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person:"Beine, Michel"
subject:"EU-Staaten"
~person:"Clark, Todd E."
~person:"Lux, Thomas"
~person:"Rappaport, Jordan"
~subject:"Commuting"
~subject:"Population density"
~subject:"USA"
~subject:"VAR model"
~subject:"Volatilität"
~type_genre:"Aufsatz in Zeitschrift"
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Beine, Michel
Clark, Todd E.
Lux, Thomas
Rappaport, Jordan
Gupta, Rangan
35
Heckman, James J.
28
Lütkepohl, Helmut
27
Bollerslev, Tim
26
McAleer, Michael
24
Serletis, Apostolos
23
Chavas, Jean-Paul
22
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21
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21
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20
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19
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18
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18
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18
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Ommeren, Jos van
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Uri, Noel Dean
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Asai, Manabu
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Caballero, Ricardo J.
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ECONIS (ZBW)
23
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23
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1
Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities
Sattarhoff, Cristina
;
Lux, Thomas
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1678-1697
Persistent link: https://www.econbiz.de/10014465344
Saved in:
2
Macroeconomic forecasting in a multi-country context
Bai, Yu
;
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, …
- In:
Journal of applied econometrics
37
(
2022
)
6
,
pp. 1230-1255
Persistent link: https://www.econbiz.de/10013464673
Saved in:
3
Comment on "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors"
Bognanni, Mark
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 498-505
Persistent link: https://www.econbiz.de/10013442175
Saved in:
4
Tests of predictive ability for vector autoregressions used for conditional forecasting
Clark, Todd E.
;
McCracken, Michael W.
- In:
Journal of applied econometrics
32
(
2017
)
3
,
pp. 533-553
Persistent link: https://www.econbiz.de/10011694662
Saved in:
5
Bringing an elementary agent-based model to the data : estimation via GMM and an application to forecasting of asset price volatility
Ghonghadze, Jaba
;
Lux, Thomas
- In:
Journal of empirical finance
37
(
2016
),
pp. 1-19
Persistent link: https://www.econbiz.de/10011662890
Saved in:
6
Common drifting volatility in large Bayesian VARs
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
3
,
pp. 375-390
Persistent link: https://www.econbiz.de/10011691646
Saved in:
7
Non-homogeneous volatility correlations in the bivariate multifractal model
Liu, Ruipeng
;
Lux, Thomas
- In:
The European journal of finance
21
(
2015
)
10/12
,
pp. 971-991
Persistent link: https://www.econbiz.de/10011301954
Saved in:
8
Macroeconomic forecasting performance under alternative specifications of time-varying volatility
Clark, Todd E.
;
Ravazzolo, Francesco
- In:
Journal of applied econometrics
30
(
2015
)
4
,
pp. 551-575
Persistent link: https://www.econbiz.de/10011332869
Saved in:
9
Forecasting daily variations of stock index returns with a multifractal model of realized volatility
Lux, Thomas
;
Morales-Arias, Leonardo
;
Sattarhoff, Cristina
- In:
Journal of forecasting
33
(
2014
)
7
,
pp. 532-541
Persistent link: https://www.econbiz.de/10011282864
Saved in:
10
Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility
Clark, Todd E.
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
3
,
pp. 327-341
Persistent link: https://www.econbiz.de/10009232552
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