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Liquidity and realized covariance forecasting : a hybrid method with model uncertainty
Qiao, Gaoxiu; Cao, Yangli; Ma, Feng; Li, Weiping - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 437-463
Persistent link: https://www.econbiz.de/10014226295
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Individual and combination approaches to forecasting hierarchical time series with correlated data : an empirical study
Ur Rehman, Hakeem; Wan, Guohua; Ullah, Azmat; Shaukat, … - In: Journal of management analytics 6 (2019) 3, pp. 231-249
Persistent link: https://www.econbiz.de/10012171429
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Measuring risk in fixed income portfolios using yield curve models
Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Computational economics 46 (2015) 1, pp. 65-82
Persistent link: https://www.econbiz.de/10011441011
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Testing for multiple-period predictability between serially dependent time series
Heaton, Christopher - In: International journal of forecasting 31 (2015) 3, pp. 587-597
Persistent link: https://www.econbiz.de/10011474421
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On a bivariate hysteretic AR-GARCH model with conditional asymmetry in correlations
Chen, Cathy W. S.; Than-Thi, Hong; Asai, Manabu - In: Computational economics 58 (2021) 2, pp. 413-433
Persistent link: https://www.econbiz.de/10012615031
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A toolkit for exploiting contemporaneous stock correlations
Hiraki, Kazuhiro; Sun, Chuanping - In: Journal of empirical finance 65 (2022), pp. 99-124
Persistent link: https://www.econbiz.de/10013286402
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Combining forecasts in the presence of ambiguity over correlation structures
Levy, Gilat; Razin, Ronny - In: Journal of economic theory 199 (2022), pp. 1-31
Persistent link: https://www.econbiz.de/10013193309
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Forecasting equity index volatility by measuring the linkage among component stocks
Qiu, Yue; Xie, Tian; Yu, Jun; Zhou, Qiankun - In: Journal of financial econometrics 20 (2022) 1, pp. 160-186
Persistent link: https://www.econbiz.de/10012878191
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Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix
Dong, Yingjie; Tse, Yiu Kuen - In: Economics letters 195 (2020), pp. 1-4
Persistent link: https://www.econbiz.de/10012509995
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Spatiotemporal wind forecasting by learning a hierarchically sparse inverse covariance matrix using wind directions
Liu, Yin; Davanloo Tajbakhsh, Sam; Conejo, Antonio J. - In: International journal of forecasting 37 (2021) 2, pp. 812-824
Persistent link: https://www.econbiz.de/10012792871