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Volatility forecast comparison...
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Forecasting model
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Patton, Andrew J.
201
Timmermann, Allan
29
Bollerslev, Tim
23
Oh, Dong Hwan
21
Quaedvlieg, Rogier
15
Sheppard, Kevin
14
Ramadorai, Tarun
12
Engle, Robert F.
8
Verardo, Michela
8
Fan, Yanqin
7
Teräsvirta, Timo
7
Li, Jia
6
Weller, Brian M.
5
Chen, Xiaohong
4
Granger, C. W. J.
4
Wang, Wenjing
4
Dimitriadis, Timo
3
Granger, Clive W.J.
3
Liu, Lily Y.
3
Medeiros, Marcelo C.
3
Schmidt, Patrick W.
3
Streatfield, Michael
3
Zhang, Haozhe
3
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2
Chen, Rui
2
De Lira Salvatierra, Irving
2
De Lira Salvatierra, Irving Arturo
2
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2
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2
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2
Kruttli, Mathias
2
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2
Liao, Zhipeng
2
PATTON, ANDREW J.
2
RAMADORAI, TARUN
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2
Ziegel, Johanna F.
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Journal of econometrics
19
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9
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8
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7
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5
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3
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2
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2
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2
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2
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1
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Forecasting volatility in the financial markets
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ECONIS (ZBW)
137
RePEc
45
OLC EcoSci
14
BASE
4
EconStor
3
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31
Forecast rationality tests based on multi-horizon bounds
Patton, Andrew J.
;
Timmermann, Allan
- In:
Journal of business & economic statistics : JBES ; a …
30
(
2012
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10009558975
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32
Change you can believe in? : hedge fund data revisions
Patton, Andrew J.
;
Ramadorai, Tarun
;
Streatfield, Michael
-
2012
Persistent link: https://www.econbiz.de/10009526526
Saved in:
33
On the high-frequency dynamics of hedge fund risk exposures
Patton, Andrew J.
;
Ramadorai, Tarun
-
2011
Persistent link: https://www.econbiz.de/10009259679
Saved in:
34
Copulas in econometrics
Fan, Yanqin
;
Patton, Andrew J.
- In:
Annual review of economics
6
(
2014
),
pp. 179-200
Persistent link: https://www.econbiz.de/10011380011
Saved in:
35
Good volatility, bad volatility : signed jumps and the persistence of volatility
Patton, Andrew J.
;
Sheppard, Kevin
- In:
The review of economics and statistics
97
(
2015
)
3
,
pp. 683-697
Persistent link: https://www.econbiz.de/10011333073
Saved in:
36
Change you can believe in? : hedge fund data revisions
Patton, Andrew J.
;
Ramadoral, Tarun
;
Streatfield, Michael
- In:
The journal of finance : the journal of the American …
70
(
2015
)
3
,
pp. 963-999
Persistent link: https://www.econbiz.de/10011317973
Saved in:
37
On the high-frequency dynamics of hedge fund risk exposures
Patton, Andrew J.
;
Ramadorai, Tarun
- In:
The journal of finance : the journal of the American …
68
(
2013
)
2
,
pp. 597-635
Persistent link: https://www.econbiz.de/10009730850
Saved in:
38
Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes
Liu, Lily Y.
;
Patton, Andrew J.
;
Sheppard, Kevin
-
2013
Persistent link: https://www.econbiz.de/10009732799
Saved in:
39
Does beta move with news? : firm-specific information flows and learning about profitability
Patton, Andrew J.
;
Verardo, Michela
- In:
The review of financial studies
25
(
2012
)
9
,
pp. 2789-2839
Persistent link: https://www.econbiz.de/10009630188
Saved in:
40
Daily house price indexes : construction, modeling, and longer-run predictions
Bollerslev, Tim
;
Patton, Andrew J.
;
Wang, Wenjing
-
2013
Persistent link: https://www.econbiz.de/10010231930
Saved in:
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