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~isPartOf:"Journal of forecasting"
~subject:"ARCH model"
~subject:"Estimation theory"
~subject:"Nonparametric statistics"
~subject:"USA"
~type:"article"
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ARCH model
Estimation theory
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USA
Forecasting model
65
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42
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42
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38
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Ai, Chunrong
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Angelini, Giovanni
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Journal of forecasting
Journal of econometrics
157
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
94
Insurance / Mathematics & economics
58
Economics letters
55
Econometric reviews
45
International journal of forecasting
38
Econometric theory
37
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
32
Statistics in transition : an international journal of the Polish Statistical Association
28
The econometrics journal
26
Journal of the American Statistical Association : JASA
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Finance research letters
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European journal of operational research : EJOR
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of applied econometrics
18
Statistical papers
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17
Journal of banking & finance
17
Journal of risk and financial management : JRFM
17
The North American journal of economics and finance : a journal of financial economics studies
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Applied economics letters
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Risks : open access journal
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The review of economics and statistics
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The European journal of finance
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The journal of futures markets
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The review of financial studies
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Journal of financial econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Applied financial economics
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Journal of economic dynamics & control
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Order statistics: applications
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ECONIS (ZBW)
26
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26
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1
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao
;
Gerlach, Richard
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
Saved in:
2
Local prediction pools
Oelrich, Oscar
;
Villani, Mattias
;
Ankargren, Sebastian
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 103-117
Persistent link: https://www.econbiz.de/10014443187
Saved in:
3
Forecasting VaR and ES in emerging markets : the role of time-varying higher moments
Trung Hai Le
- In:
Journal of forecasting
43
(
2024
)
2
,
pp. 402-414
Persistent link: https://www.econbiz.de/10014475347
Saved in:
4
A multivariate GARCH-jump mixture model
Li, Chenxing
;
Maheu, John M.
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
Saved in:
5
Empirical prediction intervals for additive Holt-Winters methods under misspecification
Yang, Boning
;
Tang, Xinyi
;
Yau, Chun Yip
- In:
Journal of forecasting
43
(
2024
)
3
,
pp. 754-770
Persistent link: https://www.econbiz.de/10014532381
Saved in:
6
Large covariance estimation using a factor model with common and group-specific factors
Shi, Yafeng
;
Ai, Chunrong
;
Shi, Yanlong
;
Ying, Tingting
; …
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 2217-2248
Persistent link: https://www.econbiz.de/10014432877
Saved in:
7
PARX model for football match predictions
Angelini, Giovanni
;
De Angelis, Luca
- In:
Journal of forecasting
36
(
2017
)
7
,
pp. 795-807
Persistent link: https://www.econbiz.de/10011860730
Saved in:
8
Prediction of α‐stable GARCH and ARMA‐GARCH‐M models
Mohammadi, Mohammad
- In:
Journal of forecasting
36
(
2017
)
7
,
pp. 859-866
Persistent link: https://www.econbiz.de/10011860776
Saved in:
9
The importance of time‐varying volatility and country interactions in forecasting economic activity
Trypsteen, Steven
- In:
Journal of forecasting
36
(
2017
)
6
,
pp. 615-628
Persistent link: https://www.econbiz.de/10011861398
Saved in:
10
Robust estimation of conditional variance of time series using density power divergences
Park, Jin‐Hong
;
Sriram, T. N.
- In:
Journal of forecasting
36
(
2017
)
6
,
pp. 703-717
Persistent link: https://www.econbiz.de/10011861411
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