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Prediction accuracy of bivariate score-driven risk premium and volatility filters : an illustration for the Dow Jones
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2020
Persistent link: https://www.econbiz.de/10012310604
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Early warning system for currency crises using long short-term memory and gated recurrent unit neural networks
Barthélémy, Sylvain; Rondeau, Fabien; Gautier, Virginie - 2023
Persistent link: https://www.econbiz.de/10014334456
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Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index
Ayala, Astrid; Blazsek, Szabolcs; Escribano, Álvaro - 2019
Persistent link: https://www.econbiz.de/10012100546
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Forecasting realized volatility with linear and nonlinear univariate models
McAleer, Michael; Medeiros, Marcelo C. - 2010
Persistent link: https://www.econbiz.de/10008689073
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
Persistent link: https://www.econbiz.de/10001650402
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A simple expected volatility (SEV) index : application to SET50 Index Options
McAleer, Michael; Wiphatthanananthakul, Chatayan - 2010
Persistent link: https://www.econbiz.de/10008670007
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Large vector autoregressions with asymmetric priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015
We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...
Persistent link: https://www.econbiz.de/10011389735
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A reality check on the GARCH-MIDAS volatility models
Virk, Nader Shahzad; Javed, Farrukh; Awartani, Basel - 2021
Persistent link: https://www.econbiz.de/10012604771
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Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage
Gefang, Deborah; Koop, Gary; Poon, Aubrey - 2019
Persistent link: https://www.econbiz.de/10012115020
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Does money growth predict inflation? : evidence from vector autoregressions using four centuries of data
Edvinsson, Rodney; Karlsson, Sune; Österholm, Pär - 2023
estimation methods. Specifically, we employ VAR models with drifting parameters and stochastic volatility which are used to …
Persistent link: https://www.econbiz.de/10014233967