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The contribution of intraday jumps to forecasting the density of returns
Chorro, Christophe; Ielpo, Florian; Sévi, Benoît - In: Journal of economic dynamics & control 113 (2020), pp. 1-24
Persistent link: https://www.econbiz.de/10012502523
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Multifractal analysis of realized volatilities in Chinese stock market
Liu, Yufang; Zhang, Weiguo; Fu, Junhui; Wu, Xiang - In: Computational economics 56 (2020) 2, pp. 319-336
Persistent link: https://www.econbiz.de/10012272033
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A new statistic and practical guidelines for nonparametric Granger causality testing
Diks, Cees G. H.; Panchenko, Valentyn - In: Journal of economic dynamics & control 30 (2006) 9/10, pp. 1647-1669
Persistent link: https://www.econbiz.de/10003370351
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Forecasting volatility for an optimal portfolio with stylized facts using copulas
Karmous, Aida; Boubaker, Heni; Belkacem, Lotfi - In: Computational economics 58 (2021) 2, pp. 461-482
Persistent link: https://www.econbiz.de/10012615046
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High-frequency volatility modeling : A Markov-Switching Autoregressive Conditional Intensity model
Li, Yifan; Nolte, Ingmar; Nolte, Sandra - In: Journal of economic dynamics & control 124 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012666459
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Nonlinearity in forecasting of high-frequency stock returns
Reboredo, Juan Carlos; Matías, José M.; … - In: Computational economics 40 (2012) 3, pp. 245-264
Persistent link: https://www.econbiz.de/10010219501
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On the bimodality of the distribution of the S&P 500's distortion : empirical evidence and theoretical explanations
Schmitt, Noemi; Westerhoff, Frank H. - In: Journal of economic dynamics & control 80 (2017), pp. 34-53
Persistent link: https://www.econbiz.de/10011817623
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Parallel optimization of sparse portfolios with AR-HMMs
Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578
Persistent link: https://www.econbiz.de/10011762135
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Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns
Zhou, Jian; Gu, Gao-Feng; Jiang, Zhi-Qiang; Xiong, Xiong; … - In: Computational economics 50 (2017) 4, pp. 579-594
Persistent link: https://www.econbiz.de/10011783456
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Model complexity and out-of-sample performance : evidence from S&P 500 index returns
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of economic dynamics & control 90 (2018), pp. 1-29
Persistent link: https://www.econbiz.de/10011974016