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Oracle efficient estimation and forecasting with the adaptive Lasso and the adaptive group Lasso in vector autoregressions

Callot, Laurent A. F.; Kock, Anders Bredahl - In: Essays in nonlinear time series econometrics, (pp. 238-266). 2014

Persistent link: https://www.econbiz.de/10010385848

Penalized estimation of semi-parametric additive time-series models

Medeiros, Marcelo C.; Mendes, Eduardo F. - In: Essays in nonlinear time series econometrics, (pp. 215-237). 2014

Persistent link: https://www.econbiz.de/10010385850

Forecasting volatility of stock indices with ARCH model

Alam, Md. Zahangir; Siddikee, Md. Noman; Masukujjaman, Md. - In: International journal of financial research 4 (2013) 2, pp. 126-143

Persistent link: https://www.econbiz.de/10010205105

Realized volatility forecasting in the presence of time-varying noise

Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 3, pp. 331-345

Persistent link: https://www.econbiz.de/10009785979

Applying the generalized autoregressive conditional Heteroskedastic model to analyze and forecast the field failure data of repairable systems

Liang, Yi-hui - In: International journal of quality & reliability management 30 (2013) 7, pp. 737-750

Persistent link: https://www.econbiz.de/10009788883

Long-horizon return regressions with historical volatility and other long-memory variables

Sizova, Natalia - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 546-559

Persistent link: https://www.econbiz.de/10010337850

Econometric models or smoothing exponential techniques to predict macroceconomic indicators in Romania

Bratu, Mihaela - In: Zagreb international review of economics & business 15 (2012) 2, pp. 87-100

Persistent link: https://www.econbiz.de/10010340612

Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions

Pan, Li; Politis, Dimitris N. - 2014

Persistent link: https://www.econbiz.de/10010370899

Forecasting simultaneously high-dimensional time series : a robust model-based clustering approach

Wang, Yongning; Tsay, Ruey S.; Ledolter, Johannes; … - In: Journal of forecasting 32 (2013) 8, pp. 673-684

Persistent link: https://www.econbiz.de/10010344465

Matrix Box-Cox models for multivariate realized volatility

Weigand, Roland - 2014

We propose exible models for multivariate realized volatility dynamics which involve generalizations of the Box-Cox transform to the matrix case. The matrix Box-Cox model of realized covariances (MBC-RCov) is based on transformations of the covariance matrix eigenvalues, while for the Box-Cox...

Persistent link: https://www.econbiz.de/10010344500

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