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Spatial dependence, idiosyncratic risk, and the valuation of disaggregated housing data
Simlai, Prodosh - In: The journal of real estate finance and economics 57 (2018) 2, pp. 192-230
Persistent link: https://www.econbiz.de/10012038861
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Model Selection and Testing of Conditional and Stochastic Volatility Models
Caporin, Massimiliano - 2010
criteria, and conditions for the existence of moments and asymptotic theory, as well as the out-of-sample model selection …
Persistent link: https://www.econbiz.de/10013138206
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Out-of-sample realized volatility forecasting : does the support vector regression compete combination methods
Zhang, Gaoxun; Qiao, Gaoxiu - In: Applied economics 53 (2021) 19, pp. 2192-2205
Persistent link: https://www.econbiz.de/10012501131
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A vector heterogeneous autoregressive index model for realized volatility measures
Cubadda, Gianluca; Guardabascio, Barbara; Hecq, Alain W. J. - In: International journal of forecasting 33 (2017) 2, pp. 337-344
Persistent link: https://www.econbiz.de/10011921023
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Estimation of variance of housing prices using spatial conditional heteroskedasticity (SARCH) model with an application to Boston housing price data
Simlai, Prodosh - In: The quarterly review of economics and finance : journal … 54 (2014) 1, pp. 17-30
Persistent link: https://www.econbiz.de/10010468803
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Spatial market inefficiency in housing market : a spatial quantile regression approach
Chae, Jiyoung; Bera, Anil K. - In: The journal of real estate finance and economics 69 (2024) 1, pp. 70-99
Persistent link: https://www.econbiz.de/10015080934
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Implied and realized volatility : empirical model selection
Zhang, Lan - In: Annals of finance 8 (2012) 2/3, pp. 259-275
Persistent link: https://www.econbiz.de/10009548090
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Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina; Teräsvirta, Timo - 2015
Persistent link: https://www.econbiz.de/10011373232
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Testing the parametric form of the volatility in continuous time diffusion models : a stochastic process approach
Dette, Holger; Podolskij, Mark - In: Journal of econometrics 143 (2008) 1, pp. 56-73
Persistent link: https://www.econbiz.de/10003722591
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Joint and marginal specification tests for conditional mean and variance models
Escanciano, J. Carlos - In: Journal of econometrics 143 (2008) 1, pp. 74-87
Persistent link: https://www.econbiz.de/10003722592