Param Silvapulle

Datos Biográficos

ID8920103
NOMBREParam Silvapulle
NOMBRESParam
APELLIDOSilvapulle
FIRMASILVAPULLE P
AFILIACIONESMonash University
ORCID0000-0002-1149-4515
VERIFICADOSí
TOTAL DE OBRAS2
TOTAL DE CITAS0
TOTAL COMO AUTOR2
TOTAL COMO EDITOR0
PRIMER AÑO DE PUBLICACIÓN2018
AÑO MÁS RECIENTE DE PUBLICACIÓN2024
ÍNDICE H0

  • Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors

    Open AccessSium Bodha Hannadige, Jiti Gao et al.ARTICLEJournal of Business and Economic…2024

    We develop a method for constructing prediction intervals for a nonstationary variable, such as GDP. The method uses a Factor Augmented Regression (FAR) model. The predictors in the model include a small number of factors generated to extract most of the information in a set of panel data on a large number of macroeconomic variables that are considered to be potential predictors. The novelty of this article is that it provides a method and justif…

  • Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models

    Xiangjin B Chen, Jiti Gao et al.ARTICLEJournal of Business and Economic…2018

    This article introduces a new specification for the heterogenous autoregressive (HAR) model for the realized volatility of S&P 500 index returns. In this modeling framework, the coefficients of the HAR are allowed to be time-varying with unspecified functional forms. The local linear method with the cross-validation (CV) bandwidth selection is applied to estimate the time-varying coefficient HAR (TVC-HAR) model, and a bootstrap method is used to …