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Robustness of stable volatility strategies
Branger, Nicole; Mahayni, Antje; Zieling, Daniel - In: Journal of economic dynamics & control 60 (2015), pp. 134-151
Persistent link: https://www.econbiz.de/10011575084
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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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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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Evolving macroeconomic perceptions and the term structure of interest rates
Orphanides, Athanasios; Wei, Min - In: Journal of economic dynamics & control 36 (2012) 2, pp. 239-254
Persistent link: https://www.econbiz.de/10009489611
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Comparing DSGE-VAR forecasting models : how big are the differences?
Ghent, Andra C. - In: Journal of economic dynamics & control 33 (2009) 4, pp. 864-882
Persistent link: https://www.econbiz.de/10003844053
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The role of stickiness, extrapolation and past consensus forecasts in macroeconomic expectations
Hagenhoff, Tim; Lustenhouwer, Joep - In: Journal of economic dynamics & control 149 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014285102
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Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
Diks, Cees G. H.; Panchenko, Valentyn; Sokolinskiy, Oleg; … - In: Journal of economic dynamics & control 48 (2014), pp. 79-94
Persistent link: https://www.econbiz.de/10010485831
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Option-implied skewness : Insights from ITM-options
Mohrschladt, Hannes; Schneider, Judith Christiane - In: Journal of economic dynamics & control 131 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012818193
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Improving the value at risk forecasts : theory and evidence from the financial crisis
Halbleib, Roxana; Pohlmeier, Winfried - In: Journal of economic dynamics & control 36 (2012) 8, pp. 1212-1228
Persistent link: https://www.econbiz.de/10009655698
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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