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Value at risk forecasts by extreme value models in a conditional duration framework

Herrera, Rodrigo; Schipp, Bernhard - In: Journal of empirical finance 23 (2013), pp. 33-47

Persistent link: https://www.econbiz.de/10010221789

Forecasting security returns : the use of heterogeneous expectations

Abraham, Rebecca; Harrington, Charles W. - In: Advances in business and management forecasting 4 (2006), pp. 93-115

Persistent link: https://www.econbiz.de/10003751340

Asset pricing with persistence risk

Andrei, Daniel; Hasler, Michael; Jeanneret, Alexandre - In: The review of financial studies 32 (2019) 7, pp. 2809-2849

Persistent link: https://www.econbiz.de/10012033891

Turn, turn, turn : predicting turning points in economic activity

Del Negro, Marco - In: Economic review 86 (2001) 2, pp. 1-12

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The well-meaning economist

Gorajek, Adam - 2019

Persistent link: https://www.econbiz.de/10013262771

A model for forecasting sectoral energy demand

Reed, John Gordon - 1990

Persistent link: https://www.econbiz.de/10000863194

Modeling and forecasting persistent financial durations

Zikes, Filip; Baruník, Jozef; Shenai, Nikhil - 2015

This paper introduces the Markov-Switching Multifractal Duration (MSMD) model by adapting the MSM stochastic volatility … model of Calvet and Fisher (2004) to the duration setting. Although the MSMD process is exponential ß-mixing as we show in … asymptotic normality for general MSMD specifications. We show that the Whittle estimation is a computationally simple and fast …

Persistent link: https://www.econbiz.de/10010499581

Using a wage-price-setting model to forecast US inflation

Nguyen Duc Do - In: Journal of forecasting 44 (2025) 2, pp. 803-832

Persistent link: https://www.econbiz.de/10015374087

Forecasting asset returns using Nelson-Siegel factors estimated from the US yield curve

Guidolin, Massimo; Ionta, Serena - In: Econometrics : open access journal 13 (2025) 2, pp. 1-36

This paper explores the hypothesis that the returns of asset classes can be predicted using common, systematic risk factors represented by the level, slope, and curvature of the US interest rate term structure. These are extracted using the Nelson-Siegel model, which effectively captures the...

Persistent link: https://www.econbiz.de/10015437122

Prices and expectations : essays in international finance and monetary economics

Wang, Likun - 2015

Persistent link: https://www.econbiz.de/10011391315