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Reading the tea leaves : model uncertainty, robust forecasts, and the autocorrelation of analysts' forecast errors

Linnainmaa, Juhani; Torous, Walter N.; Yae, James - In: Journal of financial economics 122 (2016) 1, pp. 42-64

Persistent link: https://www.econbiz.de/10011590878

Realized volatility forecasting based on dynamic quantile model averaging

Cai, Zongwu; Ma, Chaoqun; Mi, Xianhua - 2020

Persistent link: https://www.econbiz.de/10012312856

Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction

Liao, Yin - 2012

Recent literature has focuses on realized volatility models to predict financial risk. This paper studies the benefit … of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized …

Persistent link: https://www.econbiz.de/10013105658

Multiple days ahead realized volatility forecasting : single, combined and average forecasts

Degiannakis, Stavros - In: Global finance journal 36 (2018), pp. 41-61

Persistent link: https://www.econbiz.de/10012125013

Model complexity and out-of-sample performance : evidence from S&P 500 index returns

Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of economic dynamics & control 90 (2018), pp. 1-29

Persistent link: https://www.econbiz.de/10011974016

Tail risk forecasting of realized volatility CAViaR models

Chen, Cathy W. S.; Hsu, Hsiao-Yun; Watanabe, Toshiaki - In: Finance research letters 51 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014304842

Dynamic asset allocation with ambiguous return predictability

Chen, Hui; Ju, Nengjiu; Miao, Jianjun - In: Review of economic dynamics 17 (2014) 4, pp. 799-823

Persistent link: https://www.econbiz.de/10011281431

Can oil prices help predict US stock market returns? : evidence using a dynamic model averaging (DMA) approach

Naser, Hanan; Alaali, Fatema - In: Empirical economics : a journal of the Institute for … 55 (2018) 4, pp. 1757-1777

Persistent link: https://www.econbiz.de/10011950311

Asset pricing model uncertainty and portfolio choice

Carrasco, Ignacio; Hansen, Erwin - In: Finance research letters 45 (2022), pp. 1-7

Persistent link: https://www.econbiz.de/10014576820

Monthly beta forecasting with low-, medium- and high-frequency stock returns

Cenesizoglu, Tolga; Liu, Qianqiu; Reeves, Jonathan J.; … - In: Journal of forecasting 35 (2016) 6, pp. 528-541

Persistent link: https://www.econbiz.de/10011595959

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