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Forecasting with vector autoregressive models of data vintages : US output growth and inflation
Clements, Michael P.; Galvão, Ana Beatriz C. - In: International journal of forecasting 29 (2013) 4, pp. 698-714
Persistent link: https://www.econbiz.de/10010221301
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Forecasting with Bayesian multivariate vintage-based VARs
Carriero, Andrea; Clements, Michael P.; Galvão, Ana … - In: International journal of forecasting 31 (2015) 3, pp. 757-768
Persistent link: https://www.econbiz.de/10011474551
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Realized volatility risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - 2013
Persistent link: https://www.econbiz.de/10009784942
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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