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Forecasting realized volatility : HAR against Principal Components Combining, neural networks and GARCH

Vortelinos, Dimitrios I. - In: Research in international business and finance 39 (2017), pp. 824-839

Persistent link: https://www.econbiz.de/10011912382

Intraday realised volatility forecasting and announcements

Vortelinos, Dimitrios I.; Gillas, Konstantinos Gkillas - In: International journal of banking, accounting and finance 9 (2018) 1, pp. 88-118

Persistent link: https://www.econbiz.de/10011955197

Forecasting inflation, industrial output and exchange rates : a template study for India

Thomakos, Dimitrios D.; Bhattacharya, Prasad S. - In: Indian economic review : biannual journal of the Delhi … 40 (2005) 2, pp. 145-165

Persistent link: https://www.econbiz.de/10003324537

Forecasting industry-level CPI and PPI inflation : does exchange rate pass-through matter?

Bhattacharya, Prasad S. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003354130

"Optimal" probabilistic and directional predictions of financial returns

Thomakos, Dimitrios D.; Wang, T'ao - In: Journal of empirical finance 17 (2010) 1, pp. 102-119

Persistent link: https://www.econbiz.de/10003943949

Improving forecasting performance by window and model averaging

Bhattacharya, Prasad S.; Thomakos, Dimitrios D. - 2011

This study presents extensive results on the benefits of rolling window and model averaging. Building on the recent work on rolling window averaging by Pesaran et al (2010, 2009) and on exchange rate forecasting by Molodtsova and Papell (2009), we explore whether rolling window averaging can be...