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A multiplicative error model with heterogeneous components for forecasting realized volatility
Han, Heejoon; Park, Myung D.; Zhang, Shen - In: Journal of forecasting 34 (2015) 3, pp. 209-219
Persistent link: https://www.econbiz.de/10011305259
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Forecasting temperature indices density with time-varying long-memory models
Caporin, Massimiliano; Preś, Juliusz - In: Journal of forecasting 32 (2013) 4, pp. 339-352
Persistent link: https://www.econbiz.de/10009775500
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Testing for (common) stochastic trends in the presence of structural breaks
Busetti, Fabio - In: Journal of forecasting 21 (2002) 2, pp. 81-105
Persistent link: https://www.econbiz.de/10001653522
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Local prediction pools
Oelrich, Oscar; Villani, Mattias; Ankargren, Sebastian - In: Journal of forecasting 43 (2024) 1, pp. 103-117
Persistent link: https://www.econbiz.de/10014443187
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Predictable return distributions
Pedersen, Thomas Q. - In: Journal of forecasting 34 (2015) 2, pp. 114-132
Persistent link: https://www.econbiz.de/10011305289
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A quantile regression neural network approach to estimating the conditional density of multiperiod returns
Taylor, James W. - In: Journal of forecasting 19 (2000) 4, pp. 299-311
Persistent link: https://www.econbiz.de/10001504631
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Forecasting VaR and ES in emerging markets : the role of time-varying higher moments
Trung Hai Le - In: Journal of forecasting 43 (2024) 2, pp. 402-414
Persistent link: https://www.econbiz.de/10014475347
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Yield spread selection in predicting recession probabilities
Choi, Jaehyuk; Ge, Desheng; Kang, Kyu Ho; Sohn, Sungbin - In: Journal of forecasting 42 (2023) 7, pp. 1772-1785
Persistent link: https://www.econbiz.de/10014432757
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Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets
Wang, Man; Cheng, Yihan - In: Journal of forecasting 41 (2022) 8, pp. 1595-1607
Persistent link: https://www.econbiz.de/10013465725
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Forecasting daily variations of stock index returns with a multifractal model of realized volatility
Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - In: Journal of forecasting 33 (2014) 7, pp. 532-541
Persistent link: https://www.econbiz.de/10011282864