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Citations for "Forecasting Time Series Subject to Multiple Structural Breaks"

by M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann

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  1. Giordani, Paolo & Kohn, Robert, 2006. "Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models," Working Paper Series 196, Sveriges Riksbank (Central Bank of Sweden).
  2. Bulkley, George & Giordani, Paolo, 2011. "Structural breaks, parameter uncertainty, and term structure puzzles," Journal of Financial Economics, Elsevier, Elsevier, vol. 102(1), pages 222-232, October.
  3. Jana Eklund & George Kapetanios & Simon Price, 2011. "Forecasting in the presence of recent structural change," CAMA Working Papers 2011-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  4. Zhongfang He & John M Maheu, 2008. "Real Time Detection of Structural Breaks in GARCH Models," Working Papers tecipa-336, University of Toronto, Department of Economics.
  5. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007. "The determinants of stock and bond return comovements," Working Paper Research, National Bank of Belgium 119, National Bank of Belgium.
  6. BAUWENS, Luc & DUFAYS, Arnaud & DE BACKER, Bruno, 2011. "Estimating and forecasting structural breaks in financial time series," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2011055, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. Giraitis, L. & Kapetanios, G. & Yates, T., 2014. "Inference on stochastic time-varying coefficient models," Journal of Econometrics, Elsevier, Elsevier, vol. 179(1), pages 46-65.
  8. Ying Chen & Linlin Niu, 2013. "Adaptive Dynamic Nelson-Siegel Term Structure Model with Applications," Papers 2013-10-14, Working Paper.
  9. Raffaella Giacomini & Barbara Rossi, 2009. "Detecting and Predicting Forecast Breakdowns," Review of Economic Studies, Oxford University Press, vol. 76(2), pages 669-705.
  10. Jan J. J. Groen & Richard Paap & Francesco Ravazzolo, 2009. "Real-Time Inflation Forecasting in a Changing World," Working Paper, Norges Bank 2009/16, Norges Bank.
  11. M. Hashem Pesaran & Ron Smith, 2006. "Macroeconometric Modelling with a Global Perspective," IEPR Working Papers, Institute of Economic Policy Research (IEPR) 06.43, Institute of Economic Policy Research (IEPR).
  12. Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2004. "Exploring the International Linkages of the Euro Area: A Global VAR Analysis," IEPR Working Papers, Institute of Economic Policy Research (IEPR) 04.6, Institute of Economic Policy Research (IEPR).
  13. Nima Nonejad, 2013. "A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory," CREATES Research Papers 2013-24, School of Economics and Management, University of Aarhus.
  14. BELMONTE, Miguel A.G. & KOOP, Gary & KOROBILIS, Dimitris, 2011. "Hierarchical shrinkage in time-varying parameter models," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2011036, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  15. Bates, Brandon J. & Plagborg-Møller, Mikkel & Stock, James H. & Watson, Mark W., 2013. "Consistent factor estimation in dynamic factor models with structural instability," Journal of Econometrics, Elsevier, Elsevier, vol. 177(2), pages 289-304.
  16. Simeon Coleman Author name: Vitor Leone, 2012. "Time-series characteristics of UK commercial property returns: Testing for multiple changes in persistence," Working Papers, Nottingham Trent University, Nottingham Business School, Economics Division 2012/03, Nottingham Trent University, Nottingham Business School, Economics Division.
  17. Ko, Stanley I. M. & Chong, Terence T. L. & Ghosh, Pulak, 2014. "Dirichlet Process Hidden Markov Multiple Change-point Model," MPRA Paper 57871, University Library of Munich, Germany.
  18. David Hendry & Grayham E. Mizon, 2013. "Unpredictability in Economic Analysis, Econometric Modeling and Forecasting," Economics Series Working Papers 2013-W04, University of Oxford, Department of Economics.
  19. Eo, Yunjong & Kim, Chang-Jin, 2012. "Markov-Switching Models with Evolving Regime-Specific Parameters: Are Post-War Booms or Recessions All Alike?," Working Papers, University of Sydney, School of Economics 2012-04, University of Sydney, School of Economics.
  20. David Ardia, 2009. "Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 12(1), pages 105-126, 03.
  21. Barbara Rossi & Atsushi Inoue, 2012. "Out-of-sample forecast tests robust to the choice of window size," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 1404, Department of Economics and Business, Universitat Pompeu Fabra.
  22. He, Zhongfang, 2009. "Forecasting output growth by the yield curve: the role of structural breaks," MPRA Paper 28208, University Library of Munich, Germany.
  23. Liew, Freddy, 2012. "Forecasting inflation in Asian economies," MPRA Paper 36781, University Library of Munich, Germany.
  24. John M Maheu & Stephen Gordon, 2007. "Learning, Forecasting and Structural Breaks," Working Papers tecipa-284, University of Toronto, Department of Economics.
  25. William Brock & Steven Durlauf & Kenneth West, 2005. "Model uncertainty and policy evaluation: some theory and empirics," Proceedings, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco.
  26. Edward N. Gamber & Jeffrey P. Liebner & Julie K. Smith, 2013. "Inflation Persistence: Revisited," Working Papers 2013-002, The George Washington University, Department of Economics, Research Program on Forecasting.
  27. Markku Lanne, 2004. "Nonlinear dynamics of interest rate and inflation," Macroeconomics, EconWPA 0405014, EconWPA.
  28. Jochmann, Markus & Koop, Gary & Strachan, Rodney W., 2010. "Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks," International Journal of Forecasting, Elsevier, Elsevier, vol. 26(2), pages 326-347, April.
  29. Pesaran, Mohammad Hashem & Pettenuzzo, Davide & Timmermann, Allan, 2006. "Learning, structural instability and present value calculations," Discussion Paper Series 1: Economic Studies 2006,27, Deutsche Bundesbank, Research Centre.
  30. González, Andrés & Hubrich, Kirstin & Teräsvirta, Timo, 2011. "Forecasting inflation with gradual regime shifts and exogenous information," Working Paper Series, European Central Bank 1363, European Central Bank.
  31. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers, Örebro University, School of Business 2012:12, Örebro University, School of Business.
  32. Barnett, Alina & Mumtaz, Haroon & Theodoridis, Konstantinos, 2014. "Forecasting UK GDP growth and inflation under structural change. A comparison of models with time-varying parameters," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(1), pages 129-143.
  33. repec:luc:wpaper:14-07 is not listed on IDEAS
  34. Geweke, John & Jiang, Yu, 2011. "Inference and prediction in a multiple-structural-break model," Journal of Econometrics, Elsevier, Elsevier, vol. 163(2), pages 172-185, August.
  35. Maheu, John M. & Song, Yong, 2014. "A new structural break model, with an application to Canadian inflation forecasting," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(1), pages 144-160.
  36. John M. Maheu & Yong Song, 2012. "A New Structural Break Model with Application to Canadian Inflation Forecasting," Working Paper Series, The Rimini Centre for Economic Analysis 27_12, The Rimini Centre for Economic Analysis.
  37. Eran Raviv & Kees E. Bouwman & Dick van Dijk, 2013. "Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices," Tinbergen Institute Discussion Papers 13-068/III, Tinbergen Institute.
  38. Geweke, J. & Joel Horowitz & Pesaran, M.H., 2006. "Econometrics: A Bird’s Eye View," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0655, Faculty of Economics, University of Cambridge.
  39. John M. Maheu & Thomas H. McCurdy, 2007. "How useful are historical data for forecasting the long-run equity return distribution?," Working Paper Series, The Rimini Centre for Economic Analysis 19-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
  40. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers, Duke University, Department of Economics 11-20, Duke University, Department of Economics.
  41. Kaufmann Sylvia, 2011. "K-state switching models with endogenous transition distributions," Working Papers 2011-13, Swiss National Bank.
  42. Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
  43. Timmermann, Allan, 2008. "Elusive return predictability," International Journal of Forecasting, Elsevier, Elsevier, vol. 24(1), pages 1-18.
  44. Georges Dionne & Olfa Maalaoui Chun, 2013. "Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period," Cahiers de recherche, CIRPEE 1322, CIRPEE.
  45. repec:dgr:uvatin:2011023 is not listed on IDEAS
  46. Jennifer Castle & David Hendry & Nicholas W.P. Fawcett, 2008. "Forecasting with Equilibrium-correction Models during Structural Breaks," Economics Series Working Papers 408, University of Oxford, Department of Economics.
  47. Gary Koop & Simon M. Potter, 2004. "Prior Elicitation in Multiple Change-point Models," Discussion Papers in Economics, Department of Economics, University of Leicester 04/26, Department of Economics, University of Leicester.
  48. Zhongjun Qu & Pierre Perron, 2008. "A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics wp2008-007, Boston University - Department of Economics.
  49. Katrin Assenmacher-Wesche & M. Hashem Pesaran, 2007. "Assessing Forecast Uncertainties in a VECX Model for Switzerland: An Exercise in Forecast Combination across Models and Observation Windows," CESifo Working Paper Series 2116, CESifo Group Munich.
  50. Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2008. "On the Evolution of Monetary Policy," Working Paper Series, The Rimini Centre for Economic Analysis 24-08, The Rimini Centre for Economic Analysis, revised Jan 2008.
  51. Kirsten Thompson & Renee van Eyden & Rangan Gupta, 2013. "Testing the Out-of-Sample Forecasting Ability of a Financial Conditions Index for South Africa," Working Papers 201383, University of Pretoria, Department of Economics.
  52. Conrad, Christian & Karanasos, Menelaos & Zeng, Ning, 2011. "Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(1), pages 147-159, January.
  53. Song, Yong & Shi, Shuping, 2012. "Identifying speculative bubbles with an in finite hidden Markov model," MPRA Paper 36455, University Library of Munich, Germany.
  54. Luc Bauwens & Jeroen V.K. Rombouts, 2009. "On Marginal Likelihood Computation in Change-point Models," Cahiers de recherche, CIRPEE 0942, CIRPEE.
  55. Yong Song, 2012. "Modelling Regime Switching and Structural Breaks with an Infinite Hidden Markov Model," Working Paper Series, The Rimini Centre for Economic Analysis 28_12, The Rimini Centre for Economic Analysis.
  56. Czinkota, Thomas, 2012. "Das Halteproblem bei Strukturbrüchen in Finanzmarktzeitreihen
    [The Halting Problem applied to Structural Breaks in Financial Time Series]
    ," MPRA Paper 37072, University Library of Munich, Germany.
  57. Davide Pettenuzzo & Halbert White, 2010. "Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis," Working Papers, Brandeis University, Department of Economics and International Businesss School 36, Brandeis University, Department of Economics and International Businesss School.
  58. Sancetta, A. & Nikanrova, A., 2005. "Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0516, Faculty of Economics, University of Cambridge.
  59. Kyongwook Choi & Wei-Choun Yu & Eric Zivot, 2008. "Long Memory versus Structural Breaks in Modeling and Forecasting Realized Volatility," Working Papers, University of Washington, Department of Economics UWEC-2008-20-FC, University of Washington, Department of Economics.
  60. Dimitris, Korobilis, 2013. "Forecasting with Factor Models: A Bayesian Model Averaging Perspective," MPRA Paper 52724, University Library of Munich, Germany.
  61. Menelaos Karanasos & Alexandros Paraskevopoulos & Faek Menla Ali & Michail Karoglou & Stavroula Yfanti, 2014. "Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach," Papers 1403.7179, arXiv.org.
  62. repec:dgr:uvatin:2013068 is not listed on IDEAS
  63. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers, Brandeis University, Department of Economics and International Businesss School 63, Brandeis University, Department of Economics and International Businesss School, revised Sep 2013.
  64. Pesaran, M.H. & Pick, A. & Pranovich, M., 2011. "Optimal Forecasts in the Presence of Structural Breaks (Updated 14 November 2011)," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 1163, Faculty of Economics, University of Cambridge.
  65. David E. Rapach & Jack K. Strauss, 2008. "Structural breaks and GARCH models of exchange rate volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 23(1), pages 65-90.
  66. Ravazzolo, F. & van Dijk, D.J.C. & Paap, R. & Franses, Ph.H.B.F., 2006. "Bayesian Model Averaging in the Presence of Structural Breaks," Econometric Institute Research Papers EI 2006-33, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  67. Nonejad, Nima, 2014. "Particle Gibbs with Ancestor Sampling Methods for Unobserved Component Time Series Models with Heavy Tails, Serial Dependence and Structural Breaks," MPRA Paper 55664, University Library of Munich, Germany.
  68. Gary M. Koop & Simon M. Potter, 2004. "Forecasting and estimating multiple change-point models with an unknown number of change points," Staff Reports, Federal Reserve Bank of New York 196, Federal Reserve Bank of New York.
  69. Pesaran, M. Hashem & Pick, Andreas & Pranovich, Mikhail, 2013. "Optimal forecasts in the presence of structural breaks," Journal of Econometrics, Elsevier, Elsevier, vol. 177(2), pages 134-152.
  70. Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C., 2009. "Time Variation in Asset Return Dependence: Strength or Structure?," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2009-052-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  71. Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2013. "Forecasting by factors, by variables, by both or neither?," Journal of Econometrics, Elsevier, Elsevier, vol. 177(2), pages 305-319.
  72. Kapetanios, G. & Tzavalis, E., 2010. "Modeling structural breaks in economic relationships using large shocks," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 34(3), pages 417-436, March.
  73. Axioglou, Christos & Skouras, Spyros, 2011. "Markets change every day: Evidence from the memory of trade direction," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(3), pages 423-446, June.
  74. Aue, Alexander & Horváth, Lajos & Reimherr, Matthew L., 2009. "Delay times of sequential procedures for multiple time series regression models," Journal of Econometrics, Elsevier, Elsevier, vol. 149(2), pages 174-190, April.
  75. Bali, Turan G. & Demirtas, K. Ozgur & Levy, Haim, 2008. "Nonlinear mean reversion in stock prices," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(5), pages 767-782, May.
  76. Qu, Zhongjun, 2008. "Testing for structural change in regression quantiles," Journal of Econometrics, Elsevier, Elsevier, vol. 146(1), pages 170-184, September.
  77. Lee, Yoonsuk & Brorsen, B. Wade, 2012. "Impacts of Permanent and Transitory Shocks on Optimal Length of Moving Average to Predict Wheat Basis," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington, Agricultural and Applied Economics Association 125001, Agricultural and Applied Economics Association.
  78. Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2009. "On the evolution of the monetary policy transmission mechanism," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 33(4), pages 997-1017, April.
  79. Adam Canopius, 2006. "Practitioners' Corner," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(2), pages 346-351.