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Out of sample forecasts of quadratic variation
Aït-Sahalia, Yacine; Mancini, Loriano - In: Journal of econometrics 147 (2008) 1, pp. 17-33
Persistent link: https://www.econbiz.de/10003783780
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The effect of data transformation on common cycle, cointegration and unit root tests : Monte Carlo results and a simple test
Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 132 (2006) 1, pp. 195-229
Persistent link: https://www.econbiz.de/10003320260
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Bootstrap conditional distribution tests in the presence of dynamic misspecification
Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 133 (2006) 2, pp. 779-806
Persistent link: https://www.econbiz.de/10003359634
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Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 136 (2007) 2, pp. 699-723
Persistent link: https://www.econbiz.de/10003412696
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Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
Chao, John C.; Swanson, Norman R. - In: Journal of econometrics 137 (2007) 2, pp. 515-555
Persistent link: https://www.econbiz.de/10003441954
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Annals journal of econometrics: predictive methodology and application in economics finance : volume in honor of the accomplishments of Clive W. J. Granger
Swanson, Norman R.; Elliott, Graham; Ghysels, Eric; … - 2006
Persistent link: https://www.econbiz.de/10003376072
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Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 161 (2011) 2, pp. 304-324
Persistent link: https://www.econbiz.de/10009242123
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Ultra high frequency volatility estimation with dependent microstructure noise
Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 160 (2011) 1, pp. 160-175
Persistent link: https://www.econbiz.de/10009242527
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Forecasting financial and macroeconomic variables using data reduction methods : new empirical evidence
Kim, Hyun Hak; Swanson, Norman R. - In: Journal of econometrics 178 (2014) 1, pp. 352-367
Persistent link: https://www.econbiz.de/10010256842
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Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep; Swanson, Norman R. - In: Journal of econometrics 187 (2015) 2, pp. 606-621
Persistent link: https://www.econbiz.de/10011499786