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Crude oil price volatility and short-term predictability of the real U.S. GDP growth rate

Nonejad, Nima - In: Economics letters 186 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012503762

Déjà vol oil? : predicting S&P 500 equity premium using crude oil price volatility : evidence from old and recent time-series data

Nonejad, Nima - In: International review of financial analysis 58 (2018), pp. 260-270

Persistent link: https://www.econbiz.de/10012006463

Forecasting aggregate stock market volatility using financial and macroeconomic predictors : Which models forecast best, when and why?

Nonejad, Nima - In: Journal of empirical finance 42 (2017), pp. 131-154

Persistent link: https://www.econbiz.de/10011808557

Forecasting aggregate equity return volatility using crude oil price volatility : The role of nonlinearities and asymmetries

Nonejad, Nima - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-20

Persistent link: https://www.econbiz.de/10012203664

Crude oil price volatility and equity return predictability : a comparative out-of-sample study

Nonejad, Nima - In: International review of financial analysis 71 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012436278

Forecasting crude oil price volatility out-of-sample using news-based geopolitical risk index : what forms of nonlinearity help improve forecast accuracy the most?

Nonejad, Nima - In: Finance research letters 46 (2022) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10013341402

A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory

Nonejad, Nima - School of Economics and Management, University of Aarhus - 2013

We propose a flexible model to describe nonlinearities and long-range dependence in time series dynamics. Our model is an extension of the heterogeneous autoregressive model. Structural breaks occur through mixture distributions in state innovations of linear Gaussian state space models. Monte...

Persistent link: https://www.econbiz.de/10010851263