Narrow search
Showing 1 - 10 of 6,311
Cover Image
Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage
Gefang, Deborah; Koop, Gary; Poon, Aubrey - 2019
Persistent link: https://www.econbiz.de/10012223665
Cover Image
Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage
Gefang, Deborah; Koop, Gary; Poon, Aubrey - 2019
Persistent link: https://www.econbiz.de/10012115020
Cover Image
Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
Gefang, Deborah; Koop, Gary; Poon, Aubrey - In: International journal of forecasting 39 (2023) 1, pp. 346-363
Persistent link: https://www.econbiz.de/10014462786
Cover Image
Is intraday data useful for forecasting VaR? : the evidence from EUR/PLN exchange rate
Będowska-Sójka, Barbara - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 4, pp. 326-346
Persistent link: https://www.econbiz.de/10011962183
Cover Image
Volatility analysis for the GARCH-Itô-Jumps model based on high-frequency and low-frequency financial data
Fu, Jin-Yu; Lin, Jin-Guan; Hao, Hong-Xia - In: International journal of forecasting 39 (2023) 4, pp. 1698-1712
Persistent link: https://www.econbiz.de/10014465345
Cover Image
Stock market price indices modelling by a small scale Bayesian VAR : the case of British FTSE and German DAX index
Bikár, Miloš; Hodula, Martin - In: Ekonomický časopis : časopis pre ekonomickú … 64 (2016) 8, pp. 737-750
Persistent link: https://www.econbiz.de/10011582851
Cover Image
Conditional and unconditional intraday value-at-risk models : an application to high-frequency tick-by-tick exchange-traded fund data
Nunkoo, Houmera Bibi Sabera; Sookia, Noor Ul Hacq; … - In: Journal of risk : JOR 26 (2023) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10014487297
Cover Image
A Bayesian quantile time series model for asset returns
Griffin, Jim E.; Mitrodima, Gelly - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 16-27
Persistent link: https://www.econbiz.de/10012804077
Cover Image
Stock market trend prediction using a functional time series approach
Huang, Shih-Feng; Guo, Meihui; Chen, May-Ru - In: Quantitative finance 20 (2020) 1, pp. 69-79
Persistent link: https://www.econbiz.de/10012194855
Cover Image
Predicting stock returns in the presence of uncertain structural changes and sample noise
Mantilla-García, Daniel; Vaidyanathan, Vijay - In: Financial markets and portfolio management 31 (2017) 3, pp. 357-391
Persistent link: https://www.econbiz.de/10011951769