Details about Peter Exterkate

Access statistics for papers by Peter Exterkate.

Last updated 2017-06-08. Update your information in the RePEc Author Service.

Short-id: pex2

Working Papers

2017

1. A regime-switching stochastic volatility model for forecasting electricity prices
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   Also in Working Papers, University of Sydney, School of Economics (2017)

2013

2. Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) View citations (4)
   See also Journal Article Nonlinear forecasting with many predictors using kernel ridge regression, International Journal of Forecasting, Elsevier (2016) View citations (21) (2016)

2012

3. Model Selection in Kernel Ridge Regression
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)

2011

4. Modelling Issues in Kernel Ridge Regression
   Tinbergen Institute Discussion Papers, Tinbergen Institute
5. Sparse and Robust Factor Modelling
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (9)

2010

6. Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (4)
   See also Journal Article Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model, Journal of Forecasting, John Wiley & Sons, Ltd. (2013) View citations (21) (2013)

Journal Articles

2016

1. Nonlinear forecasting with many predictors using kernel ridge regression
   International Journal of Forecasting, 2016, 32, (3), 736-753 View citations (21)
   See also Working Paper Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression, CREATES Research Papers (2013) View citations (6) (2013)

2015

2. The transmission of foreign shocks to South Eastern European economies: A Bayesian VAR approach
   Economic Systems, 2015, 39, (4), 632-643 View citations (5)

2013

3. Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model
   Journal of Forecasting, 2013, 32, (3), 193-214 View citations (21)
   See also Working Paper Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model, Econometric Institute Research Papers (2010) View citations (4) (2010)