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Semi-parametric modelling of correlation dynamics

Hafner, Christian M.; Dijk, Dick van; Franses, Philip Hans - 2006

Persistent link: https://www.econbiz.de/10003331369

Dynamic factor models for the volatility surface

Wel, Michel van der; Ozturk, Sait R.; Dijk, Dick van - In: Dynamic factor models, (pp. 127-174). 2016

Persistent link: https://www.econbiz.de/10011448659

Predicting growth regimes foe European countries

Osborn, Denise R.; Sensier, Marianne; Dijk, Dick van - In: The Euro area business cycle : stylized facts and …, (pp. 61-82). 2004

Persistent link: https://www.econbiz.de/10003041477

Nonlinear error-correction models for interest rates in the Netherlands

Dijk, Dick van; Franses, Philip Hans - In: Nonlinear econometric modeling in time series : …, (pp. 203-227). 2000

Persistent link: https://www.econbiz.de/10001532229

Measuring core inflation in Australia with disaggregate ensembles

Ravazzolo, Francesco; Vahey, Shaun P. - In: Inflation in an era of relative price shocks : …, (pp. 178-201). 2010

Persistent link: https://www.econbiz.de/10008736223

Density forecasting

Bassetti, Federico; Casarin, Roberto; Ravazzolo, Francesco - In: Macroeconomic forecasting in the era of big data : …, (pp. 465-494). 2020

This chapter reviews different methods to construct density forecasts and to aggregate forecasts from many sources. Density evaluation tools to measure the accuracy of density forecasts are reviewed and calibration methods for improving the accuracy of forecasts are presented. The manuscript...

Persistent link: https://www.econbiz.de/10012160010