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Allen, David E.; McAleer, Michael; Scharth, Marcel - 2013

Persistent link: https://www.econbiz.de/10009784942

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2014 - This version: June 2014

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

Persistent link: https://www.econbiz.de/10010366935

Asymmetric realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 80-109

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

Persistent link: https://www.econbiz.de/10011553303

A conditionally heteroskedastic global inflation model

Morales-Arias, Leonardo; Moura, Guilherme Valle - In: Journal of economic studies 40 (2013) 4, pp. 572-596

Persistent link: https://www.econbiz.de/10010208917

R-estimation in semiparametric dynamic location-scale models

Hallin, Marc; La Vecchia, Davide - In: Journal of econometrics 196 (2017) 2, pp. 222-247

Persistent link: https://www.econbiz.de/10011818285

Adaptive order flow forecasting with multiplicative error models

Härdle, Wolfgang; Mihoci, Andrija; Ting, Christopher … - 2014

A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...

Persistent link: https://www.econbiz.de/10010374563