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Forecasting economic and financial time-series with non-linear models
Clements, Michael P.; Franses, Philip Hans; Swanson, … - Department of Economics, Rutgers University-New Brunswick - 2003
In this paper we discuss the current state-of-the-art in estimating, evaluating, and selecting among non-linear … argue that although the evidence in favor of constructing forecasts using non-linear models is rather sparse, there is …
Persistent link: https://www.econbiz.de/10005839093
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Predictive inference for integrated volatility
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2011
nonparametric kernel estimators of the aforementioned quantities. The kernel functions used in our analysis are based on different …
Persistent link: https://www.econbiz.de/10009130720
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Predictive inference for integrated volatility
Corradi, Valentina (contributor);  … - 2006
nonparametric kernel estimators of the aforementioned quantities. The kernel functions used in our analysis are based on different …
Persistent link: https://www.econbiz.de/10003698497
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Predictive Inference for Integrated Volatility
Swanson, Norman R.; Corradi, Valentina; Distaso, Walter - Department of Economics, Rutgers University-New Brunswick - 2011
nonparametric kernel estimators of the aforementioned quantities. The kernel functions used in our analysis are based on different …
Persistent link: https://www.econbiz.de/10009372753
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Predictive Inference for Integrated Volatility
Swanson, Norman R.; Corradi, Valentina; Distaso, Walter - Department of Economics, Rutgers University-New Brunswick - 2011
In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive den- sities and con¯dence intervals for integrated volatility. In this paper, we propose nonparametric estimators of the aforementioned...
Persistent link: https://www.econbiz.de/10009372759
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Predictive inference for integrated volatility
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2006
nonparametric kernel estimators of the aforementioned quantities. The kernel functions used in our analysis are based on different …
Persistent link: https://www.econbiz.de/10010266344
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Predictive density estimators for daily volatility based on the use of realized measures
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2006
The main objective of this paper is to propose a feasible, model free estimator of the predictive density of integrated volatility. In this sense, we extend recent papers by Andersen, Bollerslev, Diebold and Labys (2003), and by Andersen, Bollerslev and Meddahi (2004, 2005), who address the...
Persistent link: https://www.econbiz.de/10010266347
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Predictive inference for integrated volatility
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2011
nonparametric kernel estimators of the aforementioned quantities. The kernel functions used in our analysis are based on different …
Persistent link: https://www.econbiz.de/10010282869
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Predictive density estimators for daily volatility based on the use of realized measures
Corradi, Valentina (contributor);  … - 2006 - Rev.
The main objective of this paper is to propose a feasible, model free estimator of the predictive density of integrated volatility. In this sense, we extend recent papers by Andersen, Bollerslev, Diebold and Labys (2003), and by Andersen, Bollerslev and Meddahi (2004, 2005), who address the...
Persistent link: https://www.econbiz.de/10003698522
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Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2005
The main objective of this paper is to propose a feasible, model free estimator of the predictive density of integrated volatility. In this sense, we extend recent papers by Andersen, Bollerslev, Diebold and Labys (2003), and by Andersen, Bollerslev and Meddahi (2004, 2005), who address the...
Persistent link: https://www.econbiz.de/10014062176