OxMetrics

We modeled long memory with just one lag!

Author: Prof Sebastien Laurent Many series like the realized variance of Apple stock plotted in the top panel of the figure below (computed from 5-minute log-returns in %...

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Quasi Score-Driven Models

The paper “Quasi score-driven models”, co-authored by Sébastien Laurent, a co-developer of OxMetrics, introduces the new class of quasi score-driven (QSD) models. T...

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OxMetrics 9 Just Released

What's New in OxMetrics 9 OxMetrics 9 features a wide range of exciting changes and improvements (both in Econometrics and non-econometric). The following is an overview...

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42nd International Symposium on Forecasting, 10 - 13 July 2022

The International Institute of Forecasters (IIF) will be hosting their annual conference in Oxford, England in July 2022. The International Symposium on Forecasting (...

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Can Economists Forecast the Future?

Written by Jennifer L. Castle and David F. Hendry. We all forecast many things every day, probably unconsciously, but forecast errors can be very expensive. For example,...

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23rd Dynamic Econometrics Conference: Online

We are delighted to announce that the 23rd Dynamic Econometrics Conference will run online in 2021 - Join us wherever you are in the world.   The Dynamic Econometri...

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XLModeler Tutorial

An Introduction to Excel Add-in XlModeler, used for Econometric Modelling. Join our experts to learn about the key features of XlModeler, and see just how simple this Exc...

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Upcoming Free Online Seminars

Choose from our selection of free webinars that will be held each month for your convenience. Register now as space is limited. Stata Fundamentals Free Webinars 10 Decem...

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22nd Dynamic Econometrics Conference - Submissions Closed

Submissions for the 22nd Dynamic Econometrics Conference, which will be held at Nuffield College, University of Oxford on Monday and Tuesday, 9 and 10 September 2019 are ...

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Free Webinar: Introduction to Econometric Modelling with OxMetrics 8

Date: 18 February 2019 Venue: Online OxMetrics8 is a family of software packages providing an integrated solution for the econometric analysis of time series, forecasting...

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