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Short-term GDP forecasting with a mixed-frequency dynamic factor model with stochastic volatility

Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 118-127

Persistent link: https://www.econbiz.de/10011691233

Nowcasting GDP with a pool of factor models and a fast estimation algorithm

Eraslan, Sercan; Schröder, Maximilian - In: International journal of forecasting 39 (2023) 3, pp. 1460-1476

Persistent link: https://www.econbiz.de/10014465295

Detection of multiple structural breaks in large covariance matrices

Li, Yu-Ning; Li, Degui; Fryzlewicz, Piotr - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 846-861

Persistent link: https://www.econbiz.de/10014448448

Affine term structure model with macroeconomic factors : do no-arbitrage restriction and macroeconomic factors imply better out-of-sample forecasts?

Ullah, Wali - In: Journal of forecasting 35 (2016) 4, pp. 329-346

Persistent link: https://www.econbiz.de/10011580766

Tangent portfolio weights without explicitly specified expected returns

Glabadanidis, Paskalis - In: The journal of asset management 15 (2014) 3, pp. 177-190

Persistent link: https://www.econbiz.de/10010415936

An enhanced factor model for portfolio selection in high dimensions

Shi, Fangquan; Shu, Lianjie; Gu, Xinhua - In: Journal of financial econometrics 22 (2024) 1, pp. 94-118

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Singular conditional autoregressive Wishart model for realized covariance matrices

Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - 2021

Persistent link: https://www.econbiz.de/10012603081

Singular conditional autoregressive Wishart model for realized covariance matrices

Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 833-845

Persistent link: https://www.econbiz.de/10014448443

Bivariate volatility modeling with high-frequency data

Matei, Marius; Rovira, Xari; Agell, Núria - In: Econometrics : open access journal 7 (2019) 3/41, pp. 1-15

leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that … volatility information improves the day volatility estimation. The results indicate a forecasting improvement using bivariate …We propose a methodology to include night volatility estimates in the day volatility modeling problem with high …

Persistent link: https://www.econbiz.de/10012160811

Long-run wavelet-based correlation for financial time series

Conlon, Thomas; Cotter, John; Gençay, Ramazan - In: European journal of operational research : EJOR 271 (2018) 2, pp. 676-696

Persistent link: https://www.econbiz.de/10011890368