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Prerequisites for modeling price and return data series for the Bucharest Stock Exchange

Tinca, Andrei - In: Theoretical and applied economics : GAER review 20 (2013) 11, pp. 117-126

Persistent link: https://www.econbiz.de/10010224748

Robust measures of skewness and kurtosis for macroeconomic and financial time series

Bastianin, Andrea - In: Applied economics 52 (2020) 7, pp. 637-670

Persistent link: https://www.econbiz.de/10012197454

Dynamic Factor Trees and Forests : a theory-led machine learning framework for non-linear and state-dependent short-term U.S. GDP growth predictions

Wochner, Daniel - 2020 - This version: January 31, 2020

Factor Forests (DFF) for macroeconomic forecasting, which synthesize the recent machine learning, dynamic factor model and … proposed in Zeileis, Hothorn and Hornik (2008). DFTs and DFFs are non-linear and state-dependent forecasting models, which … powerful tree-based machine learning ensembles conditional on the state of the business cycle. The out-of-sample forecasting …

Persistent link: https://www.econbiz.de/10012172506

Smooth threshold autoregressive models and Markov process : an application to the Lebanese GDP growth rate

Verne, Jean-François - In: International econometric review 13 (2021) 3, pp. 71-88

This paper analyzes the evolution of the Lebanese GDP growth rate over the period 1970- 2019 by estimating two kinds of switching models: The Smooth Transition Autoregressive (STAR) model and the model of the Markov process. These models show, on the one hand, asymmetries in the evolution of GDP...

Persistent link: https://www.econbiz.de/10012816175

Asymmetric business cycle fluctuations in Caribbean economies

Kiani, Khurshid M. - In: International journal of economic perspectives : IJEP 5 (2011) 2, pp. 121-140

Persistent link: https://www.econbiz.de/10011587461

Flexible markov-switching models with evolving regime-specific parameters : an application to Brazilian business cycles

Gomes, Fábio A.; Melo, Lívia C. M.; Soave, Gian Paulo - In: Applied economics 56 (2024) 14, pp. 1705-1722

Persistent link: https://www.econbiz.de/10014473203

Testing serial correlations in high-dimensional time series via extreme value theory

Tsay, Ruey S. - In: Journal of econometrics 216 (2020) 1, pp. 106-117

Persistent link: https://www.econbiz.de/10012439650

On the robustness of the principal volatility components

Trucíos, Carlos; Hotta, Luiz K.; Pereira, Pedro L. Valls - In: Journal of empirical finance 52 (2019), pp. 201-219

Persistent link: https://www.econbiz.de/10012171112

Risk correlation based on time-varying copula function and extreme value theory

Ji, Xinlong; Zhou, Lu - In: Theoretical economics letters 7 (2017) 7, pp. 2213-2229

Persistent link: https://www.econbiz.de/10011786009

Forecasting extreme financial risk : a score-driven approach

Fuentes, Fernanda; Herrera, Rodrigo; Clements, Adam - In: International journal of forecasting 39 (2023) 2, pp. 720-735

Persistent link: https://www.econbiz.de/10014465107

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