Nonparametric density forecast based on time‐ and state‐domain

João Nicolau

Journal of Forecasting, 2011, vol. 30, issue 8, 706-720

Abstract: We propose a new nonparametric density forecast based on time- and state‐domain smoothing. We analyze some of its asymptotic properties and provide an empirical illustration. Copyright (C) 2010 John Wiley & Sons, Ltd.

Keywords: density forecasts; nonparametric methods; earnings forecast; time series (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:30:y:2011:i:8:p:706-720

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