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~isPartOf:"Computational economics"
~isPartOf:"Journal of risk and financial management : JRFM"
~isPartOf:"The European journal of finance"
~subject:"Forecasting model"
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Forecasting model
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Computational economics
Journal of risk and financial management : JRFM
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International Journal of Energy Economics and Policy : IJEEP
42
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34
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34
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1
Analyst forecasts during the COVID-19 pandemic : evidence from REITs
Anglin, Paul M.
;
Cui, Jianxin
;
Gao, Yanmin
;
Zhang, Li
- In:
Journal of risk and financial management : JRFM
14
(
2021
)
10
,
pp. 1-23
The COVID-19 pandemic disrupts capital markets and confuses decision makers. This event represents an opportunity to better understand how financial analysts forecast earnings. We focus on forecasts for Real Estate Investment Trusts (REITs) in the United States, since REITs are relatively...
Persistent link: https://www.econbiz.de/10012628786
Saved in:
2
Forecasting
volatility : evidence from the Saudi stock market
Al Rahahleh, Naseem M.
;
Kao, Robert
- In:
Journal of risk and financial management : JRFM
11
(
2018
)
4
,
pp. 1-18
The purpose of this paper is to evaluate the
forecasting
performance of linear and non-linear generalized … autoregressive conditional heteroskedasticity (GARCH)–class models in terms of their in-sample and out-of-sample
forecasting
accuracy … for
forecasting
the volatility of both the TASI and the TIPISI in the context of petrochemical industries, as this model …
Persistent link: https://www.econbiz.de/10011960525
Saved in:
3
A bibliometric analysis of machine learning econometrics in asset pricing
Zapata, Hector O.
;
Mukhopadhyay, Supratik
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
11
,
pp. 1-17
Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...
Persistent link: https://www.econbiz.de/10013475217
Saved in:
4
Hedge fund return predictability in the presence of model risk
Argyropoulos, Christos
;
Panopulu, Aikaterinē
; …
- In:
The European journal of finance
28
(
2022
)
18
,
pp. 1892-1916
Persistent link: https://www.econbiz.de/10013532365
Saved in:
5
Reconstructing cryptocurrency processes via Markov chains
Araújo, Tanya
;
Barbosa, Paulo
- In:
Computational economics
64
(
2024
)
4
,
pp. 2509-2521
Persistent link: https://www.econbiz.de/10015144026
Saved in:
6
Scoring six detrending methods on timing, lead-lag relations, and cycle periods : an empirical study of US and UK recessions 1977-2020
Seip, Knut Lehre
;
Zhang, Dan
- In:
Computational economics
64
(
2024
)
5
,
pp. 3087-3116
Persistent link: https://www.econbiz.de/10015144111
Saved in:
7
Asymmetric realized volatility risk
Allen, David E.
;
McAleer, Michael
;
Scharth, Marcel
- In:
Journal of risk and financial management : JRFM
7
(
2014
)
2
,
pp. 80-109
forecasting
errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10011553303
Saved in:
8
Estimating and
forecasting
generalized fractional long memory stochastic volatility models
Peiris, Shelton
;
Asai, Manabu
;
McAleer, Michael
- In:
Journal of risk and financial management : JRFM
10
(
2017
)
4
,
pp. 1-16
This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the corresponding statistical properties of this model,...
Persistent link: https://www.econbiz.de/10011854876
Saved in:
9
Models of investor
forecasting
behavior : experimental evidence
Bonetto, Federico
;
Cheriyan, Vinod
;
Kleywegt, Anton J.
- In:
Journal of risk and financial management : JRFM
11
(
2018
)
1
,
pp. 1-41
Different
forecasting
behaviors affect investors’ trading decisions and lead to qualitatively different asset price …
forecasting
future price changes, and the nature of their confidence when price changes are forecast, determine whether price …
forecasting
models of all participants that best fit the observed
forecasting
data were of the type that cause price bubbles and …
Persistent link: https://www.econbiz.de/10011854982
Saved in:
10
Bayesian econometrics
Bernardi, Mauro
;
Grassi, Stefano
;
Ravazzolo, Francesco
- In:
Journal of risk and financial management : JRFM
13
(
2020
)
11/257
,
pp. 1-2
,
forecasting
, assessment of policy effectiveness in macro, finance, marketing and monetary economics. …
Persistent link: https://www.econbiz.de/10012389851
Saved in:
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