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Correlation shrinkage : implications for risk forecasting
Menchero, Jose; Li, Peng - In: Journal of investment management : JOIM 18 (2020) 3, pp. 92-108
Persistent link: https://www.econbiz.de/10012589102
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Backtesting and estimation error : value-at-risk overviolation rate
Tsafack, Georges; Cataldo, James M. - In: Empirical economics : a quarterly journal of the … 61 (2021) 3, pp. 1351-1396
Persistent link: https://www.econbiz.de/10012616952
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Portfolio optimization under Expected Shortfall : contour maps of estimation error
Caccioli, Fabio; Kondor, Imre; Papp, Gábor - In: Quantitative finance 18 (2018) 8, pp. 1295-1313
Persistent link: https://www.econbiz.de/10011911538
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Can portfolio risk be described with estimates of financial risk tolerance calibration?
Rabbani, Abed G.; Grable, John E. - In: Finance research letters 46 (2022) 2, pp. 1-7
Persistent link: https://www.econbiz.de/10013342753
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Efficient forecasts or measurement errors? : some evidence for revisions to the United Kingdom GDP
Patterson, K. D.; Heravi, S. M. - 1990
Persistent link: https://www.econbiz.de/10000131193
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Nonparametric prediction in measurement error models
Carroll, Raymond J.; Delaigle, Aurore; Hall, Peter - In: Journal of the American Statistical Association : JASA 104 (2009) 487, pp. 993-1014
Persistent link: https://www.econbiz.de/10003902770
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Human judgement is heavy tailed : empirical evidence and implications for the aggregation of estimates and forecasts
Lobo, Miguel Sousa; Yao, Dai - 2010
Persistent link: https://www.econbiz.de/10008807692
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Efficient estimation of forecast uncertainty based on recent forecast errors
Knüppel, Malte - In: International journal of forecasting 30 (2014) 2, pp. 257-267
Persistent link: https://www.econbiz.de/10010510940
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The predictive performance evaluation of biased regression predictors with correlated errors
Dawoud, Issam; Kaçiranlar, Selahattin - In: Journal of forecasting 34 (2015) 5, pp. 364-378
Persistent link: https://www.econbiz.de/10011318323
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Small-sample properties of estimators in an ARCH(1) and GARCH(1,1) model with a generalized error distribution : a robustness study
Pauly, Ralf; Kosater, Peter - 2005
article, we assess the small sample properties in estimation and the performance in volatility forecasting of four competing …
Persistent link: https://www.econbiz.de/10009660996