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isPartOf:"Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business"
subject:"Monte-Carlo-Simulation"
~isPartOf:"Journal of forecasting"
~language:"eng"
~subject:"ARCH-Modell"
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Monte-Carlo-Simulation
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Estimation theory
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Schätztheorie
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Forecasting model
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Journal of forecasting
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Econometric theory
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ECONIS (ZBW)
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1
Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun
;
Liu, Xiaoquan
;
Wen, Conghua
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
Saved in:
2
Forecasting Bitcoin volatility : a new insight from the threshold regression model
Zhang, Yaojie
;
He, Mengxi
;
Wen, Danyan
;
Wang, Yudong
- In:
Journal of forecasting
41
(
2022
)
3
,
pp. 633-652
Persistent link: https://www.econbiz.de/10013166172
Saved in:
3
The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models
Ardia, David
;
Kolly, Jeremy
;
Trottier, Denis‐Alexandre
- In:
Journal of forecasting
36
(
2017
)
7
,
pp. 808-823
Persistent link: https://www.econbiz.de/10011860735
Saved in:
4
Modeling and forecasting aggregate stock market volatility in unstable environments using mixture innovation regressions
Nonejad, Nima
- In:
Journal of forecasting
36
(
2017
)
6
,
pp. 718-740
Persistent link: https://www.econbiz.de/10011861413
Saved in:
5
Efficient multistep forecast procedures for multivariate time series
Jouini, Tarek
- In:
Journal of forecasting
34
(
2015
)
7
,
pp. 604-618
Persistent link: https://www.econbiz.de/10011390494
Saved in:
6
Estimating and forecasting APARCH-Skew-t model by wavelet support vector machines
Li, Yushu
- In:
Journal of forecasting
33
(
2014
)
4
,
pp. 259-269
Persistent link: https://www.econbiz.de/10010425754
Saved in:
7
Forecasting volatility with many predictors
Ke, Tsung-han
;
Hu, Yu-pin
- In:
Journal of forecasting
32
(
2013
)
8
,
pp. 743-754
Persistent link: https://www.econbiz.de/10010344461
Saved in:
8
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
Saved in:
9
Multivariate GARCH models with correlation clustering
So, Mike K. P.
;
Yip, Iris W. H.
- In:
Journal of forecasting
31
(
2012
)
5
,
pp. 443-468
Persistent link: https://www.econbiz.de/10009582107
Saved in:
10
A study of value-at-risk based on M-estimators of the conditional heteroscedastic models
Iqbal, Farhat
;
Mukherjee, Kanchan
- In:
Journal of forecasting
31
(
2012
)
5
,
pp. 377-390
Persistent link: https://www.econbiz.de/10009582118
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