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Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data

Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - 2015

The article compares forecast quality from two atheoretical models. Neither method assumed a priori causality and forecasts were generated without additional assumptions about regressors. Tendency survey data was used within the Bayesian averaging of classical estimates (BACE) framework and...

Persistent link: https://www.econbiz.de/10011349021

Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations

Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87

Persistent link: https://www.econbiz.de/10010380478

Forecasting volatility of stock indices with ARCH model

Alam, Md. Zahangir; Siddikee, Md. Noman; Masukujjaman, Md. - In: International journal of financial research 4 (2013) 2, pp. 126-143

Persistent link: https://www.econbiz.de/10010205105

Box-Jenkins modeling of Greek stock prices data

Dritsaki, Chaido - In: International journal of economics and financial issues … 5 (2015) 3, pp. 740-747

Persistent link: https://www.econbiz.de/10011454204

Linear time-varying regression with a DCC-GARCH model for volatility

Kim, Jong-Min; Jung, Hojin; Qin, Li - In: Applied economics 48 (2016) 16/18, pp. 1573-1582

Persistent link: https://www.econbiz.de/10011456689

Can Google data help predict French youth unemployment?

Fondeur, Yannick; Karamé, Frédéric - In: Economic modelling 30 (2013), pp. 117-125

Persistent link: https://www.econbiz.de/10009703714

Treasury yield implied volatility and real activity

Cremers, Martijn; Fleckenstein, Matthias; Gandhi, Priyank - In: Journal of financial economics 140 (2021) 2, pp. 412-435

Persistent link: https://www.econbiz.de/10012650450

Forecasting implied volatility in foreign exchange markets : a functional time series approach

Kearney, Fearghal; Cummins, Mark; Murphy, Finbarr - In: The European journal of finance 24 (2018) 1/3, pp. 1-18

Persistent link: https://www.econbiz.de/10012244257

Cointegration, error correction and exchange rate forecasting

Moosa, Imad A.; Vaz, John J. - In: Journal of international financial markets, … 44 (2016), pp. 21-34

Persistent link: https://www.econbiz.de/10011690363

A reconsideration of the meese-rogoff puzzle : an alternative approach to model estimation and forecast evaluation

Burns, Kelly - In: Multinational finance journal : MF ; quarterly … 20 (2016) 1, pp. 41-83

Persistent link: https://www.econbiz.de/10012106895