Similar Search Results - EconBiz

Forecasting random walks under drift instability

Pesaran, M. Hashem; Pick, Andreas - 2008

Persistent link: https://www.econbiz.de/10003850869

Forecasting random walks under drift instability

Pesaran, M. Hashem (contributor); Pick, Andreas (contributor) - 2008

Persistent link: https://www.econbiz.de/10003711763

Forecasting random walks under drift instability

Pesaran, M. Hashem; Pick, Andreas - 2009

Persistent link: https://www.econbiz.de/10003816240

Forecasting Random Walks under Drift Instability

Pesaran, M. Hashem - 2011

This paper considers forecast averaging when the same model is used but estimation is carried out over different estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or more structural breaks. It is shown that compared to...

Persistent link: https://www.econbiz.de/10012714199

Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem - 2011

This paper considers forecast averaging when the same model is used but estimation is carried out over different estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or more structural breaks. It is shown that compared to...

Persistent link: https://www.econbiz.de/10012756639

Forecasting random walks under drift instability

Pesaran, Mohammad Hashem; Pick, Andreas - 2008

This paper considers forecast averaging when the same model is used but estimation is carried out over different estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or more structural breaks. It is shown that compared to...

Persistent link: https://www.econbiz.de/10010276222

On the volatility and efficiency of stock prices

Pesaran, M. Hashem - 1989

Persistent link: https://www.econbiz.de/10000127642

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, M. Hashem - 2010

Persistent link: https://www.econbiz.de/10003981032

Model Averaging in Risk Management with an Application to Futures Markets

Pesaran, M. Hashem (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003641741

Model averaging in risk management with an application to futures markets

Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - In: Journal of empirical finance 16 (2009) 2, pp. 280-305

Persistent link: https://www.econbiz.de/10003839329

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