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Forecasting in the presence of large shocks
Phillips, Robert F. - In: Journal of economic dynamics & control 20 (1996) 9, pp. 1581-1608
Persistent link: https://www.econbiz.de/10001209461
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What does financial volatility tell us about macroeconomic fluctuations?
Chauvet, Marcelle; Senyuz, Zeynep; Yoldas, Emre - In: Journal of economic dynamics & control 52 (2015), pp. 340-360
Persistent link: https://www.econbiz.de/10011474221
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Model complexity and out-of-sample performance : evidence from S&P 500 index returns
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of economic dynamics & control 90 (2018), pp. 1-29
Persistent link: https://www.econbiz.de/10011974016
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Time series properties of an artificial stock market
LeBaron, Blake Dean; Arthur, W. Brian; Palmer, Richard - In: Journal of economic dynamics & control 23 (1999) 9/10, pp. 1487-1516
Persistent link: https://www.econbiz.de/10001415378
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Out-of-sample comparison of copula specifications in multivariate density forecasts
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - In: Journal of economic dynamics & control 34 (2010) 9, pp. 1596-1609
Persistent link: https://www.econbiz.de/10009125848
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Forecasting volatility and volume in the Tokyo stock market : long memory, fractality and regime switching
Lux, Thomas; Kaizoji, Taisei - In: Journal of economic dynamics & control 31 (2007) 6, pp. 1808-1843
Persistent link: https://www.econbiz.de/10003487855
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The contribution of intraday jumps to forecasting the density of returns
Chorro, Christophe; Ielpo, Florian; Sévi, Benoît - In: Journal of economic dynamics & control 113 (2020), pp. 1-24
Persistent link: https://www.econbiz.de/10012502523
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Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models
Guidolin, Massimo; Pedio, Manuela - In: Journal of economic dynamics & control 107 (2019), pp. 1-30
Persistent link: https://www.econbiz.de/10012312634
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The risk return relationship : evidence from index returns and realised variances
Yang, Minxian - In: Journal of economic dynamics & control 107 (2019), pp. 1-21
Persistent link: https://www.econbiz.de/10012312640
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Improving forecasts with the co-range dynamic conditional correlation model
Fiszeder, Piotr; Fałdziński, Marcin - In: Journal of economic dynamics & control 108 (2019), pp. 1-16
Persistent link: https://www.econbiz.de/10012313608