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Forecasting the intraday market price of money
Monticini, Andrea; Ravazzolo, Francesco - In: Journal of empirical finance 29 (2014), pp. 304-315
Persistent link: https://www.econbiz.de/10011300463
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A Bayesian method of change-point estimation with recurrent regimes : application to GARCH models
Bauwens, Luc; De Backer, Bruno; Dufays, Arnaud - In: Journal of empirical finance 29 (2014), pp. 207-229
Persistent link: https://www.econbiz.de/10011300484
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Bandwidth selection by cross-validation for forecasting long memory financial time series
Baillie, Richard; Kapetanios, George; Papailias, Fotis - In: Journal of empirical finance 29 (2014), pp. 129-143
Persistent link: https://www.econbiz.de/10011300500
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Dynamic copula models and high frequency data
De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - In: Journal of empirical finance 30 (2015), pp. 120-135
Persistent link: https://www.econbiz.de/10011489292
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Predictive regression : an improved augmented regression method
Kim, Jae H. - In: Journal of empirical finance 26 (2014), pp. 13-25
Persistent link: https://www.econbiz.de/10010472013
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Time-varying performance of international mutual funds
Turtle, Harry J.; Zhang, Chengping - In: Journal of empirical finance 19 (2012) 3, pp. 334-348
Persistent link: https://www.econbiz.de/10009615679
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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 volatility using double shrinkage methods
Cheng, Mingmian; Swanson, Norman R.; Yang, Xiye - In: Journal of empirical finance 62 (2021), pp. 46-61
Persistent link: https://www.econbiz.de/10012693319
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Dynamic asymmetries in house price cycles : a generalized smooth transition model
Canepa, Alessandra; Zanetti Chini, Emilio - In: Journal of empirical finance 37 (2016), pp. 91-103
Persistent link: https://www.econbiz.de/10011662961
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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