Similar Search Results

Seeing inside the black box : using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments

Armah, Nii Ayi; Swanson, Norman R. - 2008

Persistent link: https://www.econbiz.de/10003763975

The Markov switching multi-fractal model of asset returns : estimation and forecasting of dynamic volatitility with multinomial specifications

Lee, Hwa Taek - 2007

Persistent link: https://www.econbiz.de/10003767966

Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging

Jumah, Adusei; Kunst, Robert M. - 2008

Persistent link: https://www.econbiz.de/10003778880

Smooth regimes, macroeconomic variables, and bagging for the short-term interest rate process

Audrino, Francesco; Medeiros, Marcelo C. - 2008

Persistent link: https://www.econbiz.de/10003773443

Cross-sectional forecasts of the equity premium

Polk, Christopher; Thompson, Samuel B.; Vuolteenaho, Tuomo - In: Journal of financial economics 81 (2006) 1, pp. 101-141

Persistent link: https://www.econbiz.de/10003340669

Variable selection and inference for multi-period forecasting problems

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009

This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both univariate and multivariate models. Theoretical results and Monte Carlo simulations suggest that iterated forecasts dominate direct forecasts when estimation error is a...