Combining competing forecasts of inflation using a bivariate arch model-Reference-Cited by-同舟云学术

Combining competing forecasts of inflation using a bivariate arch model

Published:1984-11 Issue:2 Volume:8 Page:151-165
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Engle Robert F.,Granger C.W.J.,Kraft Dennis

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference17 articles.

1. The Lagrange multiplier test and its application to model specification;Breusch;Review of Economic Studies,1980

2. Efficiency of the independence assumption in the combination of forecasts;Bunn,1983

3. Money, inflation, and economic growth: Some updated reduced form results and their implications;Carlson;Federal Reserve Bank of St. Louis Review 62,1980

4. The lag from money to prices;Carlson;Federal Reserve Bank of St. Louis Review,1980

5. Maximum likelihood estimation for dependent observations;Crowder;Journal of the Royal Statistical Society B,1976

Cited by 113 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. High-dimensional covariance matrices under dynamic volatility models: Asymptotics and shrinkage estimation;The Annals of Statistics;2024-06-01

2. Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators;The North American Journal of Economics and Finance;2024-03

3. An Improved Garch-Type Model with Combined Weighted Volatility Measure and Weighted Volatility Indicator: Evidence from German DAX;2023

4. The Dynamic Interaction of CIVETS Stock Market Indices;Econder International Academic Journal;2022-06-15

5. Multivariate Asymmetric GARCH Model with Dynamic Correlation Matrix;Finance: Theory and Practice;2022-04-29