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Modelling a latent daily Tourism Financial Conditions Index
Chang, Chia-Lin - In: International review of economics & finance : IREF 40 (2015), pp. 113-126
Persistent link: https://www.econbiz.de/10011573563
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Forecasting under long memory
Hassler, Uwe; Pohle, Marc-Oliver - In: Journal of financial econometrics 21 (2023) 3, pp. 742-778
Persistent link: https://www.econbiz.de/10014314818
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Nowcasting inflation : a state-space approach using high-frequency data
Allon, Joan Christine S.; Bautista, Dennis M.; Dacio, … - 2022
Persistent link: https://www.econbiz.de/10014318696
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Forecasting random walks under drift instability
Pesaran, M. Hashem; Pick, Andreas - 2008
Persistent link: https://www.econbiz.de/10003850869
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Forecasting random walks under drift instability
Pesaran, M. Hashem (contributor); Pick, Andreas (contributor) - 2008
Persistent link: https://www.econbiz.de/10003711763
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Forecasting random walks under drift instability
Pesaran, M. Hashem; Pick, Andreas - 2009
Persistent link: https://www.econbiz.de/10003816240
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Time-varying trend models for forecasting inflation in Australia
Guo, Na; Zhang, Bo; Cross, Jamie - In: Journal of forecasting 41 (2022) 2, pp. 316-330
Persistent link: https://www.econbiz.de/10012817762
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Stochastic volatility models with ARMA innovations : an application to G7 inflation forecasts
Zhang, Bo; Chan, Joshua; Cross, Jamie - In: International journal of forecasting 36 (2020) 4, pp. 1318-1328
Persistent link: https://www.econbiz.de/10012546706
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Forecasting Random Walks under Drift Instability
Pesaran, M. Hashem - 2011
This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …
Persistent link: https://www.econbiz.de/10012714199
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Forecasting Random Walks Under Drift Instability
Pesaran, M. Hashem - 2011
This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …
Persistent link: https://www.econbiz.de/10012756639