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subject:"Forecasting model"
~person:"Ardia, David"
~person:"Corradi, Valentina"
~person:"Marcellino, Massimiliano"
~subject:"Bayesian inference"
~type_genre:"Aufsatz in Zeitschrift"
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Forecasting model
Bayesian inference
Estimation theory
26
Schätztheorie
26
Prognoseverfahren
9
Theorie
7
Theory
7
Time series analysis
7
Zeitreihenanalyse
7
ARCH model
6
ARCH-Modell
6
Estimation
6
Schätzung
6
Bayes-Statistik
5
Volatility
4
Volatilität
4
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3
Bootstrap-Verfahren
3
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3
Risk measure
3
Sampling
3
Statistical distribution
3
Statistical test
3
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3
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3
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3
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2
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2
Forecast
2
GARCH
2
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2
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Instrumental variables
2
Modellierung
2
Monte Carlo simulation
2
Monte-Carlo-Simulation
2
Nichtparametrisches Verfahren
2
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2
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2
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24
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23
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12
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Ardia, David
Corradi, Valentina
Marcellino, Massimiliano
Tsionas, Efthymios G.
15
Zhang, Xinyu
12
Kumar, Dilip
10
Zhang, Xibin
9
Baltagi, Badi H.
8
Koop, Gary
8
Shang, Han Lin
8
Cai, Zongwu
7
Lahiri, Kajal
7
Swanson, Norman R.
7
Allenby, Greg M.
6
Demetrescu, Matei
6
Han, Xiaoyi
6
Kapetanios, George
6
Lesage, James P.
6
Taylor, James W.
6
Tsay, Ruey S.
6
Chevillon, Guillaume
5
Fosten, Jack
5
Gao, Jiti
5
Lee, Ji Hyung
5
Lopes, Hedibert Freitas
5
McCracken, Michael W.
5
Phillips, Peter C. B.
5
Rossi, Barbara
5
Sbrana, Giacomo
5
Simoni, Anna
5
Teräsvirta, Timo
5
Tu, Yundong
5
Ullah, Aman
5
Baillie, Richard
4
Bauwens, Luc
4
Bratu, Mihaela
4
Chaturvedi, Anoop
4
Cheng, Tingting
4
Clark, Todd E.
4
Clements, Adam
4
Clements, Michael P.
4
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Journal of econometrics
4
Finance research letters
2
Journal of applied econometrics
2
Economics letters
1
Journal of forecasting
1
Journal of time series econometrics
1
Oxford bulletin of economics and statistics
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ECONIS (ZBW)
12
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1
Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk
Corradi, Valentina
;
Fosten, Jack
;
Gutknecht, Daniel
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365517
Saved in:
2
Robust forecast superiority testing with an application to assessing pools of expert forecasters
Corradi, Valentina
;
Jin, Sainan
;
Swanson, Norman R.
- In:
Journal of applied econometrics
38
(
2023
)
4
,
pp. 596-622
Persistent link: https://www.econbiz.de/10014288029
Saved in:
3
Using time-varying volatility for identification in Vector Autoregressions : an application to endogenous uncertainty
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
- In:
Journal of econometrics
225
(
2021
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10013278994
Saved in:
4
Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David
;
Bluteau, Keven
;
Rüede, Maxime
- In:
Finance research letters
29
(
2019
),
pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
Saved in:
5
Methods for computing numerical standard errors : review and application to value-at-risk estimation
Ardia, David
;
Bluteau, Keven
;
Hoogerheide, Lennart
- In:
Journal of time series econometrics
10
(
2018
)
2
,
pp. 1-9
Persistent link: https://www.econbiz.de/10011898020
Saved in:
6
The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models
Ardia, David
;
Kolly, Jeremy
;
Trottier, Denis‐Alexandre
- In:
Journal of forecasting
36
(
2017
)
7
,
pp. 808-823
Persistent link: https://www.econbiz.de/10011860735
Saved in:
7
Moments of standardized Fernandez-Steel skewed distributions : applications to the estimation of GARCH-type models
Trottier, Denis-Alexandre
;
Ardia, David
- In:
Finance research letters
18
(
2016
),
pp. 311-316
Persistent link: https://www.econbiz.de/10011657263
Saved in:
8
Density prediction of stock index returns using GARCH models : frequentist or Bayesian estimation?
Hoogerheide, Lennart F.
;
Ardia, David
;
Corré, Nienke
- In:
Economics letters
116
(
2012
)
3
,
pp. 322-325
Persistent link: https://www.econbiz.de/10009674398
Saved in:
9
Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Corradi, Valentina
;
Swanson, Norman R.
- In:
Journal of econometrics
161
(
2011
)
2
,
pp. 304-324
Persistent link: https://www.econbiz.de/10009242123
Saved in:
10
Path forecast evaluation
Jordà, Òscar
;
Marcellino, Massimiliano
- In:
Journal of applied econometrics
25
(
2010
)
4
,
pp. 635-662
Persistent link: https://www.econbiz.de/10008667466
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