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Real-time macroeconomic forecasting with a heteroscedastic inversion copula

Loiza-Maya, Ruben; Smith, Michael S. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 470-486

Persistent link: https://www.econbiz.de/10012262488

Deep distributional time series models and the probabilistic forecasting of intraday electricity prices

Klein, Nadja; Smith, Michael S.; Nott, David J. - In: Journal of applied econometrics 38 (2023) 4, pp. 493-511

Persistent link: https://www.econbiz.de/10014288014

Risk aggregation with copula for banking industry

Yoshiba, Toshinao - 2015

Persistent link: https://www.econbiz.de/10011375924

Day-ahead electricity price forecasting with high-dimensional structures : univariate vs. multivariate modeling frameworks

Ziel, Florian; Weron, Rafał - In: Energy economics 70 (2018), pp. 396-420

Persistent link: https://www.econbiz.de/10011942844

On the modelling and forecasting multivariate realized volatility : Generalized Heterogeneous Autoregressive (GHAR) model

Baruník, Jozef; Čech, František - 2014

We introduce a methodology for dynamic modelling and forecasting of realized covariance matrices based on generalization of the heterogeneous autoregressive model (HAR) for realized volatility. Multivariate extensions of popular HAR framework leave substantial information unmodeled in residuals....

Persistent link: https://www.econbiz.de/10010429957

Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction

Amendola, Alessandra; Storti, Giuseppe - In: Journal of forecasting 34 (2015) 2, pp. 83-91

Persistent link: https://www.econbiz.de/10011305317

On the modelling and forecasting of multivariate realized volatility : generalized heterogeneous autoregressive (GHAR) model

Čech, František; Baruník, Jozef - In: Journal of forecasting 36 (2017) 2, pp. 181-206

Persistent link: https://www.econbiz.de/10011729136

Forecasting crude oil and refined products volatilities and correlations : new evidence from fractionally integrated multivariate GARCH models

Marchese, Malvina; Kyriakou, Ioannis; Tamvakis, Michael; … - In: Energy economics 88 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012516745

Essays on long memory time series

Leschinski, Christian Hendrik - 2016

, Zeitreihenanalyse …

Persistent link: https://www.econbiz.de/10011559565

Essays on nonlinear and explosive time series : with applications to financial markets

Kaufmann, Hendrik - 2014

Bias correction, explosive behavior, non-linearity, model selection, persistence, specification testing. - Bias Korrektur, explosives Verhalten, Nichtlinearität, Modellselektion, Persistenz, Spezifikationstests

Persistent link: https://www.econbiz.de/10010395343