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The contribution of intraday jumps to forecasting the density of returns
Chorro, Christophe; Ielpo, Florian; Sévi, Benoît - In: Journal of economic dynamics & control 113 (2020), pp. 1-24
Persistent link: https://www.econbiz.de/10012502523
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Forecasting the market return direction based on a time-varying probability density model
Gu, Wentao; Peng, Yiqing - In: Technological forecasting & social change : an … 148 (2019), pp. 1-8
Persistent link: https://www.econbiz.de/10012228614
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Predicting international equity returns: evidence from time-varying parameter vector autoregressive models
Gupta, Rangan; Huber, Florian; Piribauer, Philipp - In: International review of financial analysis 68 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012300967
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Nonparametric tail risk, stock returns, and the macroeconomy
Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, Jose - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 333-376
Persistent link: https://www.econbiz.de/10011987494
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Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Dobrev, Dobrislav; Schaumburg, Ernst - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 388-409
Persistent link: https://www.econbiz.de/10011987513
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Dynamics of financial returns densities : a functional approach applied to the Bovespa intraday index
Horta, Eduardo; Ziegelmann, Flávio A. - In: International journal of forecasting 34 (2018) 1, pp. 75-88
Persistent link: https://www.econbiz.de/10012030843
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Option augmented density forecasts of market returns with monotone pricing kernel
Beare, Brendan K.; Dossani, Asad - In: Quantitative finance 18 (2018) 4, pp. 623-635
Persistent link: https://www.econbiz.de/10011906445
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Point and density prediction of intra-day volume using Bayesian linear ACV models : evidence from the Polish stock market
Huptas, Roman - In: Quantitative finance 18 (2018) 5, pp. 749-760
Persistent link: https://www.econbiz.de/10011907915
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Density forecasts and the leverage effect : evidence from observation and parameter-driven volatility models
Catania, Leopoldo; Nonejad, Nima - In: The European journal of finance 26 (2020) 2/3, pp. 100-118
Persistent link: https://www.econbiz.de/10012207189
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Average skewness matters
Jondeau, Eric; Zhang, Qunzi; Zhu, Xiaoneng - In: Journal of financial economics 134 (2019) 1, pp. 29-47
Persistent link: https://www.econbiz.de/10012166774