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Semiparametric estimation for financial durations

Rodríguez Poo, Juan Manuel; Veredas, David; Pohlmeier, … - In: High frequency financial econometrics : recent …, (pp. 225-251). 2008

Persistent link: https://www.econbiz.de/10003579359

A comparison of financial duration models via density forecasts

Bauwens, Luc; Giot, Pierre; Grammig, Joachim; Veredas, David - In: International journal of forecasting 20 (2004) 4, pp. 589-609

Persistent link: https://www.econbiz.de/10002434252

A comparison of financial duration models via density forecasts

Bauwens, Luc; Giot, Pierre; Grammig, Joachim; Veredas, David - 2000

Persistent link: https://www.econbiz.de/10001555045

Macroeconomic surprises and short-term behaviour in bond futures

Veredas, David - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 843-866

Persistent link: https://www.econbiz.de/10003233767

Econometric modelling of financial durations

Veredas, David - 2002

Persistent link: https://www.econbiz.de/10001724068

Macro surprises and short-term behaviour in bond futures

Durenard, Eugene; Veredas, David - 2002

Persistent link: https://www.econbiz.de/10001696218

A Monthly Volatility Index for the US Real Economy

Frale, Cecilia - 2009

We estimate the monthly volatility of the US economy from 1959 to 2008 by extending the factor model of Stock and Watson (1991). The volatility of the factor, which we call VOLINX, has three applications.First, it measures the changes in uncertainty in the economy. VOLINX captures the decrease...

Persistent link: https://www.econbiz.de/10012720729

Systemic risk in the US : interconnectedness as a circuit breaker

Dungey, Mardi H.; Luciani, Matteo; Veredas, David - In: Economic modelling 71 (2018), pp. 305-315

Persistent link: https://www.econbiz.de/10012062528

Microeconometrics and disclosure control

Pohlmeier, Winfried; Ronning, Gerd - In: Advances in statistical analysis : AStA ; a journal of … 92 (2008) 4, pp. 351-357

Persistent link: https://www.econbiz.de/10003787279

A Multivariate Integer Count Hurdle model : theory and application to exchange rate dynamics

Korycka-Bień, Katarzyna (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003449930