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Rolling window selection for out-of-sample forecasting with time-varying parameters
16 references·16 citing·37 second hopsampled
Rolling window selection for out-of-sample forecasting with time-varying parameters (2016)Rolling window selection for out-of-sampl…Can Exchange Rates Forecast Commodity Prices? * (2010)Can Exchange Rates Forecast C…Why Has U.S. Inflation Become Harder to Forecast? (2007)Why Has U.S. Inflation Become…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Instability of return prediction models (2006)Instability of return predict…Empirical exchange rate models of the nineties: Are any fit to survive? (2005)Empirical exchange rate model…Predicting the Equity Premium with Dividend Ratios (2003)Predicting the Equity Premium…Forecasting Output and Inflation: The Role of Asset Prices (2003)Forecasting Output and Inflat…Forecasting Output and Inflation: The Role of Asset Prices (2003)Forecasting Output and Inflat…Tests of equal forecast accuracy and encompassing for nested models (2001)Tests of equal forecast accur…Forecasting inflation (1999)Forecasting inflationEvidence on Structural Instability in Macroeconomic Time Series Relations (1996)Evidence on Structural Instab…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Evidence on Structural Instability in Macroeconomic Time Series Relations (1994)Evidence on Structural Instab…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Testing for the Constancy of Parameters Over Time (1989)Testing for the Constancy of …Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Global financial stress index and long-term volatility forecast for international stock markets (2023)Global financial stress index…How is machine learning useful for macroeconomic forecasting? (2022)How is machine learning usefu…Forecasting crude oil futures market returns: A principal component analysis combination approach (2022)Forecasting crude oil futures…Individual time series and composite forecasting of the Chinese stock index (2021)Individual time series and co…Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information (2021)Global equity market volatili…Forecasting in the Presence of Instabilities: How We Know Whether Models Predict Well and How to Improve Them (2021)Forecasting in the Presence o…Which uncertainty is powerful to forecast crude oil market volatility? New evidence (2020)Which uncertainty is powerful…Which types of commodity price information are more useful for predicting US stock market volatility? (2020)Which types of commodity pric…Which sentiment index is more informative to forecast stock market volatility? Evidence from China (2020)Which sentiment index is more…Is implied volatility more informative for forecasting realized volatility: An international perspective (2020)Is implied volatility more in…Forecasting global equity market volatilities (2020)Forecasting global equity mar…Uncertainty and crude oil market volatility: new evidence (2019)Uncertainty and crude oil mar…Forecasting oil price volatility: Forecast combination versus shrinkage method (2019)Forecasting oil price volatil…Intraday momentum and stock return predictability: Evidence from China (2018)Intraday momentum and stock r…Forecasting the oil futures price volatility: Large jumps and small jumps (2018)Forecasting the oil futures p…Short-run price forecast performance of individual and composite models for 496 corn cash markets (2016)Short-run price forecast perf…Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Inference About the Change-Point in a Sequence of Random Variables (1970)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Presidential Address: Discount Rates (2011)Empirical Asset Pricing via Machine Learning (2020)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Has the Business Cycle Changed and Why? (2002)Risk Matters: The Real Effects of Volatility Shocks (2011)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Government Spending Multipliers in Good Times and in Bad: Evidence from US Historical Data (2017)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)The macroeconomy and the yield curve: a dynamic latent factor approach (2005)Interpreting the macroeconomic time series facts (1992)Efficient Tests for an Autoregressive Unit Root (1996)Determining the Number of Factors in Approximate Factor Models (2002)Inferential Theory for Factor Models of Large Dimensions (2003)Evaluating Density Forecasts with Applications to Financial Risk Management (1998)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Does Corporate Headquarters Location Matter for Stock Returns? (2006)Macroeconomic Effects From Government Purchases and Taxes * (2011)Credit Spreads and Business Cycle Fluctuations (2012)
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References

  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2007Why Has U.S. Inflation Become Harder to Forecast?1,719 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 1999Forecasting inflation1,273 cited
  • 2001Tests of equal forecast accuracy and encompassing for nested models1,178 cited
  • 2003Forecasting Output and Inflation: The Role of Asset Prices1,076 cited
  • 1989Testing for the Constancy of Parameters Over Time973 cited
  • 2003Forecasting Output and Inflation: The Role of Asset Prices864 cited
  • 2003Predicting the Equity Premium with Dividend Ratios764 cited
  • 2005Empirical exchange rate models of the nineties: Are any fit to survive?717 cited
  • 1996Evidence on Structural Instability in Macroeconomic Time Series Relations617 cited
  • 1994Evidence on Structural Instability in Macroeconomic Time Series Relations600 cited
  • 2010Can Exchange Rates Forecast Commodity Prices? *597 cited

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  • 2006Instability of return prediction models476 cited
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    • 2018Forecasting the oil futures price volatility: Large jumps and small jumps79 cited
    • 2023Global financial stress index and long-term volatility forecast for international stock markets68 cited
    • 2021Forecasting in the Presence of Instabilities: How We Know Whether Models Predict Well and How to Improve Them65 cited
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