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Bayesian nonparametric methods for macroeconomic forecasting
Marcellino, Massimiliano; Pfarrhofer, Michael - 2024
Persistent link: https://www.econbiz.de/10014520837
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Spatial econometric models averaging
Parent, Oliver; Lesage, James P. - In: Handbook of applied spatial analysis : software tools, …, (pp. 435-460). 2010
Persistent link: https://www.econbiz.de/10003969516
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GARCH Models with Long Memory and Nonparametric Specifications
Conrad, Christian - 2006
Persistent link: https://www.econbiz.de/10003402366
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Statistics and finance : an introduction
Ruppert, David - 2004
regression using splines, are introduced as needed. The classical methods of finance such as portfolio theory, CAPM, and the …:Introduction * Probability and Statistical Models * Returns * Time Series Models * Portfolio Theory * Regression * The Capital Asset Pricing …
Persistent link: https://www.econbiz.de/10001805902
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Regression models for ordinal valued time series with application to high frequency financial data
Müller, Gernot; Czado, Claudia - 2002
Persistent link: https://www.econbiz.de/10001744451
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Non-parametric determination of real-time lag structure between two time series: The "optimal thermal causal path" method with applications to economic data
Zhou, Wei-Xing; Sornette, Didier - In: Journal of macroeconomics 28 (2006) 1, pp. 195-224
Persistent link: https://www.econbiz.de/10003291163
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Bayesian averaging over many dynamic model structures with evidence on the Great Ratios and liquidity trap risk
Strachan, Rodney W.; Dijk, Herman K. van - 2008
A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...
Persistent link: https://www.econbiz.de/10011377110
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Dynamic model averaging and CPI inflation forecasts : a comparison between the euro area and the United States
Di Filippo, Gabriele - In: Journal of forecasting 34 (2015) 8, pp. 619-648
Persistent link: https://www.econbiz.de/10011397637
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Bayesian averaging over many dynamic model structures with evidence on the great ratios and liquidity trap risk
Strachan, Rodney W.; Dijk, Herman K. van - 2008
Persistent link: https://www.econbiz.de/10003774524
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Quantile smoothing splines
Koenker, Roger; Ng, Pin T.; Portnoy, Steven - 1993
Persistent link: https://www.econbiz.de/10000866011