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Cojumpinge Evidence from the US Treasury bond and futures markets
Dungey, Mardi H.; Hvozdyk, Lyudmyla - 2010
Persistent link: https://www.econbiz.de/10008668687
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Casual change detection in possibly integrated systems : revisiting the money-income relationship
Shi, Shuping; Hurn, Stan; Phillips, Peter C. B. - 2016
Persistent link: https://www.econbiz.de/10011777165
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Change detection and the causal impact of the Yield Curve
Hurn, Stan; Phillips, Peter C. B.; Shi, Shuping - 2015
Persistent link: https://www.econbiz.de/10011343675
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Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina; Teräsvirta, Timo - 2015
Persistent link: https://www.econbiz.de/10011777143
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Combining multivariate volatility forecasts using weighted losses
Clements, Adam; Doolan, M. B. - 2018
Persistent link: https://www.econbiz.de/10012431199
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A Cholesky-MIDAS model for predicting stock portfolio volatility
Becker, Ralf; Clements, Adam; O'Neill, Robert - 2010
Persistent link: https://www.econbiz.de/10008668675
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News and network structures in equity market volatility
Clements, Adam; Liao, Yin - 2016
Persistent link: https://www.econbiz.de/10011777149
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A nonparametric approach to forecasting realized volatility
Clements, Adam; Becker, Ralf - 2009
Persistent link: https://www.econbiz.de/10003880632
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On the economic benefit of utility based estimation of a volatility model
Clements, Adam; Silvennoinen, Annastiina - 2009
Persistent link: https://www.econbiz.de/10003880634
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Forecast performance of implied volatility and the impact of the volatility risk premium
Becker, Ralf; Clements, Adam; Coleman-Fenn, Christopher - 2009
Persistent link: https://www.econbiz.de/10003880636