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Estimation of time-varying covariance matrices for large datasets
Dendramis, Yiannis; Giraitis, Liudas; Kapetanios, George - 2020
Unemployment, firm Dynamics, and the Business CyclTime variation is a fundamental problem in statistical and econometric analysis of macroeconomic and financial data. Recently there has been considerable focus on developing econometric modelling that enables stochastic structural change in model...
Persistent link: https://www.econbiz.de/10012670879
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On the aggregation of probability assessments : regularized mixtures of predictive densities for eurozone inflation and real interest rates
Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - 2021
Persistent link: https://www.econbiz.de/10013206037
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Machine learning for regularized survey forecast combination : partially-egalitarian LASSO and its derivatives
Diebold, Francis X.; Shin, Minchul - In: International journal of forecasting 35 (2019) 4, pp. 1679-1691
Persistent link: https://www.econbiz.de/10012305515
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Macroeconomic forecasting for Australia using a large number of predictors
Panagiotelis, Anastasios; Athanasopoulos, George; … - In: International journal of forecasting 35 (2019) 2, pp. 616-633
Persistent link: https://www.econbiz.de/10012300705
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Beating the simple average : egalitarian LASSO for combining economic forecasts
Diebold, Francis X.; Shin, Minchul - 2017
Persistent link: https://www.econbiz.de/10011770567
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Macroeconomic forecasting for Australia using a large number of predictors
Jiang, Bin; Athanasopoulos, George; Hyndman, Rob J.; … - 2016
Persistent link: https://www.econbiz.de/10011781960
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On the aggregation of probability assessments : regularized mixtures of predictive densities for eurozone inflation and real interest rates
Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - 2021
Persistent link: https://www.econbiz.de/10012431724
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Estimation of time-varying covariance matrices for large datasets
Dendramis, Yiannis; Giraitis, Liudas; Kapetanios, George - 2020
Unemployment, firm Dynamics, and the Business CyclTime variation is a fundamental problem in statistical and econometric analysis of macroeconomic and financial data. Recently there has been considerable focus on developing econometric modelling that enables stochastic structural change in model...
Persistent link: https://www.econbiz.de/10012316010
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On the aggregation of probability assessments : regularized mixtures of predictive densities for Eurozone inflation and real interest rates
Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - In: Journal of econometrics 237 (2023) 2,3, pp. 1-25
Persistent link: https://www.econbiz.de/10014471814
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Sparse and stable international portfolio optimization and currency risk management
Burkhardt, Raphael; Ulrych, Urban - In: Journal of international money and finance 139 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014478227