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Modelling and forecasting long memory in exchange rate volatility vs. stable and integrated GARCH models

Akgül, Işıl; Sayyan, Hülya - In: Applied financial economics 18 (2008) 4/6, pp. 463-482

Persistent link: https://www.econbiz.de/10003739179

Modelling long-run trends and cycles in financial time series data

Caporale, Guglielmo Maria (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003739803

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

Real-time forecasting of German GDP based on a large factor model with monthly and quarterly data

Schumacher, Christian; Breitung, Jörg - In: International journal of forecasting 24 (2008) 3, pp. 386-398

Persistent link: https://www.econbiz.de/10003764088

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

Trend/cycle decomposition of regime-switching processes

Morley, James C.; Piger, Jeremy Max - In: Journal of econometrics 146 (2008) 2, pp. 220-226

Persistent link: https://www.econbiz.de/10003782912

Forecasting economic time series using targeted predictors

Bai, Jushan; Ng, Serena - In: Journal of econometrics 146 (2008) 2, pp. 304-317

Persistent link: https://www.econbiz.de/10003782981

Do nonlinear tools make a difference in handling shipping derivatives?

Goulielmos, Alexander M.; Goulielmos, Matina A. - In: International journal of transport economics : IJTE 35 (2008) 3, pp. 345-371

Persistent link: https://www.econbiz.de/10003786480

Out-of-sample comparison of Copula specifications in multivariate density forecasts

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008

Persistent link: https://www.econbiz.de/10003787159

The universal shape of economic recession and recovery after a shock

Challet, Damien (contributor); Solomon, Sorin (contributor); … - 2009

We show that a simple and intuitive three-parameter equation fits remarkably well the evolution of the gross domestic product (GDP) in current and constant dollars of many countries during the times of recession and recovery. We then argue that it can be used to detect shocks and discuss its...

Persistent link: https://www.econbiz.de/10003789641