARCH-Itô models

Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410

Persistent link: https://www.econbiz.de/10012619433

Large mixed-frequency VARs with a parsimonious time-varying parameter structure

Götz, Thomas B.; Hauzenberger, Klemens - In: The econometrics journal 24 (2021) 3, pp. 442-461

Persistent link: https://www.econbiz.de/10012620715

Nonparametric predictive regressions for stock return brediction

Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2019

Persistent link: https://www.econbiz.de/10012698837

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