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Asymmetric effects and long memory in the volatility of Dow Jones stocks
Scharth, Marcel; Medeiros, Marcelo C. - In: International journal of forecasting 25 (2009) 2, pp. 304-327
Persistent link: https://www.econbiz.de/10003870060
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On the macroeconomic causes of exchange rate volatility
Morana, Claudio - In: International journal of forecasting 25 (2009) 2, pp. 328-350
Persistent link: https://www.econbiz.de/10003870061
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Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models
Zhou, Xiaocong; Nakajima, Jouchi; West, Mike - In: International journal of forecasting 30 (2014) 4, pp. 963-980
Persistent link: https://www.econbiz.de/10010517774
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On downside risk predictability through liquidity and trading activity : a dynamic quantile approach
Rubia, Antonio; Sanchis-Marco, Lidia - In: International journal of forecasting 29 (2013) 1, pp. 202-219
Persistent link: https://www.econbiz.de/10009706161
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Time series modeling of histogram-valued data : the daily histogram time series of S&P500 intradaily returns
González-Rivera, Gloria; Arroyo, Javier - In: International journal of forecasting 28 (2012) 1, pp. 20-33
Persistent link: https://www.econbiz.de/10009580813
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Forecasting volatility with asymmetric smooth transition dynamic range models
Lin, Edward M. H.; Chen, Cathy W. S.; Gerlach, Richard - In: International journal of forecasting 28 (2012) 2, pp. 384-399
Persistent link: https://www.econbiz.de/10009581921
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Do high-frequency financial data help forcast oil prices? : the MIDAS touch at work
Baumeister, Christiane; Guérin, Pierre; Kilian, Lutz - In: International journal of forecasting 31 (2015) 2, pp. 238-252
Persistent link: https://www.econbiz.de/10011474035
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Modeling time-varying skewness via decomposition for out-of-sample forecast
Liu, Xiaochun - In: International journal of forecasting 31 (2015) 2, pp. 296-311
Persistent link: https://www.econbiz.de/10011474059
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Forecasting realized volatility with changing average levels
Gallo, Giampiero M.; Otranto, Edoardo - In: International journal of forecasting 31 (2015) 3, pp. 620-634
Persistent link: https://www.econbiz.de/10011474431
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Additive outliers, GARCH and forecasting volatility
Franses, Philip Hans; Ghijsels, Hendrik - In: International journal of forecasting 15 (1999) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10001428359