Publications

Nonlinear forecasting with many predictors using kernel ridge regression. International Journal of Forecasting 32:736-753, 2016. With P.J.F. Groenen, C. Heij, and D. van Dijk. Download the Matlab code.

The transmission of foreign shocks to South Eastern European economies: A Bayesian VAR approach. Economic Systems 39:632-643, 2015. With G. Petrevski, D. Tevdovski, and J. Bogoev.

Model selection in kernel ridge regression. Computational Statistics and Data Analysis 68:1-16, 2013.

Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model. Journal of Forecasting 32:193-214, 2013. With D. van Dijk, C. Heij, and P.J.F. Groenen.

Unpublished manuscripts

Forecasting from large panels using robust factor models. Revise and resubmit, International Journal of Forecasting. With C. Croux.

Density forecasting in nonlinear models with stochastic volatility.

A regime-switching stochastic volatility model for forecasting electricity prices. With O. Knapik.

Value-at-Risk forecast evaluation for multiple portfolios. With J. Wang.

An evaluation of qualitative data as leading indicators of trends in the Australian economy. With B.A. Mocke.