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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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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

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

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

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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

Does the foreign sector help forecast domestic variables in DSGE models?

Kolasa, Marcin; Rubaszek, Michał - In: International journal of forecasting 34 (2018) 4, pp. 809-821

Persistent link: https://www.econbiz.de/10012031114

Jump detection and noise separation by a singular wavelet method for predictive analytics of high-frequency data

Chen, Yi-Ting; Lai, Wan-Ni; Sun, Edward W. - In: Computational economics 54 (2019) 2, pp. 809-844

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