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Chicaroli, Rodrigo; Pereira, Pedro L. Valls - In: Journal of forecasting 34 (2015) 6, pp. 427-440

Persistent link: https://www.econbiz.de/10011342711

Modeling and forecasting realized volatility : evidence from Brazil

Wink Junior, Marcos Vinício; Pereira, Pedro L. Valls - In: Brazilian review of econometrics : BRE ; the review of … 31 (2011) 2, pp. 315-337

Persistent link: https://www.econbiz.de/10010402885

Previsão da produção industrial : indicadores antecedentes e modelos de série temporal

Markwald, Ricardo A. - In: Pesquisa e planejamento econômico : PPE 19 (1989) 2, pp. 233-253

Persistent link: https://www.econbiz.de/10001092077

Robustness and the general dynamic factor model with infinite-dimensional space : identification, estimation, and forecasting

Trucíos, Carlos; Mazzeu, João H. G.; Hotta, Luiz K.; … - In: International journal of forecasting 37 (2021) 4, pp. 1520-1534

Persistent link: https://www.econbiz.de/10013274311

Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach

Trucíos, Carlos; Mazzeu, João H. G.; Hallin, Marc; … - 2019

Persistent link: https://www.econbiz.de/10012064776

On the robustness of the general dynamic factor model with infinite-dimensional space : identification, estimation, and forecasting

Trucíos, Carlos; Mazzeu, João H. G.; Hotta, Luiz K.; … - 2019

Persistent link: https://www.econbiz.de/10012179660

Forecasting industrial production using its aggregated and disaggregated series or a combination of both : evidence from one emerging market economy

Prince, Diogo de; Marçal, Emerson Fernandes; Pereira, … - In: Econometrics : open access journal 10 (2022) 2, pp. 1-34

In this paper, we address whether using a disaggregated series or combining an aggregated and disaggregated series improves the forecasting of the aggregated series compared to using the aggregated series alone. We used econometric techniques, such as the weighted lag adaptive least absolute...

Persistent link: https://www.econbiz.de/10013355068

Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach

Trucíos, Carlos; Mazzeu, João H. G.; Hallin, Marc; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 40-52

Persistent link: https://www.econbiz.de/10013540629

Implied volatility forecasting : a comparison of different procedures including fractionally integrated models with applications to UK equity options

Hwang, Soosung; Satchell, Stephen - In: Forecasting volatility in the financial markets, (pp. 249-277). 2007

Persistent link: https://www.econbiz.de/10003872982

The disappearance of style in the US equity market

Hwang, Soosung; Satchell, Stephen - In: Applied financial economics 17 (2007) 7/9, pp. 597-613

Persistent link: https://www.econbiz.de/10003491204