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International journal of forecasting
Journal of econometrics
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ECONIS (ZBW)
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1
Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling
Hoogerheide, Lennart
;
Dijk, Herman K. van
- In:
International journal of forecasting
26
(
2010
)
2
,
pp. 231-247
Persistent link: https://www.econbiz.de/10003980297
Saved in:
2
Multivariate volatility forecasts for stock market indices
Wilms, Ines
;
Rombouts, Jeroen V. K.
;
Croux, Christophe
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 484-499
Persistent link: https://www.econbiz.de/10012792845
Saved in:
3
A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo
;
Buccheri, Giuseppe
;
Corsi, Fulvio
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 569-586
Persistent link: https://www.econbiz.de/10012792854
Saved in:
4
Observation-driven models for realized variances and overnight returns applied to value-at-risk and expected shortfall forecasting
Opschoor, Anne
;
Lucas, André
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 622-633
Persistent link: https://www.econbiz.de/10012792858
Saved in:
5
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
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6
Improving variance forecasts : the role of Realized Variance features
Papantonis, Ioannis
;
Rompolis, Leonidas
;
Tzavalis, Elias
- In:
International journal of forecasting
39
(
2023
)
3
,
pp. 1221-1237
Persistent link: https://www.econbiz.de/10014465267
Saved in:
7
Outlier-robust methods for forecasting realized covariance matrices
Li, Dan
;
Drovandi, Christopher
;
Clements, Adam
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
Saved in:
8
Testing for threshold effect in ARFIMA models : application to US unemployment rate data
Lahiani, A.
;
Scaillet, Olivier
- In:
International journal of forecasting
25
(
2009
)
2
,
pp. 418-428
Persistent link: https://www.econbiz.de/10003870074
Saved in:
9
Significance tests harm progress in forecasting : comment
Stekler, Herman O.
- In:
International journal of forecasting
23
(
2007
)
2
,
pp. 329-330
Persistent link: https://www.econbiz.de/10003483842
Saved in:
10
Comments on "Significance tests harm progress in forecasting"
Ord, John Keith
- In:
International journal of forecasting
23
(
2007
)
2
,
pp. 331-332
Persistent link: https://www.econbiz.de/10003483858
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