Forecast performance of nonlinear error-correction models with multiple regimes

Zacharias Psaradakis; Fabio Spagnolo

doi:10.1002/for.946

Forecast performance of nonlinear error-correction models with multiple regimes

Journal of Forecasting ◽

10.1002/for.946 ◽

2005 ◽

Vol 24 (2) ◽

pp. 119-138 ◽

Cited By ~ 5

Author(s):

Zacharias Psaradakis ◽

Fabio Spagnolo

Keyword(s):

Error Correction ◽

Error Correction Models ◽

Forecast Performance ◽

Nonlinear Error ◽

Multiple Regimes

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Likelihood-Based Inference in Nonlinear Error-Correction Models

SSRN Electronic Journal ◽

10.2139/ssrn.1089287 ◽

2007 ◽

Author(s):

Anders Rahbek ◽

Dennis Kristensen

Keyword(s):

Error Correction ◽

Error Correction Models ◽

Nonlinear Error

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Nonlinear error correction models

Journal of Time Series Analysis ◽

10.1111/1467-9892.00276 ◽

2002 ◽

Vol 23 (5) ◽

pp. 509-522 ◽

Cited By ~ 34

Author(s):

ALVARO ESCRIBANO ◽

SANTIAGO MIRA

Keyword(s):

Error Correction ◽

Error Correction Models ◽

Nonlinear Error

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Nonlinear Error-Correction Models in the Greek Money Market

New Operational Approaches for Financial Modelling - Contributions to Management Science ◽

10.1007/978-3-642-59270-6_12 ◽

1997 ◽

pp. 173-181 ◽

Cited By ~ 1

Author(s):

Raphael N. Markellos ◽

Costas Siriopoulos

Keyword(s):

Error Correction ◽

Money Market ◽

Error Correction Models ◽

Nonlinear Error

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Nonlinear Error Correction Models With an Application to Commodity Prices

Brazilian Review of Econometrics ◽

10.12660/bre.v33n22013.24116 ◽

2014 ◽

Vol 33 (2) ◽

pp. 145 ◽

Cited By ~ 1

Author(s):

Marcelo C Medeiros ◽

Rafael Magri

Keyword(s):

Error Correction ◽

Commodity Prices ◽

Error Correction Models ◽

Nonlinear Error

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NONLINEAR ERROR CORRECTION MODELS: ESTIMATION AND TESTING

10.17771/pucrio.acad.34955 ◽

2010 ◽

Author(s):

RAFAEL RIBEIRO MAGRI

Keyword(s):

Error Correction ◽

Error Correction Models ◽

Nonlinear Error

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Nonlinear Cointegration and Nonlinear Error-Correction Models: Theory and Empirical Applications for Oil and Stock Markets

Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration ◽

10.1057/9780230295216_9 ◽

2011 ◽

pp. 171-193

Author(s):

Mohamed El Hedi Arouri ◽

Fredj Jawadi ◽

Duc Khuong Nguyen

Keyword(s):

Error Correction ◽

Stock Markets ◽

Error Correction Models ◽

Nonlinear Error

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Asymmetric and Threshold Nonlinear Error-Correction Models

Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance ◽

10.1007/978-1-4757-3615-1_5 ◽

2002 ◽

pp. 267-286

Author(s):

Gilles Dufrénot ◽

Valérie Mignon

Keyword(s):

Error Correction ◽

Error Correction Models ◽

Nonlinear Error

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Nonlinear Error-Correction Models for the FF/DM Rate

Studies in Nonlinear Dynamics & Econometrics ◽

10.2202/1558-3708.1085 ◽

2005 ◽

Vol 9 (1) ◽

Cited By ~ 4

Author(s):

Mustapha Baghli

Keyword(s):

Error Correction ◽

Error Correction Models ◽

Nonlinear Error

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Stability results for nonlinear error correction models

Journal of Econometrics ◽

10.1016/j.jeconom.2004.03.001 ◽

2005 ◽

Vol 127 (1) ◽

pp. 69-81 ◽

Cited By ~ 30

Author(s):

Pentti Saikkonen

Keyword(s):

Error Correction ◽

Error Correction Models ◽

Nonlinear Error ◽

Stability Results

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Optimal Pseudo-Gaussian and Rank-Based Tests of the Cointegrating Rank in Semiparametric Error-Correction Models

SSRN Electronic Journal ◽

10.2139/ssrn.2320810 ◽

2013 ◽

Cited By ~ 1

Author(s):

Marc Hallin ◽

Ramon Van den Akker ◽

Bas J. M. Werker

Keyword(s):

Error Correction ◽

Error Correction Models

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