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Copula methods for forecasting multivariate time series
Patton, Andrew J. - 2013
Persistent link: https://www.econbiz.de/10011507033
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Explaining the stock-stock, bond-bond and stock-bond correlation across countries
McMillan, David G. - In: International journal of monetary economics and finance … 13 (2020) 5, pp. 429-445
Persistent link: https://www.econbiz.de/10012515166
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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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Empirical model for forecasting exchange rate dynamics : the GO-GARCH approach
Isenah, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 7 (2016) 1, pp. 179-208
The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and...
Persistent link: https://www.econbiz.de/10011534717
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Copula-based models for financial time series
Patton, Andrew J. - In: Handbook of financial time series, (pp. 767-785). 2009
Persistent link: https://www.econbiz.de/10003834225
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Evaluating volatility and correlation forecasts
Patton, Andrew J.; Sheppard, Kevin - In: Handbook of financial time series, (pp. 801-838). 2009
Persistent link: https://www.econbiz.de/10003834236
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The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo; Engle, Robert F. - 2009
frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long … that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low …
Persistent link: https://www.econbiz.de/10003821063
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Essays on financial econometrics
Marcucci, Juri - 2005
Persistent link: https://www.econbiz.de/10003384566
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Forecasting time-varying covariance with a range-based dynamic conditional correlation model
Chou, Ray Yeutien; Wu, Chun-chou; Liu, Nathan - In: Review of quantitative finance and accounting 33 (2009) 4, pp. 327-345
This paper proposes a range-based dynamic conditional correlation (DCC) model combined by the return-based DCC model … and the conditional autoregressive range (CARR) model. The substantial gain in efficiency of volatility estimation can …
Persistent link: https://www.econbiz.de/10003927245
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Real options approach-based demand forecasting method for a range of products with highly volatile and correlated demand
Huang, Ming-guan - In: European journal of operational research : EJOR 198 (2009) 3, pp. 867-877
Persistent link: https://www.econbiz.de/10003857921