Nonparametric multistep-ahead prediction in time series analysis
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- CHEN, Rong & YANG, Lijian & HAFNER, Christian, 2004. "Nonparametric multistep-ahead prediction in time series analysis," CORE Discussion Papers RP 1783, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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- Heejoon Han & Shen Zhang, 2012. "Non‐stationary non‐parametric volatility model," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 204-225, June.
- Souhaib Ben Taieb & Rob J Hyndman, 2012. "Recursive and direct multi-step forecasting: the best of both worlds," Monash Econometrics and Business Statistics Working Papers 19/12, Monash University, Department of Econometrics and Business Statistics.
- Tschernig, Rolf & Yang, Lijian, 2000.
"Nonparametric estimation of generalized impulse response function,"
SFB 373 Discussion Papers
2000,89, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Rolf Tschernig & Lijian Yang, 2000. "Nonparametric Estimation of Generalized Impulse Response Functions," Econometric Society World Congress 2000 Contributed Papers 1417, Econometric Society.
- Bontempi, Gianluca & Ben Taieb, Souhaib, 2011.
"Conditionally dependent strategies for multiple-step-ahead prediction in local learning,"
International Journal of Forecasting,
Elsevier, vol. 27(3), pages 689-699.
- Bontempi, Gianluca & Ben Taieb, Souhaib, 2011. "Conditionally dependent strategies for multiple-step-ahead prediction in local learning," International Journal of Forecasting, Elsevier, vol. 27(3), pages 689-699, July.
- Xiangjin B. Chen & Jiti Gao & Degui Li & Param Silvapulle, 2013. "Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models," Monash Econometrics and Business Statistics Working Papers 21/13, Monash University, Department of Econometrics and Business Statistics.
- Cao, Yanrong & Lin, Haiqun & Wu, Tracy Z. & Yu, Yan, 2010. "Penalized spline estimation for functional coefficient regression models," Computational Statistics & Data Analysis, Elsevier, vol. 54(4), pages 891-905, April.
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, number 8355.
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