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person:"Croux, Christophe"
subject:"Volatility"
~person:"Cai, Zongwu"
~person:"Kumar, Dilip"
~person:"McCracken, Michael W."
~subject:"Prognoseverfahren"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Volatility
Prognoseverfahren
Estimation theory
62
Schätztheorie
62
Forecasting model
24
Nichtparametrisches Verfahren
18
Nonparametric statistics
18
Volatilität
17
Estimation
16
Regression analysis
16
Regressionsanalyse
16
Schätzung
16
Time series analysis
14
Zeitreihenanalyse
14
ARCH model
12
ARCH-Modell
12
Statistical test
10
Statistischer Test
10
Capital income
9
Kapitaleinkommen
9
Forecast evaluation
6
Outliers
6
Ausreißer
5
Bias
5
Börsenkurs
5
Panel
5
Panel study
5
Share price
5
Systematischer Fehler
5
VAR model
5
VAR-Modell
5
Volatility modeling
5
CAPM
3
Exchange rate
3
Monte Carlo simulation
3
Monte-Carlo-Simulation
3
Predictive regression
3
Structural break
3
Strukturbruch
3
Theorie
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31
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31
Arbeitspapier
20
Working Paper
20
Graue Literatur
19
Non-commercial literature
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English
31
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Croux, Christophe
Cai, Zongwu
Kumar, Dilip
McCracken, Michael W.
Maheswaran, S.
14
Teräsvirta, Timo
12
Todorov, Viktor
12
Li, Jia
11
Tauchen, George Eugene
10
Andersen, Torben
8
Francq, Christian
8
Koopman, Siem Jan
8
Swanson, Norman R.
8
Demetrescu, Matei
7
Kim, Donggyu
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Taylor, James W.
7
Taylor, Robert
7
Baltagi, Badi H.
6
Hafner, Christian M.
6
Kapetanios, George
6
Lahiri, Kajal
6
Sbrana, Giacomo
6
Shang, Han Lin
6
Ullah, Aman
6
Wang, Yazhen
6
Zakoïan, Jean-Michel
6
Bauwens, Luc
5
Bollerslev, Tim
5
Corradi, Valentina
5
Fan, Jianqing
5
Fosten, Jack
5
Ghysels, Eric
5
Harvey, David I.
5
Jing, Bingyi
5
Koop, Gary
5
Lee, Ji Hyung
5
Linton, Oliver
5
Nolte, Ingmar
5
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Journal of econometrics
5
Economic modelling
4
Econometric reviews
2
IIMB management review
2
International review of economics & finance : IREF
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
The journal of prediction markets
2
Theoretical economics letters
2
Decision
1
Econometric theory
1
Economics letters
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
International economic review
1
International journal of forecasting
1
International review of financial analysis
1
Journal of forecasting
1
Journal of quantitative economics
1
Macroeconomics and finance in emerging market economies
1
Symposium on forecasting and empirical methods in macroeconomics and finance
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ECONIS (ZBW)
31
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1
A new robust inference for predictive quantile regression
Cai, Zongwu
;
Chen, Haiqiang
;
Liao, Xiaosai
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 227-250
Persistent link: https://www.econbiz.de/10014364804
Saved in:
2
Testing for structural change of predictive regression model to threshold predictive regression model
Zhu, Fukang
;
Liu, Mengya
;
Ling, Shiqing
;
Cai, Zongwu
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 228-240
Persistent link: https://www.econbiz.de/10013540808
Saved in:
3
Testing heteroskedasticity for predictive regressions with nonstationary regressors
Hong, Shaoxin
;
Zhang, Zhengyi
;
Cai, Zongwu
- In:
Economics letters
201
(
2021
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012607071
Saved in:
4
Unified tests for a dynamic predictive regression
Yang, Bingduo
;
Liu, Xiaohui
;
Peng, Liang
;
Cai, Zongwu
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 684-699
Persistent link: https://www.econbiz.de/10012588007
Saved in:
5
Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip
- In:
The journal of prediction markets
14
(
2020
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
Saved in:
6
Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps : A study with economic significance analysis
Zargar, Faisal Nazir
;
Kumar, Dilip
- In:
International review of economics & finance : IREF
67
(
2020
),
pp. 25-41
Persistent link: https://www.econbiz.de/10012440181
Saved in:
7
Modelling and forecasting unbiased extreme value volatility estimator : A study based on exchange rates with economic significance analysis
Kumar, Dilip
- In:
The journal of prediction markets
13
(
2019
)
1
,
pp. 3-28
Persistent link: https://www.econbiz.de/10012607570
Saved in:
8
The estimation for Lévy processes in high frequency data
Zheng, Jing
;
Gu, Wentao
;
Xu, Baolin
;
Cai, Zongwu
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 1051-1066
Persistent link: https://www.econbiz.de/10012040536
Saved in:
9
Volatility prediction : a study with structural breaks
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
6
,
pp. 1218-1231
Persistent link: https://www.econbiz.de/10011888198
Saved in:
10
Modelling and forecasting unbiased extreme value volatility estimator : a study based on EUR/USD exchange rate
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
9
,
pp. 1599-1613
Persistent link: https://www.econbiz.de/10011888653
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