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Consistency of model averaging estimators

Zhang, Xinyu - In: Economics letters 130 (2015), pp. 120-123

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Asymmetry and leverage in conditional volatility models

McAleer, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 145-150

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

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Social media sentiment, model uncertainty, and volatility forecasting

Lehrer, Steven F.; Xie, Tian; Zhang, Xinyu - In: Economic modelling 102 (2021), pp. 1-13

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Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty

Qiu, Yue; Wang, Zongrun; Xie, Tian; Zhang, Xinyu - In: Journal of empirical finance 62 (2021), pp. 179-201

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Time-varying model averaging

Sun, Yuying; Hong, Yongmiao; Lee, Tae-hwy; Wang, Shouyang; … - In: Journal of econometrics 222 (2021) 2, pp. 974-992

Persistent link: https://www.econbiz.de/10012619810

Model averaging prediction for time series models with a diverging number of parameters

Liao, Jun; Zou, Guohua; Gao, Yan; Zhang, Xinyu - In: Journal of econometrics 223 (2021) 1, pp. 190-221

Persistent link: https://www.econbiz.de/10012619966

Model averaging in a multiplicative heteroscedastic model

Zhao, Shangwei; Ma, Yanyuan; Wan, Alan T. K.; Zhang, Xinyu - In: Econometric reviews 39 (2020) 10, pp. 1100-1124

Persistent link: https://www.econbiz.de/10012406211

Model averaging based on leave-subject-out cross-validation for vector autoregressions

Liao, Jun; Zong, Xianpeng; Zhang, Xinyu; Zou, Guohua - In: Journal of econometrics 209 (2019) 1, pp. 35-60

Persistent link: https://www.econbiz.de/10012302513

Model averaging estimators for the stochastic frontier model

Parmeter, Christopher F.; Wan, Alan T. K.; Zhang, Xinyu - In: Journal of productivity analysis 51 (2019) 2/3, pp. 91-103

Persistent link: https://www.econbiz.de/10012305597

Forecasting cryptocurrencies under model and parameter instability

Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco - In: International journal of forecasting 35 (2019) 2, pp. 485-501

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