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On the aggregation of probability assessments : regularized mixtures of predictive densities for Eurozone inflation and real interest rates
Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - In: Journal of econometrics 237 (2023) 2,3, pp. 1-25
Persistent link: https://www.econbiz.de/10014471814
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ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - In: Journal of econometrics 221 (2021) 1, pp. 97-117
Persistent link: https://www.econbiz.de/10012618802
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Tail dependence measure for examining financial extreme co-movements
Asimit, Alexandru V.; Gerrard, Russell; Hou, Yanxi; … - In: Journal of econometrics 194 (2016) 2, pp. 330-348
Persistent link: https://www.econbiz.de/10011705189
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Can we measure inflation expectations using Twitter?
Angelico, Cristina; Marcucci, Juri; Miccoli, Marcello; … - In: Journal of econometrics 228 (2022) 2, pp. 259-277
Persistent link: https://www.econbiz.de/10013441747
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Do high-frequency measures of volatility improve forecasts of return distributions?
Maheu, John M.; McCurdy, Thomas H. - In: Journal of econometrics 160 (2011) 1, pp. 69-76
Persistent link: https://www.econbiz.de/10009242544
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A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
Hoogerheide, Lennart; Opschoor, Anne; Dijk, Herman K. van - In: Journal of econometrics 171 (2012) 2, pp. 101-120
Persistent link: https://www.econbiz.de/10009691174
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Time-varying combinations of predictive densities using nonlinear filtering
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - In: Journal of econometrics 177 (2013) 2, pp. 213-232
Persistent link: https://www.econbiz.de/10010254875
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Conditional predictive density evaluation in the presence of instabilities
Rossi, Barbara; Sekhposyan, Tatevik - In: Journal of econometrics 177 (2013) 2, pp. 199-212
Persistent link: https://www.econbiz.de/10010254876
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Likelihood-based scoring rules for comparing density forecasts in tails
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - In: Journal of econometrics 163 (2011) 2, pp. 215-230
Persistent link: https://www.econbiz.de/10009270608
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COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605
Persistent link: https://www.econbiz.de/10011499783