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Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging. (2010). Medeiros, Marcelo ; Audrino, Francesco.
In: Textos para discussão.
RePEc:rio:texdis:570.

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Cited: 6

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Cites: 35

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Cocites: 50

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Citations received by this document

  1. Forecasting Value-at-Risk Using High Frequency Information. (2014). Lee, Tae Hwy ; Huang, Huiyu .
    In: Working Papers.
    RePEc:ucr:wpaper:201409.

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  2. Bagging Constrained Equity Premium Predictors. (2013). Medeiros, Marcelo ; Lee, Tae Hwy ; Hillebrand, Eric.
    In: Working Papers.
    RePEc:ucr:wpaper:201421.

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  3. Forecasting Value-at-Risk Using High-Frequency Information. (2013). Lee, Tae Hwy ; Huang, Huiyu .
    In: Econometrics.
    RePEc:gam:jecnmx:v:1:y:2013:i:1:p:127-140:d:26621.

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  4. Let´s do it again: bagging equity premium predictors. (2012). Medeiros, Marcelo ; Lee, Tae Hwy ; Hillebrand, Eric.
    In: Textos para discussão.
    RePEc:rio:texdis:604.

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  5. Lets Do It Again: Bagging Equity Premium Predictors. (2012). Medeiros, Marcelo ; Lee, Tae Hwy ; Hillebrand, Eric.
    In: CREATES Research Papers.
    RePEc:aah:create:2012-41.

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References

References cited by this document

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  29. Summary statistics of data Central moments Autocorrelations Mean Stdev Skew Kurt Lag 1 Lag 2 Lag 3 1 mth rates 5.2462 2.6496 1.1198 4.9472 0.9652 0.9376 0.9120 1 mth changes 0.0023 0.6953 1.0930 16.721-0.1028-0.0361-0.0589 60 mth rates 6.6416 2.5365 0.9179 3.5773 0.9878 0.9739 0.9615 Spread 1.3944 1.1878 0.0353 3.8250 0.8449 0.7607 0.6774 CPI 4.0881 2.7835 1.3625 4.5441 0.9902 0.9761 0.9606 PPI 3.5130 4.4441 1.0462 4.5846 0.9761 0.9449 0.9159 HELP 83.169 25.369 0.1720 2.1040 0.9892 0.9786 0.9653 IP 3.0453 4.3952 0.7951 3.9041 0.9684 0.9178 0.8537 UE 1.3869 15.616 1.0880 4.2022 0.9550 0.9149 0.8566 GDP 6.8332 2.7445 0.0191 3.3684 0.9661 0.9324 0.8986
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