Narrow search
Showing 1 - 10 of 193
Cover Image
Volatility forecasting with double Markov switching GARCH models
Chen, Cathy W. S.; So, Mike Ka-pui; Lin, Edward M. H. - In: Journal of forecasting 28 (2009) 8, pp. 681-697
Persistent link: https://www.econbiz.de/10003918204
Cover Image
Forecasting volatility with many predictors
Ke, Tsung-han; Hu, Yu-pin - In: Journal of forecasting 32 (2013) 8, pp. 743-754
Persistent link: https://www.econbiz.de/10010344461
Cover Image
A study of value-at-risk based on M-estimators of the conditional heteroscedastic models
Iqbal, Farhat; Mukherjee, Kanchan - In: Journal of forecasting 31 (2012) 5, pp. 377-390
Persistent link: https://www.econbiz.de/10009582118
Cover Image
When are direct multi-step and iterative forecasts identical?
McElroy, Tucker - In: Journal of forecasting 34 (2015) 4, pp. 315-336
Persistent link: https://www.econbiz.de/10011305168
Cover Image
Benchmark forecast and error modeling
Chen, Zhao-Guo; Wu, Ka Ho - In: Journal of forecasting 36 (2017) 4, pp. 382-394
Persistent link: https://www.econbiz.de/10011860451
Cover Image
Quantile forecasting for credit risk management using possibly misspecified hidden Markov models
Banachewicz, Konrad; Lucas, André - In: Journal of forecasting 27 (2008) 7, pp. 566-586
Persistent link: https://www.econbiz.de/10003779594
Cover Image
Hurricane lifespan modeling through a semi-Markov parametric approach
Masala, Giovanni - In: Journal of forecasting 32 (2013) 4, pp. 369-384
Persistent link: https://www.econbiz.de/10009775497
Cover Image
Forecasting simultaneously high-dimensional time series : a robust model-based clustering approach
Wang, Yongning; Tsay, Ruey S.; Ledolter, Johannes; … - In: Journal of forecasting 32 (2013) 8, pp. 673-684
Persistent link: https://www.econbiz.de/10010344465
Cover Image
Backtesting value‐at‐risk : a generalized Markov test
Pajhede, Thor - In: Journal of forecasting 36 (2017) 5, pp. 597-613
Persistent link: https://www.econbiz.de/10011860704
Cover Image
Long memory of financial time series and hidden Markov models with time‐varying parameters
Nystrup, Peter; Madsen, Henrik; Lindström, Erik - In: Journal of forecasting 36 (2017) 8, pp. 989-1002
Persistent link: https://www.econbiz.de/10011860941