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In- and out-of-sample specification analysis of spot rate models : further evidence for the period 1982 - 2008
Cai, Lili; Swanson, Norman R. - In: Journal of empirical finance 18 (2011) 4, pp. 743-764
Persistent link: https://www.econbiz.de/10009306528
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Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models
Langrock, Roland; MacDonald, Iain L.; Zucchini, Walter - In: Journal of empirical finance 19 (2012) 1, pp. 147-161
Persistent link: https://www.econbiz.de/10009615752
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Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty
Qiu, Yue; Wang, Zongrun; Xie, Tian; Zhang, Xinyu - In: Journal of empirical finance 62 (2021), pp. 179-201
Persistent link: https://www.econbiz.de/10012693338
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Forecasting stock returns with large dimensional factor models
Giovannelli, Alessandro; Massacci, Daniele; Soccorsi, … - In: Journal of empirical finance 63 (2021), pp. 252-269
Persistent link: https://www.econbiz.de/10013259267
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Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective
Bee, Marco; Dupuis, Debbie J.; Trapin, Luca - In: Journal of empirical finance 36 (2016), pp. 86-99
Persistent link: https://www.econbiz.de/10011662757
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The forecast dispersion anomaly revisited : time-series forecast dispersion and the cross-section of stock returns
Kim, Dongcheol; Na, Haejung - In: Journal of empirical finance 39 (2016), pp. 37-53
Persistent link: https://www.econbiz.de/10011663264
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Strict stationarity, persistence and volatility forecasting in ARCH (∞) processes
Davidson, James E. H.; Li, Xiaoyu - In: Journal of empirical finance 38 (2016), pp. 534-547
Persistent link: https://www.econbiz.de/10011663340
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Forecasting stock market returns by summing the frequency-decomposed parts
Faria, Gonçalo; Verona, Fabio - In: Journal of empirical finance 45 (2018), pp. 228-242
Persistent link: https://www.econbiz.de/10012102423
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Forecasting global stock market implied volatility indices
Degiannakis, Stavros; Filis, George; Hassani, Hossein - In: Journal of empirical finance 46 (2018), pp. 111-129
Persistent link: https://www.econbiz.de/10012103431
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Multivariate models with long memory dependence in conditional correlation and volatility
Dark, Jonathan - In: Journal of empirical finance 48 (2018), pp. 162-180
Persistent link: https://www.econbiz.de/10012109291