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Cointegration analysis with mixed-frequency data

Seong, Byeongchan; Ahn, Sung K.; Zadrozny, Peter A. - 2007

We develop a method for directly modeling cointegrated multivariate time series that are observed in mixed frequencies. We regard lower-frequency data as regularly (or irregularly) missing and treat them with higher-frequency data by adopting a state-space model. This utilizes the structure of...

Persistent link: https://www.econbiz.de/10010264085

Forecasting realized volatility of international REITs : the role of realized skewness and realized kurtosis

Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; … - In: Journal of forecasting 41 (2022) 2, pp. 303-315

Persistent link: https://www.econbiz.de/10012817752

A note on investor happiness and the predictability of realized volatility of gold

Bonato, Matteo; Gillas, Konstantinos Gkillas; Gupta, Rangan - In: Finance research letters 39 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10012805333

Forecasting realized gold volatility : is there a role of geopolitical risks?

Gillas, Konstantinos Gkillas; Gupta, Rangan; … - In: Finance research letters 35 (2020), pp. 1-6

Persistent link: https://www.econbiz.de/10012438328

Forecasting power of infectious diseases-related uncertainty for gold realized variance

Bouri, Elie; Gillas, Konstantinos Gkillas; Gupta, Rangan; … - In: Finance research letters 42 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10014581420

Forecasting the conditional distribution of realized volatility of oil price returns : the role of skewness over 1859 to 2023

Gupta, Rangan; Ji, Qiang; Pierdzioch, Christian; … - In: Finance research letters 58 (2023) 3, pp. 1-9

Persistent link: https://www.econbiz.de/10014631146

Oil tail risks and the forecastability of the realized variance of oil-price : evidence from over 150 years of data

Salisu, Afees A.; Pierdzioch, Christian; Gupta, Rangan - In: Finance research letters 46 (2022) 2, pp. 1-7

Persistent link: https://www.econbiz.de/10013341577

Business applications and state-level stock market realized volatility : a forecasting experiment

Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; … - In: Journal of forecasting 43 (2024) 2, pp. 456-472

Persistent link: https://www.econbiz.de/10014475351

Uncertainty and forecastability of regional output growth in the UK : evidence from machine learning

Balcilar, Mehmet; Gabauer, David; Gupta, Rangan; … - In: Journal of forecasting 41 (2022) 6, pp. 1049-1064

Persistent link: https://www.econbiz.de/10013465678