Similar Search Results

Exploiting the errors : a simple approach for improved volatility forecasting

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of econometrics 192 (2016) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10011610646

Estimation of copula models for time series of possibly different lenghts

Patton, Andrew J. - 2001

Persistent link: https://www.econbiz.de/10001637762

Optimal combinations of realised volatility estimators

Patton, Andrew J.; Sheppard, Kevin - In: International journal of forecasting 25 (2009) 2, pp. 218-238

Persistent link: https://www.econbiz.de/10003870045

Data-based ranking of realised volatility estimators

Patton, Andrew J. - In: Journal of econometrics 161 (2011) 2, pp. 284-303

Persistent link: https://www.econbiz.de/10009242129

Dynamic factor copula models with estimated cluster assignments

Oh, Dong Hwan; Patton, Andrew J. - 2021 - This draft: 21 January 2021

Persistent link: https://www.econbiz.de/10012608826

Bootstrapping two-stage quasi-maximum likelihood estimators of time series models

Gonçalves, Sílvia; Hounyo, Ulrich; Patton, Andrew J.; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 683-694

Persistent link: https://www.econbiz.de/10014448421

A consistent specification test for dynamic quantile models

Horvath, Peter; Li, Jia; Liao, Zhipeng; Patton, Andrew J. - In: Quantitative economics : QE ; journal of the … 13 (2022) 1, pp. 125-151

Correct specification of a conditional quantile model implies that a particular conditional moment is equal to zero. We nonparametrically estimate the conditional moment function via series regression and test whether it is identically zero using uniform functional inference. Our approach is...

Persistent link: https://www.econbiz.de/10012807744

Forecasting transaction rates : the autoregressive conditional duration model

Engle, Robert F.; Russell, Jeffrey R. - 1994

Persistent link: https://www.econbiz.de/10000147454

ARCH models

Bollerslev, Tim; Engle, Robert F.; Nelson, Daniel B. - 1993

Persistent link: https://www.econbiz.de/10000899195

Forecasting transaction rates : the autoregressive conditional duration model

Engle, Robert F.; Russell, Jeffrey R. - 1994

Persistent link: https://www.econbiz.de/10000904213