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Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility

Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - 2013

Persistent link: https://www.econbiz.de/10009724167

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Asai, Manabu; McAleer, Michael - 2014

forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures …

Persistent link: https://www.econbiz.de/10010259630

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Asai, Manabu; McAleer, Michael - In: Journal of econometrics 189 (2015) 2, pp. 251-262

Persistent link: https://www.econbiz.de/10011504522

Short-Term GDP Forecasting with a Mixed Frequency Dynamic Factor Model with Stochastic Volatility

Marcellino, Massimiliano Giuseppe - 2014

In this paper we develop a mixed frequency dynamic factor model featuring stochastic shifts in the volatility of both … volatility contributes to an improvement in density forecast accuracy …

Persistent link: https://www.econbiz.de/10013064512

Short-term GDP forecasting with a mixed-frequency dynamic factor model with stochastic volatility

Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 118-127

Persistent link: https://www.econbiz.de/10011691233

Nowcasting GDP with a pool of factor models and a fast estimation algorithm

Eraslan, Sercan; Schröder, Maximilian - In: International journal of forecasting 39 (2023) 3, pp. 1460-1476

Persistent link: https://www.econbiz.de/10014465295

Examining realized volatility regimes under a threshold stochastic volatility model

Xu, Dinghai - In: International journal of finance & economics : IJFE 17 (2012) 4, pp. 373-389

Persistent link: https://www.econbiz.de/10009689475

New volatility models under a Bayesian perspective : a case study

Cuervo, Edilberto Cepeda; Achcar, Jorge Alberto; … - In: Economia aplicada : EA 18 (2014) 2, pp. 179-197

Persistent link: https://www.econbiz.de/10011449738

Allowing for jump measurements in volatility : a high-frequency financial data analysis of individual stocks

Papavassiliou, Vassilios G. - In: Bulletin of economic research 68 (2016) 2, pp. 124-132

Persistent link: https://www.econbiz.de/10011496410

[Rezension von: Mallios, William S., The analysis of sports forecasting: modeling parallels between sports gambling and financial markets]

Malkiel, Burton G. - In: Journal of economic literature 39 (2001) 3, pp. 945-946

Persistent link: https://www.econbiz.de/10001612432

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