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Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange
Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. A. - 1998
Persistent link: https://www.econbiz.de/10000998139
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Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange
Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - 1998
Persistent link: https://www.econbiz.de/10000682409
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James-Stein type estimators in large samples with application to the least absolute deviation estimator
Kim, Tae-Hwan; White, Halbert - 1999
Persistent link: https://www.econbiz.de/10001366190
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Special issue on the predictability of asset returns
Bekaert, Geert (contributor) - 2001
Persistent link: https://www.econbiz.de/10001655349
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High-frequency data, frequency domain inference, and volatility forecasting
Bollerslev, Tim; Wright, Jonathan H. - In: The review of economics and statistics 83 (2001) 4, pp. 596-602
Persistent link: https://www.econbiz.de/10001627219
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Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange
Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. A. - 1999
Persistent link: https://www.econbiz.de/10001426216
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High frequency data, frequency domain inference and volatility forecasting
Wright, Jonathan H.; Bollerslev, Tim - 1999
Persistent link: https://www.econbiz.de/10001433207
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Confidence intervals for long-horizon predictive regressions via reverse regressions
Wei, Min; Wright, Jonathan H. - 2009
Persistent link: https://www.econbiz.de/10003867244
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Predicting glocal stock returns
Hjalmarsson, Erik - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 1, pp. 49-80
Persistent link: https://www.econbiz.de/10003984411
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Parameter estimation and forecasting for multiplicative lognormal cascades
Leövey, Andrés E.; Lux, Thomas - 2011
We study the well-known multiplicative Lognormal cascade process in which the multiplication of Gaussian and Lognormally distributed random variables yields time series with intermittent bursts of activity. Due to the non-stationarity of this process and the combinatorial nature of such a...
Persistent link: https://www.econbiz.de/10009389845