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Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH

Brännäs, Kurt; Gooijer, Jan G. de - 2000

variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk … forecasting. …

Persistent link: https://www.econbiz.de/10011303289

Forecasting using DSGE models with financial frictions

Kolasa, Marcin; Rubaszek, Michał - In: International journal of forecasting 31 (2015) 1, pp. 1-19

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A reappraisal of the Meese-Rogoff puzzle

Moosa, Imad A.; Burns, Kelly - In: Applied economics 46 (2014) 1/3, pp. 30-40

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Realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2013

Persistent link: https://www.econbiz.de/10009784942

Asymmetric realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2014 - This version: June 2014

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

Persistent link: https://www.econbiz.de/10010366935

Error correction modelling and dynamic specifications as a conduit to outperforming the random walk in exchange rate forecasting

Moosa, Imad A.; Burns, Kelly - In: Applied economics 46 (2014) 25/27, pp. 3107-3118

Persistent link: https://www.econbiz.de/10010418113

Forecasting crude oil prices with DSGE models

Rubaszek, Michał - In: International journal of forecasting 37 (2021) 2, pp. 531-546

Persistent link: https://www.econbiz.de/10012792850

Functional fuzzy rule-based modeling for interval-valued data : an empirical application for exchange rates forecasting

Maciel, Leandro; Ballini, Rosangela - In: Computational economics 57 (2021) 2, pp. 743-771

Persistent link: https://www.econbiz.de/10012486958

Semiparametric quantile averaging in the presence of high-dimensional predictors

Gooijer, Jan G. de; Zerom Godefay, Dawit - In: International journal of forecasting 35 (2019) 3, pp. 891-909

Persistent link: https://www.econbiz.de/10012305189

Machine learning with parallel neural networks for analyzing and forecasting electricity demand

Chen, Yi-Ting; Sun, Edward W.; Lin, Yi-Bing - In: Computational economics 56 (2020) 2, pp. 569-597

Persistent link: https://www.econbiz.de/10012272048