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Browsing Research Articles (Economics) by Subject "Equal predictive ability (EPA)"
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(Elsevier, 2024-01)We investigate the role of geopolitical risks in forecasting stock market volatility at monthly horizons within a robust autoregressive Markov-switching GARCH mixed-data-sampling (AR-MSGARCH-MIDAS) framework. Our approach ...
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(Wiley, 2018-08)A large number of models have been developed in the literature to analyze and forecast changes in output dynamics. The objective of this paper was to compare the predictive ability of univariate and bivariate models, in ...
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