Peter Exterkate
Personal Details
First Name: | Peter |
Middle Name: | |
Last Name: | Exterkate |
Suffix: | |
RePEc Short-ID: | pex2 |
| |
http://sydney.edu.au/arts/economics/staff/profiles/peter.exterkate.php | |
Affiliation
(99%) School of Economics
Faculty of Arts and Social Sciences
University of Sydney
Sydney, Australiahttps://www.sydney.edu.au/arts/schools/school-of-economics.html
RePEc:edi:deusyau (more details at EDIRC)
(1%) Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet
Aarhus, Denmarkhttp://www.creates.au.dk/
RePEc:edi:creaudk (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Knapik, Oskar & Exterkate, Peter, 2017.
"A regime-switching stochastic volatility model for forecasting electricity prices,"
Working Papers
2017-02, University of Sydney, School of Economics.
- Peter Exterkate & Oskar Knapik, 2017. "A regime-switching stochastic volatility model for forecasting electricity prices," CREATES Research Papers 2017-03, Department of Economics and Business Economics, Aarhus University.
- Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2013.
"Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression,"
CREATES Research Papers
2013-16, Department of Economics and Business Economics, Aarhus University.
- Exterkate, Peter & Groenen, Patrick J.F. & Heij, Christiaan & van Dijk, Dick, 2016. "Nonlinear forecasting with many predictors using kernel ridge regression," International Journal of Forecasting, Elsevier, vol. 32(3), pages 736-753.
- Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2011. "Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression," Tinbergen Institute Discussion Papers 11-007/4, Tinbergen Institute.
- Peter Exterkate, 2012. "Model Selection in Kernel Ridge Regression," CREATES Research Papers 2012-10, Department of Economics and Business Economics, Aarhus University.
- Christophe Croux & Peter Exterkate, 2011. "Sparse and Robust Factor Modelling," Tinbergen Institute Discussion Papers 11-122/4, Tinbergen Institute.
- Peter Exterkate, 2011. "Modelling Issues in Kernel Ridge Regression," Tinbergen Institute Discussion Papers 11-138/4, Tinbergen Institute.
- Exterkate, P. & van Dijk, D.J.C. & Heij, C. & Groenen, P.J.F., 2010.
"Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model,"
Econometric Institute Research Papers
EI 2010-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Peter Exterkate & Dick Van Dijk & Christiaan Heij & Patrick J. F. Groenen, 2013. "Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 193-214, April.
Articles
- Exterkate, Peter & Groenen, Patrick J.F. & Heij, Christiaan & van Dijk, Dick, 2016.
"Nonlinear forecasting with many predictors using kernel ridge regression,"
International Journal of Forecasting, Elsevier, vol. 32(3), pages 736-753.
- Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2013. "Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression," CREATES Research Papers 2013-16, Department of Economics and Business Economics, Aarhus University.
- Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2011. "Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression," Tinbergen Institute Discussion Papers 11-007/4, Tinbergen Institute.
- Petrevski, Goran & Exterkate, Peter & Tevdovski, Dragan & Bogoev, Jane, 2015. "The transmission of foreign shocks to South Eastern European economies: A Bayesian VAR approach," Economic Systems, Elsevier, vol. 39(4), pages 632-643.
- Peter Exterkate & Dick Van Dijk & Christiaan Heij & Patrick J. F. Groenen, 2013.
"Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 193-214, April.
- Exterkate, P. & van Dijk, D.J.C. & Heij, C. & Groenen, P.J.F., 2010. "Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model," Econometric Institute Research Papers EI 2010-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- Peter Exterkate, 2011.
"Modelling Issues in Kernel Ridge Regression,"
Tinbergen Institute Discussion Papers
11-138/4, Tinbergen Institute.
Mentioned in:
- Kernel Ridge Regression – Example Computation I
by Clive Jones in Business Forecasting on 2012-07-27 00:23:25 - Kernel Ridge Regression – A Toy Example
by Clive Jones in Business Forecasting on 2014-03-02 03:10:25
- Kernel Ridge Regression – Example Computation I
- Peter Exterkate, 2012.
"Model Selection in Kernel Ridge Regression,"
CREATES Research Papers
2012-10, Department of Economics and Business Economics, Aarhus University.
Mentioned in:
- Kernel Ridge Regression – Example Computation I
by Clive Jones in Business Forecasting on 2012-07-27 00:23:25 - Kernel Ridge Regression – A Toy Example
by Clive Jones in Business Forecasting on 2014-03-02 03:10:25
- Kernel Ridge Regression – Example Computation I
Working papers
- Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2013.
"Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression,"
CREATES Research Papers
2013-16, Department of Economics and Business Economics, Aarhus University.
- Exterkate, Peter & Groenen, Patrick J.F. & Heij, Christiaan & van Dijk, Dick, 2016. "Nonlinear forecasting with many predictors using kernel ridge regression," International Journal of Forecasting, Elsevier, vol. 32(3), pages 736-753.
- Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2011. "Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression," Tinbergen Institute Discussion Papers 11-007/4, Tinbergen Institute.
Cited by:
- Daiki Maki & Yasushi Ota, 2019. "Robust tests for ARCH in the presence of the misspecified conditional mean: A comparison of nonparametric approches," Papers 1907.12752, arXiv.org, revised Sep 2019.
- Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2019.
"How is Machine Learning Useful for Macroeconomic Forecasting?,"
CIRANO Working Papers
2019s-22, CIRANO.
- Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2022. "How is machine learning useful for macroeconomic forecasting?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 920-964, August.
- Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & St'ephane Surprenant, 2020. "How is Machine Learning Useful for Macroeconomic Forecasting?," Papers 2008.12477, arXiv.org.
- Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stephane Surprenant, 2020. "How is Machine Learning Useful for Macroeconomic Forecasting?," Working Papers 20-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Aug 2020.
- Thierry Moudiki & Frédéric Planchet & Areski Cousin, 2018.
"Multiple Time Series Forecasting Using Quasi-Randomized Functional Link Neural Networks,"
Post-Print
hal-02055155, HAL.
- Thierry Moudiki & Frédéric Planchet & Areski Cousin, 2018. "Multiple Time Series Forecasting Using Quasi-Randomized Functional Link Neural Networks," Risks, MDPI, vol. 6(1), pages 1-20, March.
- Alessandro Giovannelli, 2012. "Nonlinear Forecasting Using Large Datasets: Evidences on US and Euro Area Economies," CEIS Research Paper 255, Tor Vergata University, CEIS, revised 08 Nov 2012.
- Kutateladze, Varlam, 2022. "The kernel trick for nonlinear factor modeling," International Journal of Forecasting, Elsevier, vol. 38(1), pages 165-177.
- Varlam Kutateladze, 2021. "The Kernel Trick for Nonlinear Factor Modeling," Papers 2103.01266, arXiv.org.
- Milan Fičura, 2019. "Forecasting Foreign Exchange Rate Movements with k-Nearest-Neighbour, Ridge Regression and Feed-Forward Neural Networks," FFA Working Papers 1.001, Prague University of Economics and Business, revised 24 Nov 2019.
- Rajveer Jat & Daanish Padha, 2024. "Kernel Three Pass Regression Filter," Papers 2405.07292, arXiv.org, revised Jun 2024.
- Cheng, Kai & Lu, Zhenzhou, 2018. "Sparse polynomial chaos expansion based on D-MORPH regression," Applied Mathematics and Computation, Elsevier, vol. 323(C), pages 17-30.
- A. Frenkel’ A. & N. Volkova N. & A. Surkov A. & E. Romanyuk I. & А. Френкель А. & Н. Волкова Н. & А. Сурков А. & Э. Романюк И., 2018. "Использование Методов Гребневой Регрессии При Объединении Прогнозов // The Application Of Ridge Regression Methods When Combining Forecasts," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 22(4), pages 6-17.
- Saeed Salah & Husain R. Alsamamra & Jawad H. Shoqeir, 2022. "Exploring Wind Speed for Energy Considerations in Eastern Jerusalem-Palestine Using Machine-Learning Algorithms," Energies, MDPI, vol. 15(7), pages 1-16, April.
- Oslandsbotn, Andreas & Kereta, Željko & Naumova, Valeriya & Freund, Yoav & Cloninger, Alexander, 2022. "StreaMRAK a streaming multi-resolution adaptive kernel algorithm," Applied Mathematics and Computation, Elsevier, vol. 426(C).
- Christophe Croux & Peter Exterkate, 2011. "Sparse and Robust Factor Modelling," Tinbergen Institute Discussion Papers 11-122/4, Tinbergen Institute.
- Xu Gong & Boqiang Lin, 2018. "Structural breaks and volatility forecasting in the copper futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(3), pages 290-339, March.
- Niko Hauzenberger & Florian Huber & Karin Klieber, 2020.
"Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques,"
Papers
2012.08155, arXiv.org, revised Dec 2021.
- Hauzenberger, Niko & Huber, Florian & Klieber, Karin, 2023. "Real-time inflation forecasting using non-linear dimension reduction techniques," International Journal of Forecasting, Elsevier, vol. 39(2), pages 901-921.
- Wei, Yu & Liang, Chao & Li, Yan & Zhang, Xunhui & Wei, Guiwu, 2020. "Can CBOE gold and silver implied volatility help to forecast gold futures volatility in China? Evidence based on HAR and Ridge regression models," Finance Research Letters, Elsevier, vol. 35(C).
- Peter Exterkate, 2012. "Model Selection in Kernel Ridge Regression," CREATES Research Papers 2012-10, Department of Economics and Business Economics, Aarhus University.
- Yoshiki Nakajima & Naoya Sueishi, 2022. "Forecasting the Japanese macroeconomy using high-dimensional data," The Japanese Economic Review, Springer, vol. 73(2), pages 299-324, April.
- Peter Exterkate, 2011. "Modelling Issues in Kernel Ridge Regression," Tinbergen Institute Discussion Papers 11-138/4, Tinbergen Institute.
- Tian Han & Ying Wang & Xiao Wang & Kang Chen & Huaiwu Peng & Zhenxin Gao & Lanxin Cui & Wentong Sun & Qinke Peng, 2023. "Mixed Multi-Pattern Regression for DNI Prediction in Arid Desert Areas," Sustainability, MDPI, vol. 15(17), pages 1-16, August.
- Markus Vogl, 2022. "Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019)," SN Business & Economics, Springer, vol. 2(12), pages 1-69, December.
- Wojciech Victor Fulmyk, 2023. "Nonlinear Granger Causality using Kernel Ridge Regression," Papers 2309.05107, arXiv.org.
- Peter Exterkate, 2012.
"Model Selection in Kernel Ridge Regression,"
CREATES Research Papers
2012-10, Department of Economics and Business Economics, Aarhus University.
Cited by:
- Exterkate, Peter & Groenen, Patrick J.F. & Heij, Christiaan & van Dijk, Dick, 2016.
"Nonlinear forecasting with many predictors using kernel ridge regression,"
International Journal of Forecasting, Elsevier, vol. 32(3), pages 736-753.
- Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2013. "Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression," CREATES Research Papers 2013-16, Department of Economics and Business Economics, Aarhus University.
- Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2011. "Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression," Tinbergen Institute Discussion Papers 11-007/4, Tinbergen Institute.
- Heejoon Han & Dennis Kristensen, 2012.
"Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates,"
CREATES Research Papers
2012-25, Department of Economics and Business Economics, Aarhus University.
- Heejoon Han & Dennis Kristensen, 2013. "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers 18/13, Institute for Fiscal Studies.
- Heejoon Han & Dennis Kristensen, 2013. "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers CWP18/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Heejoon Han & Dennis Kristensen, 2014. "Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 416-429, July.
- Exterkate, Peter & Groenen, Patrick J.F. & Heij, Christiaan & van Dijk, Dick, 2016.
"Nonlinear forecasting with many predictors using kernel ridge regression,"
International Journal of Forecasting, Elsevier, vol. 32(3), pages 736-753.
- Christophe Croux & Peter Exterkate, 2011.
"Sparse and Robust Factor Modelling,"
Tinbergen Institute Discussion Papers
11-122/4, Tinbergen Institute.
Cited by:
- Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
- Johannes Tang Kristensen, 2012.
"Factor-Based Forecasting in the Presence of Outliers: Are Factors Better Selected and Estimated by the Median than by The Mean?,"
CREATES Research Papers
2012-28, Department of Economics and Business Economics, Aarhus University.
- Kristensen Johannes Tang, 2014. "Factor-based forecasting in the presence of outliers: Are factors better selected and estimated by the median than by the mean?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 309-338, May.
- Thomas Despois & Catherine Doz, 2021. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," PSE Working Papers halshs-02235543, HAL.
- Thomas Despois & Catherine Doz, 2022. "Identifying and interpreting the factors in factor models via sparsity : Different approaches," Working Papers halshs-03626503, HAL.
- Thomas Despois & Catherine Doz, 2022. "Identifying and interpreting the factors in factor models via sparsity : Different approaches," PSE Working Papers halshs-03626503, HAL.
- Thomas Despois & Catherine Doz, 2021. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," Working Papers halshs-02235543, HAL.
- Smeekes, Stephan & Wijler, Etiënne, 2016.
"Macroeconomic Forecasting Using Penalized Regression Methods,"
Research Memorandum
039, Maastricht University, Graduate School of Business and Economics (GSBE).
- Smeekes, Stephan & Wijler, Etienne, 2018. "Macroeconomic forecasting using penalized regression methods," International Journal of Forecasting, Elsevier, vol. 34(3), pages 408-430.
- Johannes Tang Kristensen, 2013. "Diffusion Indexes with Sparse Loadings," CREATES Research Papers 2013-22, Department of Economics and Business Economics, Aarhus University.
- Exterkate, P. & van Dijk, D.J.C. & Heij, C. & Groenen, P.J.F., 2010.
"Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model,"
Econometric Institute Research Papers
EI 2010-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Peter Exterkate & Dick Van Dijk & Christiaan Heij & Patrick J. F. Groenen, 2013. "Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 193-214, April.
Cited by:
- Minchul Shin & Molin Zhong, 2015.
"Does Realized Volatility Help Bond Yield Density Prediction?,"
Finance and Economics Discussion Series
2015-115, Board of Governors of the Federal Reserve System (U.S.).
- Minchul Shin & Molin Zhong, 2013. "Does realized volatility help bond yield density prediction?," PIER Working Paper Archive 13-064, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Shin, Minchul & Zhong, Molin, 2017. "Does realized volatility help bond yield density prediction?," International Journal of Forecasting, Elsevier, vol. 33(2), pages 373-389.
- Falk Brauning & Siem Jan Koopman, 2012.
"Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis,"
Tinbergen Institute Discussion Papers
12-042/4, Tinbergen Institute.
- Bräuning, Falk & Koopman, Siem Jan, 2014. "Forecasting macroeconomic variables using collapsed dynamic factor analysis," International Journal of Forecasting, Elsevier, vol. 30(3), pages 572-584.
- Vieira, Fausto & Fernandes, Marcelo & Chague, Fernando, 2017.
"Forecasting the Brazilian yield curve using forward-looking variables,"
International Journal of Forecasting, Elsevier, vol. 33(1), pages 121-131.
- Fausto Vieira & Fernando Chague & Marcelo Fernandes, 2016. "Forecasting the Brazilian Yield Curve Using Forward-Looking Variables," Working Papers 799, Queen Mary University of London, School of Economics and Finance.
- Massimo Guidolin & Daniel L. Thornton, 2010.
"Predictions of short-term rates and the expectations hypothesis,"
Working Papers
2010-013, Federal Reserve Bank of St. Louis.
- Guidolin, Massimo & Thornton, Daniel L., 2018. "Predictions of short-term rates and the expectations hypothesis," International Journal of Forecasting, Elsevier, vol. 34(4), pages 636-664.
- Lorenčič Eva, 2016. "Testing the Performance of Cubic Splines and Nelson-Siegel Model for Estimating the Zero-coupon Yield Curve," Naše gospodarstvo/Our economy, Sciendo, vol. 62(2), pages 42-50, June.
- Dick Dijk & Siem Jan Koopman & Michel Wel & Jonathan H. Wright, 2014.
"Forecasting interest rates with shifting endpoints,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 693-712, August.
- Dick van Dijk & Siem Jan Koopman & Michel van der Wel & Jonathan H. Wright, 2012. "Forecasting Interest Rates with Shifting Endpoints," Tinbergen Institute Discussion Papers 12-076/4, Tinbergen Institute.
- Koopman, Siem Jan & van der Wel, Michel, 2013.
"Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model,"
International Journal of Forecasting, Elsevier, vol. 29(4), pages 676-694.
- Siem Jan Koopman & Michel van der Wel, 2011. "Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model," Tinbergen Institute Discussion Papers 11-063/4, Tinbergen Institute.
- Adam Traczyk, 2013. "Financial integration and the term structure of interest rates," Empirical Economics, Springer, vol. 45(3), pages 1267-1305, December.
- Michele Manna & Emmanuela Bernardini & Mauro Bufano & Davide Dottori, 2013. "Modelling public debt strategies," Questioni di Economia e Finanza (Occasional Papers) 199, Bank of Italy, Economic Research and International Relations Area.
- Fausto Vieira & Fernando Chague, Marcelo Fernandes, 2016.
"A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US,"
Working Papers, Department of Economics
2016_31, University of São Paulo (FEA-USP).
- Vieira, Fausto José Araújo & Chague, Fernando Daniel & Fernandes, Marcelo, 2017. "A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US," Textos para discussão 445, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2018. "A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 243-268.
- Caio Almeida & Kym Ardison & Daniela Kubudi & Axel Simonsen & José Vicente, 2018.
"Forecasting Bond Yields with Segmented Term Structure Models,"
Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 1-33.
- Caio Almeida & Axel Simonsen & José Valentim Vicente, 2012. "Forecasting Bond Yields with Segmented Term Structure Models," Working Papers Series 288, Central Bank of Brazil, Research Department.
- Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2016. "What derives the bond portfolio value-at-risk: Information roles of macroeconomic and financial stress factors," SFB 649 Discussion Papers 2016-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Eran Raviv, 2013. "Prediction Bias Correction for Dynamic Term Structure Models," Tinbergen Institute Discussion Papers 13-041/III, Tinbergen Institute.
- Norman R. Swanson & Weiqi Xiong & Xiye Yang, 2020. "Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(5), pages 587-613, August.
- Oguzhan Cepni & Ibrahim Ethem Guney & Doruk Kucuksarac & Muhammed Hasan Yilmaz, 2020.
"Do Local and Global Factors Impact the Emerging Markets’s Sovereign Yield Curves? Evidence from a Data-Rich Environment,"
Working Papers
2004, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Oguzhan Cepni & Ibrahim Ethem Guney & Doruk Kucuksarac & M. Hasan Yilmaz, 2021. "Do local and global factors impact the emerging markets' sovereign yield curves? Evidence from a data‐rich environment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1214-1229, November.
- Scott A. Brave & R. Andrew Butters & David Kelley, 2019. "A New “Big Data” Index of U.S. Economic Activity," Economic Perspectives, Federal Reserve Bank of Chicago, issue 1, pages 1-30.
- Anthony H. Tu & Cathy Yi-Hsuan Chen, 2016. "What Derives the Bond Portfolio Value-at-Risk: Information Roles of Macroeconomic and Financial Stress Factors," SFB 649 Discussion Papers SFB649DP2016-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Koopman, Siem Jan & Lucas, André & Schwaab, Bernd, 2011. "Modeling frailty-correlated defaults using many macroeconomic covariates," Journal of Econometrics, Elsevier, vol. 162(2), pages 312-325, June.
- Oguzhan Cepni & Ibrahim Ethem Guney & Doruk Kucuksarac & Muhammed Hasan Yilmaz, 2018. "The Interaction between Yield Curve and Macroeconomic Factors," CBT Research Notes in Economics 1802, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Gerhart, Christoph & Lütkebohmert, Eva, 2020. "Empirical analysis and forecasting of multiple yield curves," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 59-78.
- Fernandes, Marcelo & Vieira, Fausto, 2019. "A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.
- De Gooijer Jan G. & Zerom Dawit, 2020. "Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts," Journal of Time Series Econometrics, De Gruyter, vol. 12(1), pages 1-15, January.
Articles
- Exterkate, Peter & Groenen, Patrick J.F. & Heij, Christiaan & van Dijk, Dick, 2016.
"Nonlinear forecasting with many predictors using kernel ridge regression,"
International Journal of Forecasting, Elsevier, vol. 32(3), pages 736-753.
See citations under working paper version above.
- Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2013. "Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression," CREATES Research Papers 2013-16, Department of Economics and Business Economics, Aarhus University.
- Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2011. "Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression," Tinbergen Institute Discussion Papers 11-007/4, Tinbergen Institute.
- Petrevski, Goran & Exterkate, Peter & Tevdovski, Dragan & Bogoev, Jane, 2015.
"The transmission of foreign shocks to South Eastern European economies: A Bayesian VAR approach,"
Economic Systems, Elsevier, vol. 39(4), pages 632-643.
Cited by:
- Patricks Ogiji & Tersoo Shimonkabir Shitile & Nuruddeen Usman, 2022. "Estimating asymmetries in monetary policy reaction function: an oil price augmented Taylor type rule for Nigeria under unconventional regime," Economic Change and Restructuring, Springer, vol. 55(3), pages 1655-1672, August.
- Isabella Moder, 2019.
"Spillovers from the ECB's Non-standard Monetary Policy Measures on Southeastern Europe,"
International Journal of Central Banking, International Journal of Central Banking, vol. 15(4), pages 127-163, October.
- Moder, Isabella, 2017. "Spillovers from the ECB's non-standard monetary policy measures on south-eastern Europe," Working Paper Series 2095, European Central Bank.
- Berisha Edmond, 2017. "ECB Monetary Policy Actions and the Economic Conditions of a Non-Euro Member: The Case of Croatia," Global Economy Journal, De Gruyter, vol. 17(2), pages 1-10, June.
- Rafael Ravnik & Nikola Bokan, 2018. "Quarterly Projection Model for Croatia," Surveys 34, The Croatian National Bank, Croatia.
- Peter Exterkate & Dick Van Dijk & Christiaan Heij & Patrick J. F. Groenen, 2013.
"Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 193-214, April.
See citations under working paper version above.
- Exterkate, P. & van Dijk, D.J.C. & Heij, C. & Groenen, P.J.F., 2010. "Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model," Econometric Institute Research Papers EI 2010-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
More information
Research fields, statistics, top rankings, if available.Statistics
Access and download statistics for all items
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-FOR: Forecasting (5) 2010-03-06 2012-05-02 2013-06-16 2017-02-19 2017-03-26. Author is listed
- NEP-ECM: Econometrics (3) 2010-03-06 2012-05-02 2017-02-19
- NEP-ENE: Energy Economics (2) 2017-02-19 2017-03-26
- NEP-ETS: Econometric Time Series (2) 2013-06-16 2017-03-26
- NEP-ORE: Operations Research (2) 2013-06-16 2017-03-26
- NEP-MST: Market Microstructure (1) 2017-02-19
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