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Forecast performance of nonlinear error-correction models with multiple regimes
16 references·0 citing·42 second hop
Forecast performance of nonlinear error-correction models with multiple regimes (2005)Forecast performance of nonlinear error-c…On Markov error‐correction models, with an application to stock prices and dividends (2004)On Markov error‐correction mo…Testing Density Forecasts, With Applications to Risk Management (2001)Testing Density Forecasts, Wi…Why do regime-switching models forecast so badly? (1999)Why do regime-switching model…Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …A comparison of the forecast performance of Markov‐switching and threshold autoregressive models of US GNP (1998)A comparison of the forecast …Threshold Cointegration (1997)Threshold CointegrationInference in TAR Models (1997)Inference in TAR ModelsForecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models (1997)Forecasting economic time ser…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracySome advances in non‐linear and adaptive modelling in time‐series (1994)Some advances in non‐linear a…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyAn Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator (1992)An Improved Heteroskedasticit…A Simple Nonparametric Test of Predictive Performance (1992)A Simple Nonparametric Test o…Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Statistical Inference in Inst…Comparing Information in Forecasts from Econometric Models (1990)Comparing Information in Fore…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Coherent Measures of Risk (1999)How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)A New Approach to Markov-Switching GARCH Models (2004)Comparing Density Forecasts via Weighted Likelihood Ratio Tests (2007)Time Series Regression with a Unit Root (1987)Testing for a Unit Root in Time Series Regression (1988)Inference in Linear Time Series Models with some Unit Roots (1990)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Specification Tests in Econometrics (1978)Forecasting tourism demand: A review of empirical research (1995)Predictability of Stock Returns: Robustness and Economic Significance (1995)Introductory Econometrics for Finance (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Testing Linearity Against Smooth Transition Autoregressive Models (1988)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Testing for Linearity (1999)Spatial Market Integration in the Presence of Threshold Effects (2001)Analysis of Financial Time Series (2006)ARCH modeling in finance (1992)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Modeling and Forecasting Realized Volatility (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Testing for a unit root in panels with dynamic factors (2004)Robust performance hypothesis testing with the Sharpe ratio (2008)Testing slope homogeneity in large panels with serial correlation (2013)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Long memory and regime switching (2001)Testing for two-regime threshold cointegration in vector error-correction models (2002)Asymmetric Price Transmission: A Survey (2004)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

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  • 1999Why do regime-switching models forecast so badly?

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216 cited
  • 2004On Markov error‐correction models, with an application to stock prices and dividends190 cited
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