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Stock index returns' density prediction using GARCH models : frequentist or Bayesian estimation?
Hoogerheide, Lennart F.; Ardia, David; Corré, Nienke - 2011
Persistent link: https://www.econbiz.de/10008824705
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Tactical industry allocation and model uncertainty
Ammann, Manuel (contributor); Verhofen, Michael (contributor) - 2007
Persistent link: https://www.econbiz.de/10003674166
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Seasonal Mackey-Glass-GARCH process and short-term dynamics
Kyrtsou, Catherine; Terraza, Michel - In: Empirical economics : a journal of the Institute for … 38 (2010) 2, pp. 325-345
Persistent link: https://www.econbiz.de/10003943201
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Bayesian portfolio selection under a multifactor asset return model with predictive model selection
Ando, Tomohiro - In: Global business & economics review 14 (2012) 1/2, pp. 77-101
Persistent link: https://www.econbiz.de/10009489602
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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
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Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction
Amendola, Alessandra; Storti, Giuseppe - In: Journal of forecasting 34 (2015) 2, pp. 83-91
Persistent link: https://www.econbiz.de/10011305317
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Exploiting common features in macroeconomic and financial data
Çakmaklı, Cem - 2012
Persistent link: https://www.econbiz.de/10009713424
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On the modelling and forecasting multivariate realized volatility : Generalized Heterogeneous Autoregressive (GHAR) model
Baruník, Jozef; Čech, František - 2014
We introduce a methodology for dynamic modelling and forecasting of realized covariance matrices based on generalization of the heterogeneous autoregressive model (HAR) for realized volatility. Multivariate extensions of popular HAR framework leave substantial information unmodeled in residuals....
Persistent link: https://www.econbiz.de/10010429957
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Stock return predictability : a Bayesian model selection perspective
Cremers, K. J. Martijn - In: The review of financial studies 15 (2002) 4, pp. 1223-1249
Persistent link: https://www.econbiz.de/10001716094
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Implementing statistical criteria to select return forecasting models : what do we learn?
Bossaerts, Peter L.; Hillion, Pierre Henri - In: The review of financial studies 12 (1999) 2, pp. 405-428
Persistent link: https://www.econbiz.de/10001421811