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Forecasting European industrial production with singular spectrum analysis

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Cited by:

  1. Huang, Xu & Hassani, Hossein & Ghodsi, Mansi & Mukherjee, Zinnia & Gupta, Rangan, 2017. "Do trend extraction approaches affect causality detection in climate change studies?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 604-624.
  2. Arteche, Josu & García-Enríquez, Javier, 2017. "Singular Spectrum Analysis for signal extraction in Stochastic Volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 85-98.
  3. Goulet Coulombe, Philippe & Leroux, Maxime & Stevanovic, Dalibor & Surprenant, Stéphane, 2021. "Macroeconomic data transformations matter," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1338-1354.
  4. Hossein Hassani & Emmanuel Sirimal Silva, 2015. "A Kolmogorov-Smirnov Based Test for Comparing the Predictive Accuracy of Two Sets of Forecasts," Econometrics, MDPI, vol. 3(3), pages 1-20, August.
  5. Galdi, Giulio & Casarin, Roberto & Ferrari, Davide & Fezzi, Carlo & Ravazzolo, Francesco, 2023. "Nowcasting industrial production using linear and non-linear models of electricity demand," Energy Economics, Elsevier, vol. 126(C).
  6. Hassani, Hossein & Silva, Emmanuel Sirimal & Antonakakis, Nikolaos & Filis, George & Gupta, Rangan, 2017. "Forecasting accuracy evaluation of tourist arrivals," Annals of Tourism Research, Elsevier, vol. 63(C), pages 112-127.
  7. Degiannakis, Stavros & Filis, George & Hassani, Hossein, 2015. "Forecasting implied volatility indices worldwide: A new approach," MPRA Paper 72084, University Library of Munich, Germany.
  8. Daniel Tomiæ Saša Stjepanoviæ, 2017. "Forecasting Capacity of ARIMA Models; A Study on Croatian Industrial Production and its Sub-sectors," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 20(1), pages 81-99, May.
  9. de Carvalho, Miguel & Rodrigues, Paulo C. & Rua, António, 2012. "Tracking the US business cycle with a singular spectrum analysis," Economics Letters, Elsevier, vol. 114(1), pages 32-35.
  10. de Carvalho, Miguel & Rua, António, 2017. "Real-time nowcasting the US output gap: Singular spectrum analysis at work," International Journal of Forecasting, Elsevier, vol. 33(1), pages 185-198.
  11. Hossein Hassani & Emmanuel Sirimal Silva & Rangan Gupta & Mawuli K. Segnon, 2015. "Forecasting the price of gold," Applied Economics, Taylor & Francis Journals, vol. 47(39), pages 4141-4152, August.
  12. Razmi, Fatemeh & M., Azali & Chin, Lee & Habibullah, Muzafar Shah, 2015. "The effects of oil price and US economy on Thailand's macroeconomy: The role of monetary transmission mechanism," MPRA Paper 69096, University Library of Munich, Germany.
  13. Razmi, Fatemeh & Mohamed, Azali & Chin, Lee & Habibullah, Muzafar Shah, 2015. "The role of monetary policy in macroeconomic volatility of ASEAN-4 countries against oil price shock over time," MPRA Paper 65714, University Library of Munich, Germany.
  14. Donya Rahmani & Saeed Heravi & Hossein Hassani & Mansi Ghodsi, 2016. "Forecasting time series with structural breaks with Singular Spectrum Analysis, using a general form of recurrent formula," Papers 1605.02188, arXiv.org.
  15. Wei, Nan & Yin, Lihua & Li, Chao & Wang, Wei & Qiao, Weibiao & Li, Changjun & Zeng, Fanhua & Fu, Lingdi, 2022. "Short-term load forecasting using detrend singular spectrum fluctuation analysis," Energy, Elsevier, vol. 256(C).
  16. Paulo Canas Rodrigues & Olushina Olawale Awe & Jonatha Sousa Pimentel & Rahim Mahmoudvand, 2020. "Modelling the Behaviour of Currency Exchange Rates with Singular Spectrum Analysis and Artificial Neural Networks," Stats, MDPI, vol. 3(2), pages 1-21, June.
  17. Qiang Shang & Ciyun Lin & Zhaosheng Yang & Qichun Bing & Xiyang Zhou, 2016. "A Hybrid Short-Term Traffic Flow Prediction Model Based on Singular Spectrum Analysis and Kernel Extreme Learning Machine," PLOS ONE, Public Library of Science, vol. 11(8), pages 1-25, August.
  18. Andreas Karatahansopoulos & Georgios Sermpinis & Jason Laws & Christian Dunis, 2014. "Modelling and Trading the Greek Stock Market with Gene Expression and Genetic Programing Algorithms," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(8), pages 596-610, December.
  19. Mahdi Kalantari & Hossein Hassani, 2019. "Automatic Grouping in Singular Spectrum Analysis," Forecasting, MDPI, vol. 1(1), pages 1-16, October.
  20. Philippe Goulet Coulombe, 2021. "The Macroeconomy as a Random Forest," Working Papers 21-05, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
  21. Andreia Teixeira Marques Dionísio, 2010. "On the globalization of stock markets: An application of VECM, SSA technique and mutual information to the G7?," CEFAGE-UE Working Papers 2010_06, University of Evora, CEFAGE-UE (Portugal).
  22. Dimitrios Thomakos & Hossein Hassani & Kerry Patterson, 2013. "Optimal Linear Filtering, Smoothing and Trend Extraction for the m-th Differences of a Unit Root Process: A Singular Spectrum Analysis Approach," Economics Discussion Papers em-dp2013-04, Department of Economics, University of Reading.
  23. Gillard, Jonathan & Usevich, Konstantin, 2018. "Structured low-rank matrix completion for forecasting in time series analysis," International Journal of Forecasting, Elsevier, vol. 34(4), pages 582-597.
  24. Golyandina, Nina & Korobeynikov, Anton, 2014. "Basic Singular Spectrum Analysis and forecasting with R," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 934-954.
  25. Hossein Hassani & Zara Ghodsi & Rangan Gupta & Mawuli Segnon, 2017. "Forecasting Home Sales in the Four Census Regions and the Aggregate US Economy Using Singular Spectrum Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 49(1), pages 83-97, January.
  26. McKnight, Stephen & Mihailov, Alexander & Rumler, Fabio, 2020. "Inflation forecasting using the New Keynesian Phillips Curve with a time-varying trend," Economic Modelling, Elsevier, vol. 87(C), pages 383-393.
  27. Josu Arteche & Javier García‐Enríquez, 2022. "Singular spectrum analysis for value at risk in stochastic volatility models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 3-16, January.
  28. Fatemeh Razmi & Azali Mohamed & Lee Chin & Muzafar Shah Habibullah, 2015. "The Role of Monetary Policy in Macroeconomic Volatility of Association of Southeast Asian Nations-4 Countries against Oil Price Shock over Time," International Journal of Energy Economics and Policy, Econjournals, vol. 5(3), pages 731-737.
  29. Menezes, Rui & Dionísio, Andreia & Hassani, Hossein, 2012. "On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 369-384.
  30. Hassani, Hossein & Silva, Emmanuel Sirimal & Gupta, Rangan & Das, Sonali, 2018. "Predicting global temperature anomaly: A definitive investigation using an ensemble of twelve competing forecasting models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 121-139.
  31. Hassani, Hossein & Huang, Xu & Gupta, Rangan & Ghodsi, Mansi, 2016. "Does sunspot numbers cause global temperatures? A reconsideration using non-parametric causality tests," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 460(C), pages 54-65.
  32. M. Atikur Rahman Khan & D.S. Poskitt, 2014. "On The Theory and Practice of Singular Spectrum Analysis Forecasting," Monash Econometrics and Business Statistics Working Papers 3/14, Monash University, Department of Econometrics and Business Statistics.
  33. Hassani, Hossein, 2010. "A note on the sum of the sample autocorrelation function," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(8), pages 1601-1606.
  34. Hassani, Hossein & Rua, António & Silva, Emmanuel Sirimal & Thomakos, Dimitrios, 2019. "Monthly forecasting of GDP with mixed-frequency multivariate singular spectrum analysis," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1263-1272.
  35. Barbara Rossi, 2019. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," Working Papers 1162, Barcelona School of Economics.
  36. Razmi, Fatemeh & Azali, M. & Chin, Lee & Shah Habibullah, Muzafar, 2016. "The role of monetary transmission channels in transmitting oil price shocks to prices in ASEAN-4 countries during pre- and post-global financial crisis," Energy, Elsevier, vol. 101(C), pages 581-591.
  37. Hossein Hassani & Mohammad Reza Yeganegi & Xu Huang, 2021. "Fusing Nature with Computational Science for Optimal Signal Extraction," Stats, MDPI, vol. 4(1), pages 1-15, January.
  38. repec:rdg:wpaper:em-dp2013-04 is not listed on IDEAS
  39. Hossein Hassani & Abdol S. Soofi & Anatoly Zhigljavsky, 2013. "Predicting inflation dynamics with singular spectrum analysis," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 176(3), pages 743-760, June.
  40. Degiannakis, Stavros & Filis, George & Hassani, Hossein, 2018. "Forecasting global stock market implied volatility indices," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 111-129.
  41. Carlos Alberto Orge Pinheiro & Valter de Senna, 2016. "Price Forecasting Through Multivariate Spectral Analysis: Evidence for Commodities of BMeFbovespa," Brazilian Business Review, Fucape Business School, vol. 13(5), pages 129-157, September.
  42. Hossein Hassani & Jan Coreman & Saeed Heravi & Joshy Easaw, 2018. "Forecasting Inflation Rate: Professional Against Academic, Which One is More Accurate," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(3), pages 631-646, September.
  43. Andrea Saayman & Jacques de Klerk, 2019. "Forecasting tourist arrivals using multivariate singular spectrum analysis," Tourism Economics, , vol. 25(3), pages 330-354, May.
  44. Fatemeh Razmi & Azali Mohamed & Lee Chin & Muzafar Shah Habibullah, 2017. "How Does Monetary Policy Affect Economic Vulnerability to Oil Price Shock as against US Economy Shock?," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 544-550.
  45. Silva, Emmanuel Sirimal & Ghodsi, Zara & Ghodsi, Mansi & Heravi, Saeed & Hassani, Hossein, 2017. "Cross country relations in European tourist arrivals," Annals of Tourism Research, Elsevier, vol. 63(C), pages 151-168.
  46. Rocco S, Claudio M., 2013. "Singular spectrum analysis and forecasting of failure time series," Reliability Engineering and System Safety, Elsevier, vol. 114(C), pages 126-136.
  47. Ping Jiang & Zeng Wang & Kequan Zhang & Wendong Yang, 2017. "An Innovative Hybrid Model Based on Data Pre-Processing and Modified Optimization Algorithm and Its Application in Wind Speed Forecasting," Energies, MDPI, vol. 10(7), pages 1-29, July.
  48. repec:ipg:wpaper:2014-480 is not listed on IDEAS
  49. Moody Chu & Matthew Lin & Liqi Wang, 2014. "A study of singular spectrum analysis with global optimization techniques," Journal of Global Optimization, Springer, vol. 60(3), pages 551-574, November.
  50. Khan, M. Atikur Rahman & Poskitt, D.S., 2017. "Forecasting stochastic processes using singular spectrum analysis: Aspects of the theory and application," International Journal of Forecasting, Elsevier, vol. 33(1), pages 199-213.
  51. Md Atikur Rahman Khan & D.S. Poskitt, 2010. "Description Length Based Signal Detection in singular Spectrum Analysis," Monash Econometrics and Business Statistics Working Papers 13/10, Monash University, Department of Econometrics and Business Statistics.
  52. Hassani, Hossein & Webster, Allan & Silva, Emmanuel Sirimal & Heravi, Saeed, 2015. "Forecasting U.S. Tourist arrivals using optimal Singular Spectrum Analysis," Tourism Management, Elsevier, vol. 46(C), pages 322-335.
  53. Michael H. Breitner & Christian Dunis & Hans-Jörg Mettenheim & Christopher Neely & Georgios Sermpinis & Georgios Sermpinis & Charalampos Stasinakis & Konstantinos Theofilatos & Andreas Karathanasopoul, 2014. "Inflation and Unemployment Forecasting with Genetic Support Vector Regression," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(6), pages 471-487, September.
  54. de Carvalho, Miguel & Martos, Gabriel, 2020. "Brexit: Tracking and disentangling the sentiment towards leaving the EU," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1128-1137.
  55. Arouna, Aminou & Fatognon, Irene Akoko & Saito, Kazuki & Futakuchi, Koichi, 2021. "Moving toward rice self-sufficiency in sub-Saharan Africa by 2030: Lessons learned from 10 years of the Coalition for African Rice Development," World Development Perspectives, Elsevier, vol. 21(C).
  56. Papailias, Fotis & Thomakos, Dimitrios, 2017. "EXSSA: SSA-based reconstruction of time series via exponential smoothing of covariance eigenvalues," International Journal of Forecasting, Elsevier, vol. 33(1), pages 214-229.
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