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Liquidity and realized covariance forecasting : a hybrid method with model uncertainty

Qiao, Gaoxiu; Cao, Yangli; Ma, Feng; Li, Weiping - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 437-463

Persistent link: https://www.econbiz.de/10014226295

Time-varying window length for correlation forecasts

Jeon, Yoontae; McCurdy, Thomas H. - In: Econometrics 5 (2017) 4, pp. 1-29

risk management decisions. Correlation forecasts are affected by model uncertainty, the sources of which can include …

Persistent link: https://www.econbiz.de/10011995202

Machine learning risk models

Kakushadze, Zura; Yu, Willie - In: Journal of risk & control 6 (2019) 1, pp. 37-64

Persistent link: https://www.econbiz.de/10012237599

Individual and combination approaches to forecasting hierarchical time series with correlated data : an empirical study

Ur Rehman, Hakeem; Wan, Guohua; Ullah, Azmat; Shaukat, … - In: Journal of management analytics 6 (2019) 3, pp. 231-249

Persistent link: https://www.econbiz.de/10012171429

Forecasting spatially correlated targets : simultaneous prediction of housing market activity across multiple areas

Lee, Changro - In: International journal of strategic property management 26 (2022) 2, pp. 119-126

Persistent link: https://www.econbiz.de/10013415671

Last night a shrinkage saved my life : economic growth, model uncertainty and correlated regressors

Hofmarcher, Paul; Crespo Cuaresma, Jesús; Grün, Bettina; … - In: Journal of forecasting 34 (2015) 2, pp. 133-144

Persistent link: https://www.econbiz.de/10011305284

Is implied correlation worth calculating? : Evidence from foreign exchange options and historical data

Walter, Christian; López Marín, José Alberto - 1997

Persistent link: https://www.econbiz.de/10001380840

Measuring risk in fixed income portfolios using yield curve models

Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Computational economics 46 (2015) 1, pp. 65-82

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A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper

Gribisch, Bastian - 2013

This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...

Persistent link: https://www.econbiz.de/10010341025

Testing for multiple-period predictability between serially dependent time series

Heaton, Christopher - In: International journal of forecasting 31 (2015) 3, pp. 587-597

Persistent link: https://www.econbiz.de/10011474421

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