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The predictive ability of several models of exchange rate volatility
West, Kenneth D. - In: Journal of econometrics 69 (1995) 2, pp. 367-391
Persistent link: https://www.econbiz.de/10001188565
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Nonparametric predictive regression
Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. - In: Journal of econometrics 185 (2015) 2, pp. 468-494
Persistent link: https://www.econbiz.de/10011348962
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Does modeling a structural break improve forecast accuracy?
Boot, Tom; Pick, Andreas - In: Journal of econometrics 215 (2020) 1, pp. 35-59
Persistent link: https://www.econbiz.de/10012439152
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Testing for non-correlation between price and volatility jumps
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot - In: Journal of econometrics 197 (2017) 2, pp. 284-297
Persistent link: https://www.econbiz.de/10011818360
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Testing for episodic predictability in stock returns
Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 227 (2022) 1, pp. 85-113
Persistent link: https://www.econbiz.de/10013441625
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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
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Climate risks and market efficiency
Hong, Harrison G.; Li, Frank Weikai; Xu, Jiangmin - In: Journal of econometrics 208 (2019) 1, pp. 265-281
Persistent link: https://www.econbiz.de/10012144990
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Strong rules for detecting the number of breaks in a time series
Altissimo, Filippo; Corradi, Valentina - In: Journal of econometrics 117 (2003) 2, pp. 207-244
Persistent link: https://www.econbiz.de/10001799064
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Economic tracking portfolios
Lamont, Owen A. - In: Journal of econometrics 105 (2001) 1, pp. 161-184
Persistent link: https://www.econbiz.de/10001617161
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Post-'87 crash fears in the S&P 500 futures option market
Bates, David S. - In: Journal of econometrics 94 (2000) 1/2, pp. 181-238
Persistent link: https://www.econbiz.de/10001437755