Hou, Yanxi; Leng, Xuan; Peng, Liang; Zhou, Yinggang Panel quantile regression for extreme risk. (English) Zbl 07822310 J. Econom. 240, No. 1, Article ID 105674, 20 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Y. Hou} et al., J. Econom. 240, No. 1, Article ID 105674, 20 p. (2024; Zbl 07822310) Full Text: DOI
Diebold, Francis X.; Rudebusch, Glenn D.; Göbel, Maximilian; Goulet Coulombe, Philippe; Zhang, Boyuan Reprint of: When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume. (English) Zbl 07813993 J. Econom. 239, No. 1, Article ID 105645, 17 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{F. X. Diebold} et al., J. Econom. 239, No. 1, Article ID 105645, 17 p. (2024; Zbl 07813993) Full Text: DOI
Cheng, Mingmian; Liao, Yuan; Yang, Xiye Uniform predictive inference for factor models with instrumental and idiosyncratic betas. (English) Zbl 07767731 J. Econom. 237, No. 2, Part C, Article ID 105373, 28 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{M. Cheng} et al., J. Econom. 237, No. 2, Part C, Article ID 105373, 28 p. (2023; Zbl 07767731) Full Text: DOI
Berrisch, Jonathan; Ziel, Florian CRPS learning. (English) Zbl 07767721 J. Econom. 237, No. 2, Part C, Article ID 105221, 24 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. Berrisch} and \textit{F. Ziel}, J. Econom. 237, No. 2, Part C, Article ID 105221, 24 p. (2023; Zbl 07767721) Full Text: DOI arXiv
Corradi, Valentina; Fosten, Jack; Gutknecht, Daniel Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk. (English) Zbl 07743053 J. Econom. 236, No. 2, Article ID 105490, 26 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{V. Corradi} et al., J. Econom. 236, No. 2, Article ID 105490, 26 p. (2023; Zbl 07743053) Full Text: DOI
Diebold, Francis X.; Rudebusch, Glenn D.; Göbel, Maximilian; Goulet Coulombe, Philippe; Zhang, Boyuan When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume. (English) Zbl 07743051 J. Econom. 236, No. 2, Article ID 105479, 17 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{F. X. Diebold} et al., J. Econom. 236, No. 2, Article ID 105479, 17 p. (2023; Zbl 07743051) Full Text: DOI arXiv
Chen, Le-Yu; Lee, Sokbae Sparse quantile regression. (English) Zbl 07704531 J. Econom. 235, No. 2, 2195-2217 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{L.-Y. Chen} and \textit{S. Lee}, J. Econom. 235, No. 2, 2195--2217 (2023; Zbl 07704531) Full Text: DOI arXiv
Abadir, Karim M.; Luati, Alessandra; Paruolo, Paolo GARCH density and functional forecasts. (English) Zbl 07704461 J. Econom. 235, No. 2, 470-483 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{K. M. Abadir} et al., J. Econom. 235, No. 2, 470--483 (2023; Zbl 07704461) Full Text: DOI arXiv
Diebold, Francis X.; Rudebusch, Glenn D. Probability assessments of an ice-free Arctic: comparing statistical and climate model projections. (English) Zbl 07633051 J. Econom. 231, No. 2, 520-534 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{F. X. Diebold} and \textit{G. D. Rudebusch}, J. Econom. 231, No. 2, 520--534 (2022; Zbl 07633051) Full Text: DOI arXiv
Jin, Xin; Maheu, John M.; Yang, Qiao Infinite Markov pooling of predictive distributions. (English) Zbl 07538782 J. Econom. 228, No. 2, 302-321 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{X. Jin} et al., J. Econom. 228, No. 2, 302--321 (2022; Zbl 07538782) Full Text: DOI
Dominitz, Jeff; Manski, Charles F. Minimax-regret sample design in anticipation of missing data, with application to panel data. (English) Zbl 07471887 J. Econom. 226, No. 1, 104-114 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. Dominitz} and \textit{C. F. Manski}, J. Econom. 226, No. 1, 104--114 (2022; Zbl 07471887) Full Text: DOI
Guay, François; Schwenkler, Gustavo Efficient estimation and filtering for multivariate jump-diffusions. (English) Zbl 1471.62448 J. Econom. 223, No. 1, 251-275 (2021). MSC: 62M05 60H10 60J60 62F12 62M20 62P05 PDFBibTeX XMLCite \textit{F. Guay} and \textit{G. Schwenkler}, J. Econom. 223, No. 1, 251--275 (2021; Zbl 1471.62448) Full Text: DOI
Liao, Jun; Zou, Guohua; Gao, Yan; Zhang, Xinyu Model averaging prediction for time series models with a diverging number of parameters. (English) Zbl 1471.62469 J. Econom. 223, No. 1, 190-221 (2021). MSC: 62M10 62M20 62F12 62P20 PDFBibTeX XMLCite \textit{J. Liao} et al., J. Econom. 223, No. 1, 190--221 (2021; Zbl 1471.62469) Full Text: DOI
Su, Jiun-Hua Model selection in utility-maximizing binary prediction. (English) Zbl 1471.62398 J. Econom. 223, No. 1, 96-124 (2021). MSC: 62H30 62B10 62P20 68T05 PDFBibTeX XMLCite \textit{J.-H. Su}, J. Econom. 223, No. 1, 96--124 (2021; Zbl 1471.62398) Full Text: DOI arXiv
Sun, Yuying; Hong, Yongmiao; Lee, Tae-Hwy; Wang, Shouyang; Zhang, Xinyu Time-varying model averaging. (English) Zbl 1471.62543 J. Econom. 222, No. 2, 974-992 (2021). MSC: 62P20 62J05 62M10 62M20 PDFBibTeX XMLCite \textit{Y. Sun} et al., J. Econom. 222, No. 2, 974--992 (2021; Zbl 1471.62543) Full Text: DOI Link
Dai, Min; Jia, Yanwei; Kou, Steven The wisdom of the crowd and prediction markets. (English) Zbl 1471.62524 J. Econom. 222, No. 1, Part B, 561-578 (2021). MSC: 62P20 PDFBibTeX XMLCite \textit{M. Dai} et al., J. Econom. 222, No. 1, Part B, 561--578 (2021; Zbl 1471.62524) Full Text: DOI
Chen, Rong; Xiao, Han; Yang, Dan Autoregressive models for matrix-valued time series. (English) Zbl 1471.62457 J. Econom. 222, No. 1, Part B, 539-560 (2021). MSC: 62M10 62H12 62H25 62P20 PDFBibTeX XMLCite \textit{R. Chen} et al., J. Econom. 222, No. 1, Part B, 539--560 (2021; Zbl 1471.62457) Full Text: DOI arXiv
Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; Lu, Zhiping; Zhou, Yong; Wang, Yazhen Volatility analysis with realized GARCH-Itô models. (English) Zbl 1471.62498 J. Econom. 222, No. 1, Part B, 393-410 (2021). MSC: 62P05 62M10 62F12 PDFBibTeX XMLCite \textit{X. Song} et al., J. Econom. 222, No. 1, Part B, 393--410 (2021; Zbl 1471.62498) Full Text: DOI arXiv
Webb, Ryan; Mehta, Nitin; Levy, Ifat Assessing consumer demand with noisy neural measurements. (English) Zbl 1471.62545 J. Econom. 222, No. 1, Part A, 89-106 (2021). MSC: 62P20 91B42 PDFBibTeX XMLCite \textit{R. Webb} et al., J. Econom. 222, No. 1, Part A, 89--106 (2021; Zbl 1471.62545) Full Text: DOI
Li, Shaoran; Linton, Oliver When will the Covid-19 pandemic peak? (English) Zbl 1464.62456 J. Econom. 220, No. 1, 130-157 (2021). MSC: 62P10 62M10 92-10 PDFBibTeX XMLCite \textit{S. Li} and \textit{O. Linton}, J. Econom. 220, No. 1, 130--157 (2021; Zbl 1464.62456) Full Text: DOI Link
Liu, Laura; Moon, Hyungsik Roger; Schorfheide, Frank Panel forecasts of country-level Covid-19 infections. (English) Zbl 1464.62458 J. Econom. 220, No. 1, 2-22 (2021). MSC: 62P10 62M20 92-10 PDFBibTeX XMLCite \textit{L. Liu} et al., J. Econom. 220, No. 1, 2--22 (2021; Zbl 1464.62458) Full Text: DOI Link
Koo, Bonsoo; Anderson, Heather M.; Seo, Myung Hwan; Yao, Wenying High-dimensional predictive regression in the presence of cointegration. (English) Zbl 1464.62515 J. Econom. 219, No. 2, 456-477 (2020). MSC: 62P20 62J05 62J07 62M10 62M20 PDFBibTeX XMLCite \textit{B. Koo} et al., J. Econom. 219, No. 2, 456--477 (2020; Zbl 1464.62515) Full Text: DOI
King, Maxwell L.; Zhang, Xibin; Akram, Muhammad Hypothesis testing based on a vector of statistics. (English) Zbl 1464.62512 J. Econom. 219, No. 2, 425-455 (2020). MSC: 62P20 62F03 62G07 62H15 62M10 PDFBibTeX XMLCite \textit{M. L. King} et al., J. Econom. 219, No. 2, 425--455 (2020; Zbl 1464.62512) Full Text: DOI Link
Chen, Songnian; Zhang, Hanghui \(\sqrt{n}\)-prediction of generalized heteroscedastic transformation regression models. (English) Zbl 1456.62280 J. Econom. 215, No. 2, 305-340 (2020). MSC: 62P20 62G08 62G20 PDFBibTeX XMLCite \textit{S. Chen} and \textit{H. Zhang}, J. Econom. 215, No. 2, 305--340 (2020; Zbl 1456.62280) Full Text: DOI
Jun, Sung Jae; Pinkse, Joris Counterfactual prediction in complete information games: point prediction under partial identification. (English) Zbl 1456.91006 J. Econom. 216, No. 2, 394-429 (2020). MSC: 91A10 62B10 62P20 PDFBibTeX XMLCite \textit{S. J. Jun} and \textit{J. Pinkse}, J. Econom. 216, No. 2, 394--429 (2020; Zbl 1456.91006) Full Text: DOI
Barigozzi, Matteo; Hallin, Marc Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals. (English) Zbl 1456.62179 J. Econom. 216, No. 1, 4-34 (2020). MSC: 62M10 62H25 62P05 62P20 PDFBibTeX XMLCite \textit{M. Barigozzi} and \textit{M. Hallin}, J. Econom. 216, No. 1, 4--34 (2020; Zbl 1456.62179) Full Text: DOI arXiv
Boot, Tom; Pick, Andreas Does modeling a structural break improve forecast accuracy? (English) Zbl 1456.62272 J. Econom. 215, No. 1, 35-59 (2020). MSC: 62P20 62J05 62M10 62M20 PDFBibTeX XMLCite \textit{T. Boot} and \textit{A. Pick}, J. Econom. 215, No. 1, 35--59 (2020; Zbl 1456.62272) Full Text: DOI Link
Li, Mengheng; Koopman, Siem Jan; Lit, Rutger; Petrova, Desislava Long-term forecasting of El Niño events via dynamic factor simulations. (English) Zbl 1456.62295 J. Econom. 214, No. 1, 46-66 (2020). MSC: 62P20 62M10 62M20 62P12 86A08 PDFBibTeX XMLCite \textit{M. Li} et al., J. Econom. 214, No. 1, 46--66 (2020; Zbl 1456.62295) Full Text: DOI Link
Blasques, F.; Gorgi, P.; Koopman, S. J. Accelerating score-driven time series models. (English) Zbl 1452.62884 J. Econom. 212, No. 2, 359-376 (2019). MSC: 62P20 62B10 62M10 62M20 62P05 PDFBibTeX XMLCite \textit{F. Blasques} et al., J. Econom. 212, No. 2, 359--376 (2019; Zbl 1452.62884) Full Text: DOI Link
Andreasen, Martin M.; Christensen, Jens H. E.; Rudebusch, Glenn D. Term structure analysis with big data: one-step estimation using bond prices. (English) Zbl 1452.62740 J. Econom. 212, No. 1, 26-46 (2019). MSC: 62P05 62M20 91G30 PDFBibTeX XMLCite \textit{M. M. Andreasen} et al., J. Econom. 212, No. 1, 26--46 (2019; Zbl 1452.62740) Full Text: DOI
Baştürk, N.; Borowska, A.; Grassi, S.; Hoogerheide, L.; van Dijk, H. K. Forecast density combinations of dynamic models and data driven portfolio strategies. (English) Zbl 1452.62742 J. Econom. 210, No. 1, 170-186 (2019). MSC: 62P05 62F15 62M20 62P20 PDFBibTeX XMLCite \textit{N. Baştürk} et al., J. Econom. 210, No. 1, 170--186 (2019; Zbl 1452.62742) Full Text: DOI Link
McAlinn, Kenichiro; West, Mike Dynamic Bayesian predictive synthesis in time series forecasting. (English) Zbl 1452.62697 J. Econom. 210, No. 1, 155-169 (2019). MSC: 62M20 62F15 62M10 62P20 PDFBibTeX XMLCite \textit{K. McAlinn} and \textit{M. West}, J. Econom. 210, No. 1, 155--169 (2019; Zbl 1452.62697) Full Text: DOI arXiv
Koop, Gary; Korobilis, Dimitris; Pettenuzzo, Davide Bayesian compressed vector autoregressions. (English) Zbl 1452.62934 J. Econom. 210, No. 1, 135-154 (2019). MSC: 62P20 62F15 62M10 62M20 91B64 91B84 PDFBibTeX XMLCite \textit{G. Koop} et al., J. Econom. 210, No. 1, 135--154 (2019; Zbl 1452.62934) Full Text: DOI Link
Bitto, Angela; Frühwirth-Schnatter, Sylvia Achieving shrinkage in a time-varying parameter model framework. (English) Zbl 1452.62216 J. Econom. 210, No. 1, 75-97 (2019). MSC: 62F15 62M20 62J07 62M10 62P20 PDFBibTeX XMLCite \textit{A. Bitto} and \textit{S. Frühwirth-Schnatter}, J. Econom. 210, No. 1, 75--97 (2019; Zbl 1452.62216) Full Text: DOI arXiv
Herbst, Edward; Schorfheide, Frank Tempered particle filtering. (English) Zbl 1452.62069 J. Econom. 210, No. 1, 26-44 (2019). MSC: 62-08 62F15 62M20 65C05 91B51 PDFBibTeX XMLCite \textit{E. Herbst} and \textit{F. Schorfheide}, J. Econom. 210, No. 1, 26--44 (2019; Zbl 1452.62069) Full Text: DOI Link
Boot, Tom; Nibbering, Didier Forecasting using random subspace methods. (English) Zbl 1452.62692 J. Econom. 209, No. 2, 391-406 (2019). MSC: 62M20 62P20 PDFBibTeX XMLCite \textit{T. Boot} and \textit{D. Nibbering}, J. Econom. 209, No. 2, 391--406 (2019; Zbl 1452.62692) Full Text: DOI Link
Liao, Jun; Zong, Xianpeng; Zhang, Xinyu; Zou, Guohua Model averaging based on leave-subject-out cross-validation for vector autoregressions. (English) Zbl 1452.62657 J. Econom. 209, No. 1, 35-60 (2019). MSC: 62M10 62J05 62M20 62P20 PDFBibTeX XMLCite \textit{J. Liao} et al., J. Econom. 209, No. 1, 35--60 (2019; Zbl 1452.62657) Full Text: DOI
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. (English) Zbl 1452.62746 J. Econom. 207, No. 1, 71-91 (2018). MSC: 62P05 62M10 62M20 91G10 PDFBibTeX XMLCite \textit{T. Bollerslev} et al., J. Econom. 207, No. 1, 71--91 (2018; Zbl 1452.62746) Full Text: DOI Link
Chen, Le-Yu; Lee, Sokbae Best subset binary prediction. (English) Zbl 1398.62362 J. Econom. 206, No. 1, 39-56 (2018). MSC: 62P20 62G05 62G20 PDFBibTeX XMLCite \textit{L.-Y. Chen} and \textit{S. Lee}, J. Econom. 206, No. 1, 39--56 (2018; Zbl 1398.62362) Full Text: DOI arXiv
Li, Jia; Patton, Andrew J. Asymptotic inference about predictive accuracy using high frequency data. (English) Zbl 1386.62030 J. Econom. 203, No. 2, 223-240 (2018). MSC: 62M20 62M10 62P05 62P20 91B84 PDFBibTeX XMLCite \textit{J. Li} and \textit{A. J. Patton}, J. Econom. 203, No. 2, 223--240 (2018; Zbl 1386.62030) Full Text: DOI Link
Dias, Gustavo Fruet; Kapetanios, George Estimation and forecasting in vector autoregressive moving average models for rich datasets. (English) Zbl 1378.62065 J. Econom. 202, No. 1, 75-91 (2018). MSC: 62M10 62M20 62F12 62P20 PDFBibTeX XMLCite \textit{G. F. Dias} and \textit{G. Kapetanios}, J. Econom. 202, No. 1, 75--91 (2018; Zbl 1378.62065) Full Text: DOI Link
Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul Real-time forecast evaluation of DSGE models with stochastic volatility. (English) Zbl 1377.62210 J. Econom. 201, No. 2, 322-332 (2017). MSC: 62P20 91B51 PDFBibTeX XMLCite \textit{F. X. Diebold} et al., J. Econom. 201, No. 2, 322--332 (2017; Zbl 1377.62210) Full Text: DOI Link
Fan, Jianqing; Xue, Lingzhou; Yao, Jiawei Sufficient forecasting using factor models. (English) Zbl 1377.62185 J. Econom. 201, No. 2, 292-306 (2017). MSC: 62M20 62H25 62P20 PDFBibTeX XMLCite \textit{J. Fan} et al., J. Econom. 201, No. 2, 292--306 (2017; Zbl 1377.62185) Full Text: DOI arXiv Link
Gonçalves, Sílvia; McCracken, Michael W.; Perron, Benoit Tests of equal accuracy for nested models with estimated factors. (English) Zbl 1395.62293 J. Econom. 198, No. 2, 231-252 (2017). MSC: 62M20 62H25 62P20 PDFBibTeX XMLCite \textit{S. Gonçalves} et al., J. Econom. 198, No. 2, 231--252 (2017; Zbl 1395.62293) Full Text: DOI Link
Tu, Yundong; Yi, Yanping Forecasting cointegrated nonstationary time series with time-varying variance. (English) Zbl 1443.62290 J. Econom. 196, No. 1, 83-98 (2017). MSC: 62M10 62M20 62P20 PDFBibTeX XMLCite \textit{Y. Tu} and \textit{Y. Yi}, J. Econom. 196, No. 1, 83--98 (2017; Zbl 1443.62290) Full Text: DOI
Inoue, Atsushi; Jin, Lu; Rossi, Barbara Rolling window selection for out-of-sample forecasting with time-varying parameters. (English) Zbl 1443.62470 J. Econom. 196, No. 1, 55-67 (2017). MSC: 62P20 91B84 62G05 62M20 PDFBibTeX XMLCite \textit{A. Inoue} et al., J. Econom. 196, No. 1, 55--67 (2017; Zbl 1443.62470) Full Text: DOI Link
Zhang, Xianyang White noise testing and model diagnostic checking for functional time series. (English) Zbl 1431.62429 J. Econom. 194, No. 1, 76-95 (2016). MSC: 62M10 62M15 62M20 62G10 PDFBibTeX XMLCite \textit{X. Zhang}, J. Econom. 194, No. 1, 76--95 (2016; Zbl 1431.62429) Full Text: DOI
Qian, Hang A computationally efficient method for vector autoregression with mixed frequency data. (English) Zbl 1431.62415 J. Econom. 193, No. 2, 433-437 (2016). MSC: 62M10 62M20 62P20 PDFBibTeX XMLCite \textit{H. Qian}, J. Econom. 193, No. 2, 433--437 (2016; Zbl 1431.62415) Full Text: DOI
Blasques, F.; Koopman, S. J.; Mallee, M.; Zhang, Z. Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data. (English) Zbl 1431.62587 J. Econom. 193, No. 2, 405-417 (2016). MSC: 62P20 62M10 62M20 62F10 62F12 PDFBibTeX XMLCite \textit{F. Blasques} et al., J. Econom. 193, No. 2, 405--417 (2016; Zbl 1431.62587) Full Text: DOI
Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank Dynamic prediction pools: an investigation of financial frictions and forecasting performance. (English) Zbl 1420.62408 J. Econom. 192, No. 2, 391-405 (2016). MSC: 62M20 62F15 62P20 91B51 PDFBibTeX XMLCite \textit{M. Del Negro} et al., J. Econom. 192, No. 2, 391--405 (2016; Zbl 1420.62408) Full Text: DOI
Anderson, Brian D. O.; Deistler, Manfred; Felsenstein, Elisabeth; Koelbl, Lukas The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case. (English) Zbl 1420.62368 J. Econom. 192, No. 2, 366-373 (2016). MSC: 62M10 62M20 PDFBibTeX XMLCite \textit{B. D. O. Anderson} et al., J. Econom. 192, No. 2, 366--373 (2016; Zbl 1420.62368) Full Text: DOI
Carriero, Andrea; Kapetanios, George; Marcellino, Massimiliano Structural analysis with multivariate autoregressive index models. (English) Zbl 1420.62372 J. Econom. 192, No. 2, 332-348 (2016). MSC: 62M10 62F15 62M20 62P20 PDFBibTeX XMLCite \textit{A. Carriero} et al., J. Econom. 192, No. 2, 332--348 (2016; Zbl 1420.62372) Full Text: DOI Link
Scharth, Marcel; Kohn, Robert Particle efficient importance sampling. (English) Zbl 1419.62247 J. Econom. 190, No. 1, 133-147 (2016). MSC: 62M10 62F15 62M20 65C05 PDFBibTeX XMLCite \textit{M. Scharth} and \textit{R. Kohn}, J. Econom. 190, No. 1, 133--147 (2016; Zbl 1419.62247) Full Text: DOI arXiv
Tong, Howell Threshold models in time series analysis – some reflections. (English) Zbl 1337.62281 J. Econom. 189, No. 2, 485-491 (2015). MSC: 62M10 62P20 62-02 65C60 91-02 PDFBibTeX XMLCite \textit{H. Tong}, J. Econom. 189, No. 2, 485--491 (2015; Zbl 1337.62281) Full Text: DOI
Cheng, Tzu-Chang F.; Ing, Ching-Kang; Yu, Shu-Hui Toward optimal model averaging in regression models with time series errors. (English) Zbl 1337.62250 J. Econom. 189, No. 2, 321-334 (2015). MSC: 62M10 62J05 62M20 PDFBibTeX XMLCite \textit{T.-C. F. Cheng} et al., J. Econom. 189, No. 2, 321--334 (2015; Zbl 1337.62250) Full Text: DOI arXiv
Brockwell, Peter J.; Lindner, Alexander Prediction of Lévy-driven CARMA processes. (English) Zbl 1337.62244 J. Econom. 189, No. 2, 263-271 (2015). MSC: 62M10 60G51 62M15 60G10 60G25 PDFBibTeX XMLCite \textit{P. J. Brockwell} and \textit{A. Lindner}, J. Econom. 189, No. 2, 263--271 (2015; Zbl 1337.62244) Full Text: DOI
Li, Degui; Linton, Oliver; Lu, Zudi A flexible semiparametric forecasting model for time series. (English) Zbl 1337.62271 J. Econom. 187, No. 1, 345-357 (2015). MSC: 62M10 62G08 62G20 62M20 91B84 62P05 PDFBibTeX XMLCite \textit{D. Li} et al., J. Econom. 187, No. 1, 345--357 (2015; Zbl 1337.62271) Full Text: DOI
Chatterjee, A.; Gupta, S.; Lahiri, S. N. On the residual empirical process based on the ALASSO in high dimensions and its functional oracle property. (English) Zbl 1331.62345 J. Econom. 186, No. 2, 317-324 (2015). MSC: 62J07 62H12 62J05 62E20 PDFBibTeX XMLCite \textit{A. Chatterjee} et al., J. Econom. 186, No. 2, 317--324 (2015; Zbl 1331.62345) Full Text: DOI
Kelly, Bryan; Pruitt, Seth The three-pass regression filter: a new approach to forecasting using many predictors. (English) Zbl 1332.62360 J. Econom. 186, No. 2, 294-316 (2015). MSC: 62M20 62H25 62P20 91B84 PDFBibTeX XMLCite \textit{B. Kelly} and \textit{S. Pruitt}, J. Econom. 186, No. 2, 294--316 (2015; Zbl 1332.62360) Full Text: DOI
Cheng, Xu; Hansen, Bruce E. Forecasting with factor-augmented regression: a frequentist model averaging approach. (English) Zbl 1332.62357 J. Econom. 186, No. 2, 280-293 (2015). MSC: 62M20 62J05 62H25 62P20 PDFBibTeX XMLCite \textit{X. Cheng} and \textit{B. E. Hansen}, J. Econom. 186, No. 2, 280--293 (2015; Zbl 1332.62357) Full Text: DOI Link
Koo, Bonsoo; Seo, Myung Hwan Structural-break models under mis-specification: implications for forecasting. (English) Zbl 1337.62162 J. Econom. 188, No. 1, 166-181 (2015). MSC: 62J05 62M20 62F03 91B84 62P20 PDFBibTeX XMLCite \textit{B. Koo} and \textit{M. H. Seo}, J. Econom. 188, No. 1, 166--181 (2015; Zbl 1337.62162) Full Text: DOI Link
Lu, Xun; Su, Liangjun Jackknife model averaging for quantile regressions. (English) Zbl 1337.62080 J. Econom. 188, No. 1, 40-58 (2015). MSC: 62G08 62J05 62F12 62P20 PDFBibTeX XMLCite \textit{X. Lu} and \textit{L. Su}, J. Econom. 188, No. 1, 40--58 (2015; Zbl 1337.62080) Full Text: DOI Link
Kapetanios, G.; Mitchell, James; Price, S.; Fawcett, N. Generalised density forecast combinations. (English) Zbl 1337.62292 J. Econom. 188, No. 1, 150-165 (2015). MSC: 62M20 91B84 62P20 PDFBibTeX XMLCite \textit{G. Kapetanios} et al., J. Econom. 188, No. 1, 150--165 (2015; Zbl 1337.62292) Full Text: DOI Link
Sojli, Elvira; Tham, Wing Wah Divided governments and futures prices. (English) Zbl 1337.62384 J. Econom. 187, No. 2, 622-633 (2015). MSC: 62P20 91G70 PDFBibTeX XMLCite \textit{E. Sojli} and \textit{W. W. Tham}, J. Econom. 187, No. 2, 622--633 (2015; Zbl 1337.62384) Full Text: DOI
Clark, Todd E.; McCracken, Michael W. Nested forecast model comparisons: a new approach to testing equal accuracy. (English) Zbl 1331.62462 J. Econom. 186, No. 1, 160-177 (2015). MSC: 62P20 62M20 62E20 PDFBibTeX XMLCite \textit{T. E. Clark} and \textit{M. W. McCracken}, J. Econom. 186, No. 1, 160--177 (2015; Zbl 1331.62462) Full Text: DOI
Fernández-Villaverde, Jesús; Guerrón-Quintana, Pablo; Rubio-Ramírez, Juan F. Estimating dynamic equilibrium models with stochastic volatility. (English) Zbl 1331.62464 J. Econom. 185, No. 1, 216-229 (2015). MSC: 62P20 62M20 91B62 91B70 PDFBibTeX XMLCite \textit{J. Fernández-Villaverde} et al., J. Econom. 185, No. 1, 216--229 (2015; Zbl 1331.62464) Full Text: DOI Link
Andreasen, Martin M.; Christensen, Bent Jesper The SR approach: a new estimation procedure for non-linear and non-Gaussian dynamic term structure models. (English) Zbl 1331.91198 J. Econom. 184, No. 2, 420-451 (2015). MSC: 91G70 62M10 62J02 62M20 PDFBibTeX XMLCite \textit{M. M. Andreasen} and \textit{B. J. Christensen}, J. Econom. 184, No. 2, 420--451 (2015; Zbl 1331.91198) Full Text: DOI Link
Chen, Ying; Niu, Linlin Adaptive dynamic Nelson-Siegel term structure model with applications. (English) Zbl 1298.62179 J. Econom. 180, No. 1, 98-115 (2014). MSC: 62P05 62M20 91G30 PDFBibTeX XMLCite \textit{Y. Chen} and \textit{L. Niu}, J. Econom. 180, No. 1, 98--115 (2014; Zbl 1298.62179) Full Text: DOI
Kalli, Maria; Griffin, Jim E. Time-varying sparsity in dynamic regression models. (English) Zbl 1293.62191 J. Econom. 178, No. 2, 779-793 (2014). MSC: 62M10 62F15 62J05 62P20 62M20 PDFBibTeX XMLCite \textit{M. Kalli} and \textit{J. E. Griffin}, J. Econom. 178, No. 2, 779--793 (2014; Zbl 1293.62191) Full Text: DOI Link
Kim, Hyun Hak; Swanson, Norman R. Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence. (English) Zbl 1293.91195 J. Econom. 178, Part 2, 352-367 (2014). MSC: 91G70 62M20 62P20 PDFBibTeX XMLCite \textit{H. H. Kim} and \textit{N. R. Swanson}, J. Econom. 178, Part 2, 352--367 (2014; Zbl 1293.91195) Full Text: DOI
Johansen, Søren; Juselius, Katarina An asymptotic invariance property of the common trends under linear transformations of the data. (English) Zbl 1293.62189 J. Econom. 178, Part 2, 310-315 (2014). MSC: 62M10 PDFBibTeX XMLCite \textit{S. Johansen} and \textit{K. Juselius}, J. Econom. 178, Part 2, 310--315 (2014; Zbl 1293.62189) Full Text: DOI
Hsiao, Cheng; Wan, Shui Ki Is there an optimal forecast combination? (English) Zbl 1293.62214 J. Econom. 178, Part 2, 294-309 (2014). MSC: 62M20 62H25 91B84 PDFBibTeX XMLCite \textit{C. Hsiao} and \textit{S. K. Wan}, J. Econom. 178, Part 2, 294--309 (2014; Zbl 1293.62214) Full Text: DOI
Lee, Tae-Hwy; Tu, Yundong; Ullah, Aman Nonparametric and semiparametric regressions subject to monotonicity constraints: estimation and forecasting. (English) Zbl 1311.62059 J. Econom. 182, No. 1, 196-210 (2014). MSC: 62G08 62M20 PDFBibTeX XMLCite \textit{T.-H. Lee} et al., J. Econom. 182, No. 1, 196--210 (2014; Zbl 1311.62059) Full Text: DOI
Hendry, David F.; Mizon, Grayham E. Unpredictability in economic analysis, econometric modeling and forecasting. (English) Zbl 1311.62193 J. Econom. 182, No. 1, 186-195 (2014). MSC: 62P20 91B82 62M20 PDFBibTeX XMLCite \textit{D. F. Hendry} and \textit{G. E. Mizon}, J. Econom. 182, No. 1, 186--195 (2014; Zbl 1311.62193) Full Text: DOI
Giacomini, Raffaella; Ragusa, Giuseppe Theory-coherent forecasting. (English) Zbl 1311.62162 J. Econom. 182, No. 1, 145-155 (2014). MSC: 62M20 91B82 PDFBibTeX XMLCite \textit{R. Giacomini} and \textit{G. Ragusa}, J. Econom. 182, No. 1, 145--155 (2014; Zbl 1311.62162) Full Text: DOI
Corradi, Valentina; Swanson, Norman R. Testing for structural stability of factor augmented forecasting models. (English) Zbl 1311.62130 J. Econom. 182, No. 1, 100-118 (2014). MSC: 62M07 62M20 91B82 91B64 PDFBibTeX XMLCite \textit{V. Corradi} and \textit{N. R. Swanson}, J. Econom. 182, No. 1, 100--118 (2014; Zbl 1311.62130) Full Text: DOI
Elliott, Graham; Gargano, Antonio; Timmermann, Allan Complete subset regressions. (English) Zbl 1288.62139 J. Econom. 177, No. 2, 357-373 (2013). MSC: 62M20 62J05 62P05 PDFBibTeX XMLCite \textit{G. Elliott} et al., J. Econom. 177, No. 2, 357--373 (2013; Zbl 1288.62139) Full Text: DOI Link
Castle, Jennifer L.; Clements, Michael P.; Hendry, David F. Forecasting by factors, by variables, by both or neither? (English) Zbl 1288.62137 J. Econom. 177, No. 2, 305-319 (2013). MSC: 62M20 62H25 62P20 91B82 PDFBibTeX XMLCite \textit{J. L. Castle} et al., J. Econom. 177, No. 2, 305--319 (2013; Zbl 1288.62137) Full Text: DOI Link
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. Time-varying combinations of predictive densities using nonlinear filtering. (English) Zbl 1288.62136 J. Econom. 177, No. 2, 213-232 (2013). MSC: 62M20 62F15 91B84 PDFBibTeX XMLCite \textit{M. Billio} et al., J. Econom. 177, No. 2, 213--232 (2013; Zbl 1288.62136) Full Text: DOI Link
Rossi, Barbara; Sekhposyan, Tatevik Conditional predictive density evaluation in the presence of instabilities. (English) Zbl 1288.62141 J. Econom. 177, No. 2, 199-212 (2013). MSC: 62M20 62G07 62G35 PDFBibTeX XMLCite \textit{B. Rossi} and \textit{T. Sekhposyan}, J. Econom. 177, No. 2, 199--212 (2013; Zbl 1288.62141) Full Text: DOI Link
Koop, Gary; Korobilis, Dimitris Large time-varying parameter VARs. (English) Zbl 1288.62127 J. Econom. 177, No. 2, 185-198 (2013). MSC: 62M10 62M20 62F15 62P05 91G70 PDFBibTeX XMLCite \textit{G. Koop} and \textit{D. Korobilis}, J. Econom. 177, No. 2, 185--198 (2013; Zbl 1288.62127) Full Text: DOI Link
Wang, Cindy Shin-Huei; Bauwens, Luc; Hsiao, Cheng Forecasting a long memory process subject to structural breaks. (English) Zbl 1288.62142 J. Econom. 177, No. 2, 171-184 (2013). MSC: 62M20 62M10 62P05 PDFBibTeX XMLCite \textit{C. S. H. Wang} et al., J. Econom. 177, No. 2, 171--184 (2013; Zbl 1288.62142) Full Text: DOI
Pesaran, M. Hashem; Pick, Andreas; Pranovich, Mikhail Optimal forecasts in the presence of structural breaks. (English) Zbl 1288.62140 J. Econom. 177, No. 2, 134-152 (2013). MSC: 62M20 62P05 91G70 91B82 PDFBibTeX XMLCite \textit{M. H. Pesaran} et al., J. Econom. 177, No. 2, 134--152 (2013; Zbl 1288.62140) Full Text: DOI Link
Zhang, Xinyu; Lu, Zudi; Zou, Guohua Adaptively combined forecasting for discrete response time series. (English) Zbl 1284.62587 J. Econom. 176, No. 1, 80-91 (2013). MSC: 62M20 62M10 91B84 PDFBibTeX XMLCite \textit{X. Zhang} et al., J. Econom. 176, No. 1, 80--91 (2013; Zbl 1284.62587) Full Text: DOI
Arbués, Ignacio Determining the MSE-optimal cross section to forecast. (English) Zbl 1283.91155 J. Econom. 175, No. 2, 61-70 (2013). MSC: 91B84 62M20 62M10 PDFBibTeX XMLCite \textit{I. Arbués}, J. Econom. 175, No. 2, 61--70 (2013; Zbl 1283.91155) Full Text: DOI
Ley, Eduardo; Steel, Mark F. J. Mixtures of \(g\)-priors for Bayesian model averaging with economic applications. (English) Zbl 1443.62199 J. Econom. 171, No. 2, 251-266 (2012). MSC: 62J05 62F15 62P20 PDFBibTeX XMLCite \textit{E. Ley} and \textit{M. F. J. Steel}, J. Econom. 171, No. 2, 251--266 (2012; Zbl 1443.62199) Full Text: DOI Link
Pitt, Michael K.; dos Santos Silva, Ralph; Giordani, Paolo; Kohn, Robert On some properties of Markov chain Monte Carlo simulation methods based on the particle filter. (English) Zbl 1443.62499 J. Econom. 171, No. 2, 134-151 (2012). MSC: 62P20 62F15 62M20 65C05 PDFBibTeX XMLCite \textit{M. K. Pitt} et al., J. Econom. 171, No. 2, 134--151 (2012; Zbl 1443.62499) Full Text: DOI Link
Clark, Todd E.; McCracken, Michael W. In-sample tests of predictive ability: a new approach. (English) Zbl 1443.62298 J. Econom. 170, No. 1, 1-14 (2012). MSC: 62M20 62F03 62P20 PDFBibTeX XMLCite \textit{T. E. Clark} and \textit{M. W. McCracken}, J. Econom. 170, No. 1, 1--14 (2012; Zbl 1443.62298) Full Text: DOI Link Link
Mariano, Roberto S.; Preve, Daniel Statistical tests for multiple forecast comparison. (English) Zbl 1443.62491 J. Econom. 169, No. 1, 123-130 (2012). MSC: 62P20 62H15 62M20 PDFBibTeX XMLCite \textit{R. S. Mariano} and \textit{D. Preve}, J. Econom. 169, No. 1, 123--130 (2012; Zbl 1443.62491) Full Text: DOI Link Link
McCausland, William J. The HESSIAN method: highly efficient simulation smoothing, in a nutshell. (English) Zbl 1443.62008 J. Econom. 168, No. 2, 189-206 (2012). MSC: 62-08 62M10 62M20 65C40 PDFBibTeX XMLCite \textit{W. J. McCausland}, J. Econom. 168, No. 2, 189--206 (2012; Zbl 1443.62008) Full Text: DOI Link
Wei, Xiaoqiao; Yang, Yuhong Robust forecast combinations. (English) Zbl 1441.62901 J. Econom. 166, No. 2, 224-236 (2012). MSC: 62P20 62M20 PDFBibTeX XMLCite \textit{X. Wei} and \textit{Y. Yang}, J. Econom. 166, No. 2, 224--236 (2012; Zbl 1441.62901) Full Text: DOI
Müller, Hans-Georg; Sen, Rituparna; Stadtmüller, Ulrich Functional data analysis for volatility. (English) Zbl 1441.62817 J. Econom. 165, No. 2, 233-245 (2011). MSC: 62P20 62G07 62P05 62M05 62H25 62R10 PDFBibTeX XMLCite \textit{H.-G. Müller} et al., J. Econom. 165, No. 2, 233--245 (2011; Zbl 1441.62817) Full Text: DOI
Malik, Sheheryar; Pitt, Michael K. Particle filters for continuous likelihood evaluation and maximisation. (English) Zbl 1441.62807 J. Econom. 165, No. 2, 190-209 (2011). MSC: 62P20 62M20 PDFBibTeX XMLCite \textit{S. Malik} and \textit{M. K. Pitt}, J. Econom. 165, No. 2, 190--209 (2011; Zbl 1441.62807) Full Text: DOI
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan Variable selection, estimation and inference for multi-period forecasting problems. (English) Zbl 1441.62837 J. Econom. 164, No. 1, 173-187 (2011). MSC: 62P20 62M20 PDFBibTeX XMLCite \textit{M. H. Pesaran} et al., J. Econom. 164, No. 1, 173--187 (2011; Zbl 1441.62837) Full Text: DOI
Rossi, Barbara; Sekhposyan, Tatevik Understanding models’ forecasting performance. (English) Zbl 1441.62857 J. Econom. 164, No. 1, 158-172 (2011). MSC: 62P20 62M20 91B84 PDFBibTeX XMLCite \textit{B. Rossi} and \textit{T. Sekhposyan}, J. Econom. 164, No. 1, 158--172 (2011; Zbl 1441.62857) Full Text: DOI
Elliott, Graham A control function approach for testing the usefulness of trending variables in forecast models and linear regression. (English) Zbl 1441.62675 J. Econom. 164, No. 1, 79-91 (2011). MSC: 62P20 62M10 62J05 PDFBibTeX XMLCite \textit{G. Elliott}, J. Econom. 164, No. 1, 79--91 (2011; Zbl 1441.62675) Full Text: DOI
Forni, Mario; Lippi, Marco The general dynamic factor model: one-sided representation results. (English) Zbl 1441.62689 J. Econom. 163, No. 1, 23-28 (2011). MSC: 62P20 62H25 62M10 62M20 PDFBibTeX XMLCite \textit{M. Forni} and \textit{M. Lippi}, J. Econom. 163, No. 1, 23--28 (2011; Zbl 1441.62689) Full Text: DOI
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd Modeling frailty-correlated defaults using many macroeconomic covariates. (English) Zbl 1441.62783 J. Econom. 162, No. 2, 312-325 (2011). MSC: 62P20 62M10 62M20 62H25 62P05 PDFBibTeX XMLCite \textit{S. J. Koopman} et al., J. Econom. 162, No. 2, 312--325 (2011; Zbl 1441.62783) Full Text: DOI
Maheu, John M.; McCurdy, Thomas H. Do high-frequency measures of volatility improve forecasts of return distributions? (English) Zbl 1441.62805 J. Econom. 160, No. 1, 69-76 (2011). MSC: 62P20 62P05 PDFBibTeX XMLCite \textit{J. M. Maheu} and \textit{T. H. McCurdy}, J. Econom. 160, No. 1, 69--76 (2011; Zbl 1441.62805) Full Text: DOI Link
Hansen, Bruce E. Averaging estimators for autoregressions with a near unit root. (English) Zbl 1431.62382 J. Econom. 158, No. 1, 142-155 (2010). MSC: 62M10 62M20 62P20 PDFBibTeX XMLCite \textit{B. E. Hansen}, J. Econom. 158, No. 1, 142--155 (2010; Zbl 1431.62382) Full Text: DOI