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Variable selection and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009
Persistent link: https://www.econbiz.de/10003851191
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The econometrics of ultra-high-frequency data
Engle, Robert F. - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10001449346
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Meteor showers or heat waves? : heteroskedastic intra-daily volatility in the foreign exchange market
Engle, Robert F. - In: Econometrica : journal of the Econometric Society, an … 58 (1990) 3, pp. 525-542
Persistent link: https://www.econbiz.de/10001085314
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Forecasting time series subject to multiple structural breaks
Pesaran, M. Hashem (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002153301
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Autoregressive conditional duration : a new model for irregularly spaced transaction data
Engle, Robert F. - In: Econometrica : journal of the Econometric Society, an … 66 (1998) 5, pp. 1127-1162
Persistent link: https://www.econbiz.de/10001249588
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How costly is it to ignore breaks when forecasting the direction of a time series?
Pesaran, M. Hashem (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001729369
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Common persistence in conditional variances
Bollerslev, Tim - In: Econometrica : journal of the Econometric Society, an … 61 (1993) 1, pp. 167-186
Persistent link: https://www.econbiz.de/10001139697
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Forecasting with panel data : estimation uncertainty versus parameter heterogeneity
Pasaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022
Persistent link: https://www.econbiz.de/10013263441