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A state-dependent linear recurrent formula with application to time series with structural breaks
Rahmani, Donya; Fay, Damien - In: Journal of forecasting 41 (2022) 1, pp. 43-63
Persistent link: https://www.econbiz.de/10012796267
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Equity premium prediction : keep it sophisticatedly simple
Yin, Anwen - In: Quantitative finance and economics 5 (2021) 2, pp. 264-286
Persistent link: https://www.econbiz.de/10012591937
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Optimal forecasts in the presence of discrete structural breaks under long memory
Mboya, Mwasi Paza; Sibbertsen, Philipp - 2022
We develop methods to obtain optimal forecast under long memory in the presence of a discrete structural break based on different weighting schemes for the observations. We observe significant changes in the forecasts when long-range dependence is taken into account. Using Monte Carlo...
Persistent link: https://www.econbiz.de/10014247842
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Optimal forecasts in the presence of discrete structural breaks under long memory
Mboya, Mwasi Paza; Sibbertsen, Philipp - In: Journal of forecasting 42 (2023) 7, pp. 1889-1908
Persistent link: https://www.econbiz.de/10014432798
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Forecasting risk in the US Dollar exchange rate under volatility shifts
Anjum, Hassan; Malik, Farooq - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-9
Persistent link: https://www.econbiz.de/10012664814
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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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Modelling our Changing World
Castle, Jennifer; Hendry, David F. - 2019 - 1st ed. 2019
? -- Chapter 4: Making Trends and Breaks Work for us -- Chapter 5: Indicator Saturation Methods -- Chapter 6: Combining Theory and …
Persistent link: https://www.econbiz.de/10012398751
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Does modeling a structural break improve forecast accuracy?
Boot, Tom; Pick, Andreas - In: Journal of econometrics 215 (2020) 1, pp. 35-59
Persistent link: https://www.econbiz.de/10012439152
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Prequential forecasting in the presence of structure breaks in natural gas spot markets
Duangnate, Kannika; Mjelde, James W. - In: Empirical economics : a journal of the Institute for … 59 (2020) 5, pp. 2363-2384
Persistent link: https://www.econbiz.de/10012314345
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A VAR approach to forecasting multivariate long memory processes subject to structural breaks
Wang, Cindy S. H.; Wan, Shui Ki - In: Essays in honor of Cheng Hsiao, (pp. 105-141). 2020
Persistent link: https://www.econbiz.de/10012249359