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Dynamic adaptive mixture models with an application to volatility and risk
Catania, Leopoldo - In: Journal of financial econometrics 19 (2021) 4, pp. 531-564
Persistent link: https://www.econbiz.de/10012654970
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A stochastic volatility model with a general leverage specification
Catania, Leopoldo - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 678-689
Persistent link: https://www.econbiz.de/10013534044
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Predicting equity premium using dynamic model averaging : does the state-space representation matter?
Nonejad, Nima - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-34
Persistent link: https://www.econbiz.de/10012822226
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Predicting equity premium using news-based economic policy uncertainty : not all uncertainty changes are equally important
Nonejad, Nima - In: International review of financial analysis 77 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012805880
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An observation regarding Hamilton’s recent criticisms of Kilian’s global real economic activity index
Nonejad, Nima - In: Economics letters 196 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012510927
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Using the conditional volatility channel to improve the accuracy of aggregate equity return predictions
Nonejad, Nima - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 973-1009
Persistent link: https://www.econbiz.de/10012616915
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The price of crude oil and (conditional) out-of-sample predictability of world industrial production
Nonejad, Nima - In: Journal of commodity markets 23 (2021), pp. 1-33
Persistent link: https://www.econbiz.de/10012879030
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Bayesian model averaging and the conditional volatility process : an application to predicting aggregate equity returns by conditioning on economic variables
Nonejad, Nima - In: Quantitative finance 21 (2021) 8, pp. 1387-1411
Persistent link: https://www.econbiz.de/10012608655
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Crude oil price point forecasts of the Norwegian GDP growth rate
Nonejad, Nima - In: Empirical economics : a quarterly journal of the … 61 (2021) 5, pp. 2913-2930
Persistent link: https://www.econbiz.de/10012664660
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Crude oil price volatility and short-term predictability of the real U.S. GDP growth rate
Nonejad, Nima - In: Economics letters 186 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012503762