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Do high-frequency financial data help forecast oil prices? : the MIDAS touch at work
Baumeister, Christiane; Guérin, Pierre; Kilian, Lutz - 2013
, including the question of whether financial market information helps forecast the real price of oil in physical markets. An …
Persistent link: https://www.econbiz.de/10010203447
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Do high-frequency financial data help forecast oil prices? : the MIDAS touch at work
Baumeister, Christiane; Guérin, Pierre; Kilian, Lutz - 2013
Persistent link: https://www.econbiz.de/10010243731
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Do high-frequency financial data help forecast oil prices? : the MIDAS touch at work
Baumeister, Christiane; Guérin, Pierre; Kilian, Lutz - 2014
, including the question of whether financial market information helps forecast the real price of oil in physical markets. An …
Persistent link: https://www.econbiz.de/10010336456
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The impact of oil price shocks on the US stock market
Kilian, Lutz; Park, Cheolbeom - 2007
Persistent link: https://www.econbiz.de/10003443860
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The economic effects of energy price shocks
Kilian, Lutz - 2007
Persistent link: https://www.econbiz.de/10003593216
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Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form
Kilian, Lutz; Gonçalves, Sílvia - 2002
Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....
Persistent link: https://www.econbiz.de/10010295743
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Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
Gonçalves, Sílvia; Kilian, Lutz - 2002
Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....
Persistent link: https://www.econbiz.de/10011431797
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Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
Gonçalves, Sílvia (contributor); Kilian, Lutz (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001947544
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Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
Gonçalves, Sílvia; Kilian, Lutz - 2002
Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....
Persistent link: https://www.econbiz.de/10001727625
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Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
Gonçalves, Sílvia - 2002
Persistent link: https://www.econbiz.de/10013434522