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Phillips, Peter C. B.
38
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21
Linton, Oliver
21
Swanson, Norman R.
21
Timmermann, Allan
21
Ghysels, Eric
20
Gouriéroux, Christian
19
Todorov, Viktor
19
Tauchen, George Eugene
18
Aït-Sahalia, Yacine
17
McAleer, Michael
17
Pesaran, M. Hashem
17
Taylor, Robert
17
Yu, Jun
17
Corradi, Valentina
16
Koop, Gary
16
Lee, Lung-fei
16
Andersen, Torben
15
Diebold, Francis X.
15
Granger, C. W. J.
13
Patton, Andrew J.
13
Chib, Siddhartha
12
Mykland, Per A.
12
Schmidt, Peter
12
Dijk, Herman K. van
11
Dufour, Jean-Marie
11
Hong, Yongmiao
11
Hsiao, Cheng
11
Park, Joon Y.
11
Renault, Eric
11
Steel, Mark F. J.
11
Xiao, Zhijie
11
Xiu, Dacheng
11
Gallant, A. Ronald
10
Whang, Yoon-jae
10
Baltagi, Badi H.
9
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9
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9
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1
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1
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Journal of econometrics
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ECONIS (ZBW)
1,953
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1
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
Saved in:
2
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
Saved in:
3
Modeling and
forecasting
realized
volatility
with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
4
Asymptotic inference about predictive accuracy using high frequency data
Li, Jia
;
Patton, Andrew J.
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 223-240
Persistent link: https://www.econbiz.de/10011974659
Saved in:
5
Autoencoder asset pricing models
Gu, Shihao
;
Kelly, Bryan T.
;
Xiu, Dacheng
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 429-450
Persistent link: https://www.econbiz.de/10012619654
Saved in:
6
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
Saved in:
7
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
Saved in:
8
R-estimation in semiparametric dynamic location-scale models
Hallin, Marc
;
La Vecchia, Davide
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 222-247
Persistent link: https://www.econbiz.de/10011818285
Saved in:
9
A simple joint model for returns,
volatility
and
volatility
of
volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
Saved in:
10
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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