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Forecasting under structural break uncertainty

Tian, Jing; Anderson, Heather M. - 2011

This paper proposes two new weighting schemes that average forecasts using different estimation windows to account for …, Choice of Estimation Sample, Forecast Combinations, NAIRU Phillips Curve. …

Persistent link: https://www.econbiz.de/10009406379

Testing for cojumps in high-frequency financial data : an approach based on first-high-low-last prices

Liao, Yin; Anderson, Heather M. - In: Journal of banking & finance 99 (2019), pp. 252-274

Persistent link: https://www.econbiz.de/10012162415

Testing for co-jumps in high-frequency financial data : an approach based on first-high-low-last prices

Liao, Yin; Anderson, Heather M. - 2012

Persistent link: https://www.econbiz.de/10009578146

Testing for co-jumps in high-frequency financial data : an approach based on first-high-low-last prices

Liao, Yin; Anderson, Heather M. - 2011

This paper proposes a new test for simultaneous intraday jumps in a panel of high frequency financial data. We utilize intraday first-high-low-last values of asset prices to construct estimates for the cross-variation of returns in a large panel of high frequency financial data, and then employ...