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Extended switiching regression models with time-varying probabilities for combining forecasts

Preminger, Arie; Ben-Zion, Uri; Wettstein, David - In: The European journal of finance 12 (2006) 6/7, pp. 455-472

Persistent link: https://www.econbiz.de/10003382811

Volatility forecasting of exchange rate by quantile regression

Huang, Alex; Peng, Sheng-pen; Li, Fangjhy; Ke, Ching-jie - In: International review of economics & finance : IREF 20 (2011) 4, pp. 591-606

Persistent link: https://www.econbiz.de/10009303959

Volatility forecasting using support vector regression and a hybrid genetic algorithm

Santamaría-Bonfil, Guillermo; Frausto-Solís, Juan; … - In: Computational economics 45 (2015) 1, pp. 111-133

Persistent link: https://www.econbiz.de/10010511334

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density … indices, the regression based evaluation strategy is compared with a recently proposed methodology based on likelihood ratio … tests. It is demonstrated that misspecifications of forecasting models can be detected within the proposed regression …

Persistent link: https://www.econbiz.de/10011431370

Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models

Gagliardini, Patrick; Ghysels, Eric; Rubin, Mirco - 2016 - This version: January 2, 2016

We examine the relationship between MIDAS regressions and the estimation of state space models applied to mixed frequency data. While in some cases the binding function is known, in general it is not, and therefore indirect inference is called for. The approach is appealing when we consider...

Persistent link: https://www.econbiz.de/10011518987