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Time‐varying parameter realized volatility models

Wang, Yudong; Pan, Zhiyuan; Wu, Chongfeng - In: Journal of forecasting 36 (2017) 5, pp. 566-580

Persistent link: https://www.econbiz.de/10011860698

Multistep forecast selection for panel data

Greenaway-McGrevy, Ryan - In: Econometric reviews 39 (2020) 4, pp. 373-406

Persistent link: https://www.econbiz.de/10012181429

Exploiting resampling techniques for model selection in forecasting : an empirical evaluation using out-of-sample tests

Sarris, Dimitrios; Spiliotis, Evangelos; Assimakopoulos, V. - In: Operational research : an international journal 20 (2020) 2, pp. 701-721

Persistent link: https://www.econbiz.de/10012214658

Forecast combinations in a DSGE-VAR lab

Costantini, Mauro; Gunter, Ulrich; Kunst, Robert M. - In: Journal of forecasting 36 (2017) 3, pp. 305-324

Persistent link: https://www.econbiz.de/10011729264

Forecast accuracy of a BVAR under alternative specifications of the zero lower bound

Berg, Tim Oliver - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10011705718

Selecting a model for forecasting

Castle, Jennifer; Doornik, Jurgen A.; Hendry, David F. - In: Econometrics : open access journal 9 (2021) 3, pp. 1-35

We investigate forecasting in models that condition on variables for which future values are unknown. We consider the … simulation experiment. The results show that the trade-off for selecting variables in forecasting models in a stationary world …

Persistent link: https://www.econbiz.de/10012593995

Model complexity and out-of-sample performance : evidence from S&P 500 index returns

Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of economic dynamics & control 90 (2018), pp. 1-29

Persistent link: https://www.econbiz.de/10011974016

Optimal model averaging based on forward-validation

Zhang, Xiaomeng; Zhang, Xinyu - In: Journal of econometrics 237 (2023) 2,3, pp. 1-20

Persistent link: https://www.econbiz.de/10014471810

Beta autoregressive moving average model selection with application to modeling and forecasting stored hydroelectric energy

Cribari-Neto, Francisco; Scher, Vinícius T.; Bayer, … - In: International journal of forecasting 39 (2023) 1, pp. 98-109

Persistent link: https://www.econbiz.de/10014462770

Forecast selection and representativeness

Petropoulos, Fotios; Siemsen, Enno - In: Management science : journal of the Institute for … 69 (2023) 5, pp. 2672-2690

Persistent link: https://www.econbiz.de/10014305430

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