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Large covariance estimation using a factor model with common and group-specific factors
Shi, Yafeng; Ai, Chunrong; Shi, Yanlong; Ying, Tingting; … - In: Journal of forecasting 42 (2023) 8, pp. 2217-2248
Persistent link: https://www.econbiz.de/10014432877
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Term structure forecasting of government bond yields with latent and macroeconomic factors : do macroeconomic factors imply better out-of-sample forecasts?
Ullah, Wali; Tsukuda, Yoshihiko; Matsuda, Yasumasa - In: Journal of forecasting 32 (2013) 8, pp. 702-723
Persistent link: https://www.econbiz.de/10010344463
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Affine term structure model with macroeconomic factors : do no-arbitrage restriction and macroeconomic factors imply better out-of-sample forecasts?
Ullah, Wali - In: Journal of forecasting 35 (2016) 4, pp. 329-346
Persistent link: https://www.econbiz.de/10011580766
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Cross-section stock return and implied covariance between jump and diffusive volatility
Ze-To, Samuel Yau Man - In: Journal of forecasting 34 (2015) 5, pp. 379-390
Persistent link: https://www.econbiz.de/10011318319
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Subsampled factor models for asset pricing : the rise of Vasa
De Nard, Gianluca; Hediger, Simon; Leippold, Markus - In: Journal of forecasting 41 (2022) 6, pp. 1217-1247
Persistent link: https://www.econbiz.de/10013465694
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How predictable are equity covariance matrices? : evidence from high-frequency data for four markets
Buckle, Michael J.; Chen, Jing; Williams, Julian - In: Journal of forecasting 33 (2014) 7, pp. 542-557
Persistent link: https://www.econbiz.de/10011282861
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Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction
Amendola, Alessandra; Storti, Giuseppe - In: Journal of forecasting 34 (2015) 2, pp. 83-91
Persistent link: https://www.econbiz.de/10011305317
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Heterogeneous asymmetric dynamic conditional correlation model with stock return and range
Asai, Manabu - In: Journal of forecasting 32 (2013) 5, pp. 469-480
Persistent link: https://www.econbiz.de/10009788806
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Cross-correlations and predictability of stock returns
Olson, Dennis; Mossman, C. - In: Journal of forecasting 20 (2001) 2, pp. 154-160
Persistent link: https://www.econbiz.de/10001570438
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On the modelling and forecasting of multivariate realized volatility : generalized heterogeneous autoregressive (GHAR) model
Čech, František; Baruník, Jozef - In: Journal of forecasting 36 (2017) 2, pp. 181-206
Persistent link: https://www.econbiz.de/10011729136