Narrow search
Showing 1 - 10 of 140
Cover Image
Spillovers and directional predictability between international energy commodities and their implications for optimal portfolio and hedging
Trabelsi, Nader; Tiwari, Aviral Kumar; Hammoudeh, Shawkat - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-35
Persistent link: https://www.econbiz.de/10013534076
Cover Image
A quantile-boosting approach to forecasting gold returns
Pierdzioch, Christian; Risse, Marian - In: The North American journal of economics and finance : a … 35 (2016), pp. 38-55
Persistent link: https://www.econbiz.de/10011672283
Cover Image
Model averaging in risk management with an application to futures markets
Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - In: Journal of empirical finance 16 (2009) 2, pp. 280-305
Persistent link: https://www.econbiz.de/10003839329
Cover Image
Which power variation predicts volatility well?
Ghysels, Eric; Sohn, Bumjean - In: Journal of empirical finance 16 (2009) 4, pp. 686-700
We estimate MIDAS regressions with various (bi)power variations to predict future volatility measured via increments in quadratic variation. Instead of pre-determining the (bi)power variation we parameterize it and estimate the intra-daily return power transformation that optimally predicts...
Persistent link: https://www.econbiz.de/10003900365
Cover Image
Volatility of stock price as predicted by patent data : an MGARCH perspective
Chow, William W.; Fung, Michael Ka-yiu - In: Journal of empirical finance 15 (2008) 1, pp. 64-79
Persistent link: https://www.econbiz.de/10003692996
Cover Image
"Optimal" probabilistic and directional predictions of financial returns
Thomakos, Dimitrios D.; Wang, T'ao - In: Journal of empirical finance 17 (2010) 1, pp. 102-119
Persistent link: https://www.econbiz.de/10003943949
Cover Image
Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns
Cheng, Wan-hsiu; Hung, Jui-cheng - In: Journal of empirical finance 18 (2011) 1, pp. 160-173
Persistent link: https://www.econbiz.de/10009301140
Cover Image
Modelling and forecasting short-term interest rate volatility : a semiparametric approach
Hou, Ai Jun; Suardi, Sandy - In: Journal of empirical finance 18 (2011) 4, pp. 692-710
Persistent link: https://www.econbiz.de/10009306533
Cover Image
Consumer confidence or the business cycle : what matters more for European expected returns?
Møller, Stig Vinther; Nørholm, Henrik; Rangvid, Jesper - In: Journal of empirical finance 28 (2014), pp. 230-248
Persistent link: https://www.econbiz.de/10011285064
Cover Image
Predicting volatility and correlations with Financial Conditions Indexes
Opschoor, Anne; Dijk, Dick van; Wel, Michel van der - In: Journal of empirical finance 29 (2014), pp. 435-447
Persistent link: https://www.econbiz.de/10011300449