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Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of econometrics 207 (2018) 1, pp. 71-91
Persistent link: https://www.econbiz.de/10012116125
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Dynamic prediction pools : an investigation of financial frictions and forecasting performance
Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - In: Journal of econometrics 192 (2016) 2, pp. 391-405
Persistent link: https://www.econbiz.de/10011704724
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Forecasting using random subspace methods
Boot, Tom; Nibbering, Didier - In: Journal of econometrics 209 (2019) 2, pp. 391-406
Persistent link: https://www.econbiz.de/10012302640
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L1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
Medeiros, Marcelo C.; Mendes, Eduardo F. - In: Journal of econometrics 191 (2016) 1, pp. 255-271
Persistent link: https://www.econbiz.de/10011598121
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Properties of optimal forecasts under asymmetric loss and nonlinearity
Patton, Andrew J.; Timmermann, Allan - In: Journal of econometrics 140 (2007) 2, pp. 884-918
Persistent link: https://www.econbiz.de/10003570041
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The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - In: Journal of econometrics 160 (2011) 1, pp. 48-57
Persistent link: https://www.econbiz.de/10009242554
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Theory-coherent forecasting
Giacomini, Raffaella; Ragusa, Giuseppe - In: Journal of econometrics 182 (2014) 1, pp. 145-155
Persistent link: https://www.econbiz.de/10010497096
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Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing; Ke, Yuan; Liao, Yuan - In: Journal of econometrics 222 (2021) 1,2, pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
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A MIDAS approach to modeling first and second moment dynamics
Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of econometrics 193 (2016) 2, pp. 315-334
Persistent link: https://www.econbiz.de/10011704952
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Residual-augmented IVX predictive regression
Demetrescu, Matei; Rodrigues, Paulo M. M. - In: Journal of econometrics 227 (2022) 2, pp. 429-460
Persistent link: https://www.econbiz.de/10013442118