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A Model Confidence Set approach to the combination of multivariate volatility forecasts
Amendola, Alessandra; Braione, Manuela; Candila, Vincenzo; … - In: International journal of forecasting 36 (2020) 3, pp. 873-891
Persistent link: https://www.econbiz.de/10012496876
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Heterogeneous component multiplicative error models for forecasting trading volumes
Naimoli, Antonio; Storti, Giuseppe - In: International journal of forecasting 35 (2019) 4, pp. 1332-1355
Persistent link: https://www.econbiz.de/10012305333
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Nonparametric expected shortfall forecasting incorporating weighted quantiles
Storti, Giuseppe; Wang, Chao - In: International journal of forecasting 38 (2022) 1, pp. 224-239
Persistent link: https://www.econbiz.de/10013347785