IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

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

by M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. 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, vol. 30(1), pages 129-143.
  2. Dees, S. & di Mauro, F. & Pesaran, M.H. & Smith, L.V., 2005. "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," Cambridge Working Papers in Economics 0518, Faculty of Economics, University of Cambridge.
  3. John M. Maheu & Qiao Yang, 2015. "An Infinite Hidden Markov Model for Short-term Interest Rates," Working Paper Series 15-05, The Rimini Centre for Economic Analysis.
  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. Luc Bauwens & Jeroen V.K. Rombouts, 2009. "On Marginal Likelihood Computation in Change-point Models," Cahiers de recherche 0942, CIRPEE.
  6. 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.
  7. M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, structural instability and present value calculations," Computing in Economics and Finance 2006 529, Society for Computational Economics.
  8. Sylvia Kaufmann, 2011. "K-state switching models with endogenous transition distributions," Working Papers 2011-13, Swiss National Bank.
  9. White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.
  10. Gary Koop & Simon M. Potter, 2004. "Prior Elicitation in Multiple Change-point Models," Discussion Papers in Economics 04/26, Department of Economics, University of Leicester.
  11. Jan J. J. Groen & Richard Paap & Francesco Ravazzolo, 2009. "Real-Time Inflation Forecasting in a Changing World," Working Paper 2009/16, Norges Bank.
  12. Miguel Belmonte & Gary Koop & Dimitris Korobilis, 2011. "Hierarchical Shrinkage in Time-Varying Parameter Models," Working Papers 1137, University of Strathclyde Business School, Department of Economics.
  13. Geweke, J. & Joel Horowitz & Pesaran, M.H., 2006. "Econometrics: A Bird’s Eye View," Cambridge Working Papers in Economics 0655, Faculty of Economics, University of Cambridge.
  14. Inoue, Atsushi & Rossi, Barbara, 2011. "Out-of-Sample Forecast Tests Robust to the Choice of Window Size," CEPR Discussion Papers 8542, C.E.P.R. Discussion Papers.
  15. Georges Dionne & Olfa Maalaoui Chun, 2013. "Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period," Cahiers de recherche 1322, CIRPEE.
  16. David E. Rapach & Jack K. Strauss, 2008. "Structural breaks and GARCH models of exchange rate volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 65-90.
  17. John M. Maheu & Stephen Gordon, 2004. "Learning, Forecasting and Structural Breaks," Cahiers de recherche 0422, CIRPEE.
  18. Giordani, Paolo & Kohn, Robert, 2008. "Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 66-77, January.
  19. Markku Lanne, 2006. "Nonlinear dynamics of interest rate and inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1157-1168.
  20. Ying Chen & Linlin Niu, 2013. "Adaptive Dynamic Nelson-Siegel Term Structure Model with Applications," Papers 2013-10-14, Working Paper.
  21. Qu, Zhongjun, 2008. "Testing for structural change in regression quantiles," Journal of Econometrics, Elsevier, vol. 146(1), pages 170-184, September.
  22. M. Hashem Pesaran & Ron P. Smith, 2006. "Macroeconometric Modelling with a Global Perspective," CESifo Working Paper Series 1659, CESifo Group Munich.
  23. Eklund, J. & Kapetanios, G. & Price, S., 2011. "Forecasting in the presence of recent structural change," Working Papers 11/05, Department of Economics, City University London.
  24. 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 1163, Faculty of Economics, University of Cambridge.
  25. David Ardia, 2009. "Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations," Econometrics Journal, Royal Economic Society, vol. 12(1), pages 105-126, 03.
  26. Gary M. Koop & Simon M. Potter, 2004. "Forecasting and Estimating Multiple Change-point Models with an Unknown Number of Change-points," Discussion Papers in Economics 04/31, Department of Economics, University of Leicester.
  27. Raffella Giacomini & Barbara Rossi, 2005. "Detecting and Predicting Forecast Breakdowns," UCLA Economics Working Papers 845, UCLA Department of Economics.
  28. Lieven Baele, 2010. "The Determinants of Stock and Bond Return Comovements," Review of Financial Studies, Society for Financial Studies, vol. 23(6), pages 2374-2428, June.
  29. Pesaran, M. Hashem & Pick, Andreas & Pranovich, Mikhail, 2013. "Optimal forecasts in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 177(2), pages 134-152.
  30. Brock, William A. & Durlauf, Steven N. & West, Kenneth D., 2007. "Model uncertainty and policy evaluation: Some theory and empirics," Journal of Econometrics, Elsevier, vol. 136(2), pages 629-664, February.
  31. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
  32. 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.
  33. 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 wp2008-007, Boston University - Department of Economics.
  34. Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2013. "Forecasting by factors, by variables, by both or neither?," Journal of Econometrics, Elsevier, vol. 177(2), pages 305-319.
  35. 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.
  36. Kapetanios, G. & Tzavalis, E., 2010. "Modeling structural breaks in economic relationships using large shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 417-436, March.
  37. Adam Canopius, 2006. "Practitioners' Corner," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(2), pages 346-351.
  38. Kyongwook Choi & Wei-Choun Yu & Eric Zivot, 2008. "Long Memory versus Structural Breaks in Modeling and Forecasting Realized Volatility," Working Papers UWEC-2008-20-FC, University of Washington, Department of Economics.
  39. Sjoerd van den Hauwe & Richard Paap & Dick J.C. van Dijk, 2011. "An Alternative Bayesian Approach to Structural Breaks in Time Series Models," Tinbergen Institute Discussion Papers 11-023/4, Tinbergen Institute.
  40. Eo, Yunjong & Kim, Chang-Jin, 2012. "Markov-Switching Models with Evolving Regime-Specific Parameters: Are Post-War Booms or Recessions All Alike?," Working Papers 2012-04, University of Sydney, School of Economics.
  41. Andrés González & Kirstin Hubrich & Timo Teräsvirta, 2009. "Forecasting inflation with gradual regime shifts and exogenous information," CREATES Research Papers 2009-03, School of Economics and Management, University of Aarhus.
  42. Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2008. "On the Evolution of Monetary Policy," Working Paper Series 24-08, The Rimini Centre for Economic Analysis, revised Jan 2008.
  43. Gary Koop & Markus Jochmann & Rodney W. Strachan, 2008. "Bayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks," Working Paper Series 19-08, The Rimini Centre for Economic Analysis, revised Jan 2008.
  44. 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.
  45. Shu-Ping Shi & Yong Song, 2012. "Identifying Speculative Bubbles with an Infinite Hidden Markov Model," Working Paper Series 26_12, The Rimini Centre for Economic Analysis.
  46. Giraitis, L. & Kapetanios, G. & Yates, T., 2014. "Inference on stochastic time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 179(1), pages 46-65.
  47. He, Zhongfang, 2009. "Forecasting output growth by the yield curve: the role of structural breaks," MPRA Paper 28208, University Library of Munich, Germany.
  48. 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.
  49. 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, vol. 18(1), pages 147-159, January.
  50. Bali, Turan G. & Demirtas, K. Ozgur & Levy, Haim, 2008. "Nonlinear mean reversion in stock prices," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 767-782, May.
  51. 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.
  52. 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.
  53. Timmermann, Allan, 2008. "Elusive return predictability," International Journal of Forecasting, Elsevier, vol. 24(1), pages 1-18.
  54. Maheu, John M. & McCurdy, Thomas H., 2009. "How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?," Journal of Business & Economic Statistics, American Statistical Association, vol. 27, pages 95-112.
  55. 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.
  56. repec:luc:wpaper:14-07 is not listed on IDEAS
  57. John M Maheu & Yong Song, 2012. "A New Structural Break Model with Application to Canadian Inflation Forecasting," Working Papers tecipa-448, University of Toronto, Department of Economics.
  58. 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.
  59. Axioglou, Christos & Skouras, Spyros, 2011. "Markets change every day: Evidence from the memory of trade direction," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 423-446, June.
  60. Bulkley, George & Giordani, Paolo, 2011. "Structural breaks, parameter uncertainty, and term structure puzzles," Journal of Financial Economics, Elsevier, vol. 102(1), pages 222-232, October.
  61. 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, vol. 33(4), pages 997-1017, April.
  62. Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
  63. 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.
  64. 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 125001, Agricultural and Applied Economics Association.
  65. Geweke, John & Jiang, Yu, 2011. "Inference and prediction in a multiple-structural-break model," Journal of Econometrics, Elsevier, vol. 163(2), pages 172-185, August.
  66. repec:dgr:uvatin:2011023 is not listed on IDEAS
  67. Maheu, John M. & Song, Yong, 2014. "A new structural break model, with an application to Canadian inflation forecasting," International Journal of Forecasting, Elsevier, vol. 30(1), pages 144-160.
  68. repec:dgr:uvatin:2013068 is not listed on IDEAS
  69. Simeon Coleman Author name: Vitor Leone, 2012. "Time-series characteristics of UK commercial property returns: Testing for multiple changes in persistence," Working Papers 2012/03, Nottingham Trent University, Nottingham Business School, Economics Division.
  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 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. Liew, Freddy, 2012. "Forecasting inflation in Asian economies," MPRA Paper 36781, University Library of Munich, Germany.
  72. 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.
  73. Brandon J. Bates & Mikkel Plagborg-Møller & James H. Stock & Mark W. Watson, . "Consistent factor estimation in dynamic factor models with structural instability," Working Paper 84631, Harvard University OpenScholar.
  74. 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.
  75. Yong Song, 2012. "Modelling Regime Switching and Structural Breaks with an Infinite Hidden Markov Model," Working Paper Series 28_12, The Rimini Centre for Economic Analysis.
  76. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Businesss School, revised Sep 2013.
  77. repec:dgr:uvatin:20130068 is not listed on IDEAS
  78. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
  79. Dimitris, Korobilis, 2013. "Forecasting with Factor Models: A Bayesian Model Averaging Perspective," MPRA Paper 52724, University Library of Munich, Germany.
  80. Aue, Alexander & Horváth, Lajos & Reimherr, Matthew L., 2009. "Delay times of sequential procedures for multiple time series regression models," Journal of Econometrics, Elsevier, vol. 149(2), pages 174-190, April.
  81. Chen, Pei-Fen & Lee, Chien-Chiang & Zeng, Jhih-Hong, 2014. "The relationship between spot and futures oil prices: Do structural breaks matter?," Energy Economics, Elsevier, vol. 43(C), pages 206-217.
  82. 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 0516, Faculty of Economics, University of Cambridge.
  83. BAUWENS, Luc & DUFAYS, Arnaud & DE BACKER, Bruno, 2011. "Estimating and forecasting structural breaks in financial time series," CORE Discussion Papers 2011055, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.