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A long-run relationship between stock price index and exchange rate : a structural nonparametric cointegration regression approach
Tsagkanos, Athanasios; Siriopoulos, Costas - In: Journal of international financial markets, … 25 (2013), pp. 106-118
Persistent link: https://www.econbiz.de/10009762800
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Volatility forecasting revisited using Markov-switching with time-varying probability transition
Wang, Jiqian; Ma, Feng; Liang, Chao; Chen, Zhonglu - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 1387-1400
Persistent link: https://www.econbiz.de/10012815077
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Conditional heteroskedasticity in the volatility of asset returns
Ding, Yashuang - 2021
Persistent link: https://www.econbiz.de/10013262866
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Forecasting and trading high frequency volatility on large indices
Liu, Fei; Pantelous, Athanasios A.; Mettenheim, … - In: Quantitative finance 18 (2018) 5, pp. 737-748
Persistent link: https://www.econbiz.de/10011907914
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A hybrid model for forecasting realized volatility based on heterogeneous autoregressive model and support vector regression
Zhuo, Yue; Morimoto, Takayuki - In: Risks : open access journal 12 (2024) 1, pp. 1-16
giving different weights to each model. In particular, four volatility models are used in RV forecasting as basic models. For …
Persistent link: https://www.econbiz.de/10014480965
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Do oil prices and exchange rates affect the US stock market? : new evidence from the asymmetric cointegration approach
Panagiotis, Rafailidis; Constantinos, Katrakilidis - In: Bulletin of applied economics 8 (2022) 2, pp. 147-161
Persistent link: https://www.econbiz.de/10013271161
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Multiple Tests für die Evaluation von Prognosemodellen : eine Analyse am Beispiel der Prognose von Vermögenspreisen
Fan, Sue Man - 2010 - 1. Aufl.
Persistent link: https://www.econbiz.de/10008856258
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Exploiting common features in macroeconomic and financial data
Çakmaklı, Cem - 2012
Persistent link: https://www.econbiz.de/10009713424
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Implementing statistical criteria to select return forecasting models : what do we learn?
Bossaerts, Peter L.; Hillion, Pierre Henri - In: The review of financial studies 12 (1999) 2, pp. 405-428
Persistent link: https://www.econbiz.de/10001421811
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Forecasting Stock Returns with Model Uncertainty and Parameter Instability
Zhang, Hongwei - 2019
We compare several representative sophisticated model averaging and variable selection techniques of forecasting stock …
Persistent link: https://www.econbiz.de/10012901029