A flexible semiparametric forecasting model for time series-Reference-Cited by-同舟云学术

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A flexible semiparametric forecasting model for time series

Published:2015-07 Issue:1 Volume:187 Page:345-357
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Li Degui,Linton Oliver,Lu Zudi

Funder

ERC

ARC Future Fellowship Scheme

European Commission’s Marie Curie Career Integration Grant

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference37 articles.

1. Convergence of Probability Measures;Billingsley,1968

2. Statistics for High-Dimensional Data: Methods, Theory and Applications;Bühlmann,2011

3. News-good or bad- and its impact on volatility predictions over multiple horizons;Chen;Rev. Financial Studies,2010

4. Model Selection and Model Averaging;Claeskens,2008

5. Consistent model specification tests: omitted variables and semiparametric functional forms;Fan;Econometrica,1996

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