TOC: J Econometrics
Introduction
Journal of Econometrics, 164(1)
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Relevant ARCategory: |
Annals issue on forecasting—Guest editors’ introduction
–João Victor Issler, Oliver Linton, Allan Timmermann [] []
The affine arbitrage-free class of Nelson–Siegel term structure models
–Jens H.E. Christensen, Francis X. Diebold, Glenn D. Rudebusch [] []
How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
–Andrea Carriero, Raffaella Giacomini [] []
Do interest rate options contain information about excess returns?
–Caio Almeida, Jeremy J. Graveline, Scott Joslin [] []
A component model for dynamic correlations
–Riccardo Colacito, Robert F. Engle, Eric Ghysels [] []
Predictability of stock returns and asset allocation under structural breaks?
–Davide Pettenuzzo, Allan Timmermann [] []
A control function approach for testing the usefulness of trending variables in forecast models and linear regression
–Graham Elliott [] []
A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom?
–Alev Atak, Oliver Linton, Zhijie Xiao [] []
Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
–George Athanasopoulos, Osmani Teixeira de Carvalho Guillén, João Victor Issler, Farshid Vahid [] []
Optimal prediction pools
–John Geweke, Gianni Amisano [] []
Quantile regression for dynamic panel data with fixed effects
–Antonio F. Galvao Jr. [] []
Understanding models’ forecasting performance
–Barbara Rossi, Tatevik Sekhposyan [] []
Variable selection, estimation and inference for multi-period forecasting problems?
–M. Hashem Pesaran, Andreas Pick, Allan Timmermann [] []
A two-step estimator for large approximate dynamic factor models based on Kalman filtering?
–Catherine Doz, Domenico Giannone, Lucrezia Reichlin [] []