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Distance-based nearest neighbour forecasting with application to exchange rate predictability

Kyriazi, Foteini; Thomakos, Dimitrios D. - In: IMA journal of management mathematics 31 (2020) 4, pp. 469-490

Persistent link: https://www.econbiz.de/10012314033

The random walk in the stock prices of 18 OECD countries : some robust panel-based integration and cointegration tests

Shirvani, Hassan; Delcoure, Natalya V. - In: Journal of economic studies 43 (2016) 4, pp. 598-608

Persistent link: https://www.econbiz.de/10011690283

Modelling Financial Time Series.

Taylor, Stephen J - 2007 - 2nd ed.

innovative models for prices can be estimated and used to make forecastsContains pioneering contributions about the volatility of … of a squared linear process -- 3 MODELLING PRICE VOLATILITY -- 3.1 Introduction -- 3.2 Elementary variance models. …

Persistent link: https://www.econbiz.de/10012690953

The fourier quantile unit root test with an application to the PPP hypothesis in the OECD

Bahmani-Oskooee, Mohsen; Chang, Tsangyao; Ranjbar, Omid - In: Applied economics quarterly 63 (2017) 3, pp. 295-317

Persistent link: https://www.econbiz.de/10011890423

Panel LM unit root tests with level and trend shifts

Lee, Junsoo; Tieslau, Margie A. - In: Economic modelling 80 (2019), pp. 1-10

Persistent link: https://www.econbiz.de/10012199158

PPP in the 34 OECD countries : evidence from quantile-based unit root tests with both smooth and sharp breaks

Bahmani-Oskooee, Mohsen; Wu, Tsung-Pao - In: Applied economics 50 (2018) 23, pp. 2622-2634

Persistent link: https://www.econbiz.de/10011850300

A new approach to testing unemployment hysteresis

Furuoka, Fumitaka - In: Empirical economics : a journal of the Institute for … 53 (2017) 3, pp. 1253-1280

Persistent link: https://www.econbiz.de/10011893036

Detecting housing price bubbles using panel unit roots tests

Korkmaz, Özge - In: Selected topics in applied econometrics, (pp. 87-115). 2019

Persistent link: https://www.econbiz.de/10012286929

Hysteresis and stochastic convergence in Eurozone unemployment rates : evidence from panel unit roots with smooth breaks and asymmetric dynamics

Corakci, Aysegul; Omay, Tolga; Hasanov, Mübariz - In: Oeconomia Copernicana 13 (2022) 1, pp. 11-55

Persistent link: https://www.econbiz.de/10013255717

Conditional variance forecasts for long-term stock returns

Mammen, Enno; Nielsen, Jens Perch; Scholz, Michael; … - In: Risks : open access journal 7 (2019) 4/113, pp. 1-22

In this paper, we apply machine learning to forecast the conditional variance of long-term stock returns measured in … inflation rate. In particular, we apply in a two-step procedure a fully nonparametric local-linear smoother and choose the set … of covariates as well as the smoothing parameters via cross-validation. We find that volatility forecastability is much …

Persistent link: https://www.econbiz.de/10012127861