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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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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
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Testing the value of directional forecasts in the presence of serial correlation
Blaskowitz, Oliver Jim; Herwartz, Helmut - In: International journal of forecasting 30 (2013) 1, pp. 30-42
Persistent link: https://www.econbiz.de/10010243646
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Comparison of methods for constructing joint confidence bands for impulse response functions
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - In: International journal of forecasting 31 (2015) 3, pp. 782-798
Persistent link: https://www.econbiz.de/10011474568
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EXSSA : SSA-based reconstruction of time series via exponential smoothing of covariance eigenvalues
Papailias, Fotis; Thomakos, Dimitrios D. - In: International journal of forecasting 33 (2017) 1, pp. 214-229
Persistent link: https://www.econbiz.de/10011754701
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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
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Forecasting risk measures using intraday data in a generalized autoregressive score framework
Lazar, Emese; Xue, Xiaohan - In: International journal of forecasting 36 (2020) 3, pp. 1057-1072
Persistent link: https://www.econbiz.de/10012497719
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Forecasting zero-inflated price changes with a Markov switching mixture model for autoregressive and heteroscedastic time series
Kömm, Holger; Küsters, Ulrich - In: International journal of forecasting 31 (2015) 3, pp. 598-608
Persistent link: https://www.econbiz.de/10011474425
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Selecting volatility forecasting models for portfolio allocation purposes
Becker, Ralf; Clements, Adam; Doolan, M. B.; Hurn, Stan - In: International journal of forecasting 31 (2015) 3, pp. 849-861
Persistent link: https://www.econbiz.de/10011474597
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Testing causality between two vectors in multivariate GARCH models
Woźniak, Tomasz - In: International journal of forecasting 31 (2015) 3, pp. 876-894
Persistent link: https://www.econbiz.de/10011474616