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Elements of Nonlinear Time Series Analysis and Forecasting

De Gooijer, Jan G

1, 2017

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25 years of time series forecasting

International journal of forecasting, 2006, Vol.22 (3), p.443-473

2006

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Penalized Averaging of Quantile Forecasts from GARCH Models with Many Exogenous Predictors

Computational economics, 2023-06, Vol.62 (1), p.407-424

Gooijer, Jan G. De

2023

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Semiparametric quantile averaging in the presence of high-dimensional predictors

International journal of forecasting, 2019-07, Vol.35 (3), p.891-909

2019

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Testing nonlinearity of heavy-tailed time series

Journal of applied statistics, 2024-10, Vol.51 (13), p.2672-2689

De Gooijer, Jan G.

2024

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Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts

Journal of time series econometrics, 2020-01, Vol.12 (1)

2020

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Non parametric portmanteau tests for detecting non linearities in high dimensions

Communications in statistics. Theory and methods, 2016-01, Vol.45 (2), p.385-399

2016

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A multi-step kernel-based regression estimator that adapts to error distributions of unknown form

Communications in statistics. Theory and methods, 2021-11, Vol.50 (24), p.6211-6230

2021

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Asymmetric vector moving average models: estimation and testing

Computational statistics, 2021-06, Vol.36 (2), p.1437-1460

De Gooijer, Jan G.

2021

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The marginal distribution function of threshold-type processes with central symmetric innovations

Statistics (Berlin, DDR), 2022-01, Vol.56 (1), p.1-33

De Gooijer, Jan G.

2022

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Periodic autoregressive forecasting of global solar irradiation without knowledge-based model implementation

Solar energy, 2018-11, Vol.174, p.121-129

2018

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KERNEL-SMOOTHED CONDITIONAL QUANTILES OF CORRELATED BIVARIATE DISCRETE DATA

Statistica Sinica, 2011-10, Vol.21 (4), p.1611-1638

2011

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On Additive Conditional Quantiles With High-Dimensional Covariates

Journal of the American Statistical Association, 2003-03, Vol.98 (461), p.135-146

2003

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Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges

Studies in nonlinear dynamics and econometrics, 2012-01, Vol.16 (1), p.1-1

2012

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Some exact tests for manifest properties of latent trait models

Computational statistics & data analysis, 2011, Vol.55 (1), p.34-44

2011

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On portmanteau-type tests for nonlinear multivariate time series

Journal of multivariate analysis, 2023-05, Vol.195, p.105157, Article 105157

De Gooijer, Jan G.

2023

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Mean–variance and mean–semivariance portfolio selection: a multivariate nonparametric approach

Financial markets and portfolio management, 2018-11, Vol.32 (4), p.419-436

2018

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Asymptotically Informative Prior for Bayesian Analysis

Communications in statistics. Theory and methods, 2014-07, Vol.43 (14), p.3080-3094

2014

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Efficient Estimation of an Additive Quantile Regression Model

Scandinavian journal of statistics, 2011-03, Vol.38 (1), p.46-62

2011

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Detecting change-points in multidimensional stochastic processes

Computational statistics & data analysis, 2006-12, Vol.51 (3), p.1892-1903

De Gooijer, Jan G.

2006

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Power of the Neyman Smooth Test for Evaluating Multivariate Forecast Densities

Journal of applied statistics, 2007-05, Vol.34 (4), p.371-381

De Gooijer, Jan G.

2007

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Forecasting threshold cointegrated systems

International journal of forecasting, 2004-04, Vol.20 (2), p.237-253

2004

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Semiparametric Regression with Kernel Error Model

Scandinavian journal of statistics, 2007-12, Vol.34 (4), p.841-869

2007

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Kernel-based hidden Markov conditional densities

Computational statistics & data analysis, 2022-05, Vol.169, p.107431, Article 107431

2022

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Some recent developments in non-linear time series modelling, testing, and forecasting

International journal of forecasting, 1992, Vol.8 (2), p.135-156

1992

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Elements of Nonlinear Time Series Analysis and Forecasting

25 years of time series forecasting

Penalized Averaging of Quantile Forecasts from GARCH Models with Many Exogenous Predictors

Semiparametric quantile averaging in the presence of high-dimensional predictors

Testing nonlinearity of heavy-tailed time series

Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts

Non parametric portmanteau tests for detecting non linearities in high dimensions

A multi-step kernel-based regression estimator that adapts to error distributions of unknown form

Asymmetric vector moving average models: estimation and testing

The marginal distribution function of threshold-type processes with central symmetric innovations

Periodic autoregressive forecasting of global solar irradiation without knowledge-based model implementation

KERNEL-SMOOTHED CONDITIONAL QUANTILES OF CORRELATED BIVARIATE DISCRETE DATA

On Additive Conditional Quantiles With High-Dimensional Covariates

Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges

Some exact tests for manifest properties of latent trait models

On portmanteau-type tests for nonlinear multivariate time series

Mean–variance and mean–semivariance portfolio selection: a multivariate nonparametric approach

Asymptotically Informative Prior for Bayesian Analysis

Efficient Estimation of an Additive Quantile Regression Model

Detecting change-points in multidimensional stochastic processes

Power of the Neyman Smooth Test for Evaluating Multivariate Forecast Densities

Forecasting threshold cointegrated systems

Semiparametric Regression with Kernel Error Model

Kernel-based hidden Markov conditional densities

Some recent developments in non-linear time series modelling, testing, and forecasting

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