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Probabilistic forecasting of heterogeneous consumer transaction-sales time series
Berry, Lindsay R.; Helman, Paul; West, Mike - In: International journal of forecasting 36 (2020) 2, pp. 552-569
Persistent link: https://www.econbiz.de/10012415225
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Econometric forecasting of tourist arrivals using Bayesian structural time-series
Andrews, Antony; Kimpton, Sean - In: Economic papers 42 (2023) 2, pp. 200-211
Persistent link: https://www.econbiz.de/10014365142
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Large time-varying parameter VARs
Koop, Gary; Korobilis, Dimitris - In: Journal of econometrics 177 (2013) 2, pp. 185-198
Persistent link: https://www.econbiz.de/10010254877
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Using VARs and TVP-VARs with many macroeconomic variables
Koop, Gary - 2013
Persistent link: https://www.econbiz.de/10009735892
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Bayesian monthly index for building activity based on mixed frequencies : the case of Chile
Idrovo-Aguirre, Byron J.; Contreras-Reyes, Javier E. - In: Journal of economic studies 49 (2022) 3, pp. 541-557
Persistent link: https://www.econbiz.de/10013173414
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Autocorrelation in an unobservable global trend : does it help to forecast market returns?
Peresetsky, Anatoly A.; Yakubov, Ruslan I. - In: International journal of computational economics and … 7 (2017) 1/2, pp. 152-169
Persistent link: https://www.econbiz.de/10011713553
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A new index of financial conditions
Koop, Gary; Korobilis, Dimitris - In: European economic review : EER 71 (2014), pp. 101-116
Persistent link: https://www.econbiz.de/10010512275
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Macroprudential policy and forecasting using hybrid DSGE models with financial frictions and state space Markov-Switching TVP-VARS
Bekiros, Stelios D.; Paccagnini, Alessia - In: Macroeconomic dynamics 19 (2015) 7, pp. 1565-1592
Persistent link: https://www.econbiz.de/10011515386
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Time-varying combinations of Bayesian dynamic models and equity momentum strategies
Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016
the forecast combination methodology of Casarin, Grassi, Ravazzolo and Van Dijk(2016). Given the complexity of the non …
Persistent link: https://www.econbiz.de/10011563065
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Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models
Warne, Anders; Coenen, Günter; Christoffel, Kai - 2014
forecast comparison exercise. This paper discusses how the predictive likelihood can be estimated for any subset of the … compare the density forecast performance of a DSGE model to DSGE-VARs and reduced-form linear Gaussian models. …
Persistent link: https://www.econbiz.de/10010412361