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~isPartOf:"Applied financial economics"
~isPartOf:"Quantitative finance"
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Cowles Foundation discussion paper
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ECONIS (ZBW)
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1
Fin-GAN : forecasting and classifying financial time series via generative adversarial networks
Vuletić, Milena
;
Prenzel, Felix
;
Cucuringu, Mihai
- In:
Quantitative finance
24
(
2024
)
2
,
pp. 175-199
Persistent link: https://www.econbiz.de/10014551963
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2
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
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3
Weak identification of long memory with implications for inference
Li, Jia
;
Phillips, Peter C. B.
;
Shi, Shuping
;
Yu, Jun
-
2022
Persistent link: https://www.econbiz.de/10013326614
Saved in:
4
HAR testing for spurious regression in trend
Phillips, Peter C. B.
;
Zhang, Yonghui
;
Wang, Xiaohu
-
2018
Persistent link: https://www.econbiz.de/10011948826
Saved in:
5
Time-frequency forecast of the equity premium
Faria, Gonçalo
;
Verona, Fabio
- In:
Quantitative finance
21
(
2021
)
12
,
pp. 2119-2135
Persistent link: https://www.econbiz.de/10012696823
Saved in:
6
Weak [sigma]-convergence : theory and applications
Kong, Jianning
;
Phillips, Peter C. B.
;
Sul, Donggyu
-
2017
Persistent link: https://www.econbiz.de/10011647640
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7
Dynamic principal component CAW models for high-dimensional realized covariance matrices
Gribisch, Bastian
;
Stollenwerk, Michael
- In:
Quantitative finance
20
(
2020
)
5
,
pp. 799-821
Persistent link: https://www.econbiz.de/10012262622
Saved in:
8
Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
Gerlach, Richard
;
Naimoli, Antonio
;
Storti, Giuseppe
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1849-1878
Persistent link: https://www.econbiz.de/10012295647
Saved in:
9
Forecasting high-dimensional realized volatility matrices using a factor model
Shen, Keren
;
Yao, Jianfeng
;
Li, Wai Keung
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1879-1887
Persistent link: https://www.econbiz.de/10012295649
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10
Extreme dependence in investor attention and stock returns : consequences for forecasting stock returns and measuring systemic risk
Scheffer, Marcus
;
Weiß, Gregor
- In:
Quantitative finance
20
(
2020
)
3
,
pp. 425-446
Persistent link: https://www.econbiz.de/10012194900
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