Optimal model averaging based on leave-h-out forward-validation for threshold autoregressive models
From MaRDI portal
Publication:6548802
Cites work
- A review of threshold time series models in finance
- A weight-relaxed model averaging approach for high-dimensional generalized linear models
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Detecting financial data dependence structure by averaging mixture copulas
- Estimation in threshold autoregressive models with a stationary and a unit root regime
- Frequentist model averaging for threshold models
- Functional prediction through averaging estimated functional linear regression models
- Inference in TAR Models
- Jackknife model averaging
- Jackknife model averaging for quantile regressions
- LASSO estimation of threshold autoregressive models
- Least Squares Model Averaging
- Least-squares forecast averaging
- Maximum Likelihood Estimation of Misspecified Models
- Model averaging in predictive regressions
- Model averaging prediction by \(K\)-fold cross-validation
- On maximum likelihood estimators for a threshold autoregression
- On the least squares estimation of multiple-regime threshold autoregressive models
- Optimal model averaging based on forward-validation
- Penalized time-varying model averaging
- Structural-break models under mis-specification: implications for forecasting
Cited in
(1)
This page was built for publication: Optimal model averaging based on leave-\(h\)-out forward-validation for threshold autoregressive models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6548802)
