Optimal Bandwidth Selection for Forecasting under Parameter Instability.

This article addresses practical issues associated with the use of the local estimator in forecasting models that are affected by parameter instability. We propose an approach to select the bandwidth parameter in the context of out-of-sample forecasting. Derived by minimizing the conditional expecte...

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Detalles Bibliográficos

Publicado en:	Journal of Financial Econometrics Vol. 24; no. 2; pp. 1 - 32
Autores principales:	Bai, Yu, Peng, Bin, Shi, Shuping, Yao, Wenying
Formato:	Artículo
Publicado:	Oxford University Press / USA 2026
Materias:	Forecasting Adaptive estimation (Statistics) Monte Carlo method Bonds (Finance) Interest rate forecasting Kernel functions
Acceso en línea:	Ver este registro en EBSCOhost