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subject:"Börsenkurs"
subject:"Estimation"
~isPartOf:"Journal of forecasting"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
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Börsenkurs
Estimation
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Dynamic forecasting for nonstationary high-frequency financial data with jumps based on series decomposition and reconstruction
Song, Yuping
;
Li, Zhenwei
;
Ma, Zhiren
;
Sun, Xiaoyu
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1055-1068
Persistent link: https://www.econbiz.de/10014338810
Saved in:
2
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:
3
Large covariance estimation using a factor model with common and group-specific factors
Shi, Yafeng
;
Ai, Chunrong
;
Shi, Yanlong
;
Ying, Tingting
; …
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 2217-2248
Persistent link: https://www.econbiz.de/10014432877
Saved in:
4
Optimal forecast error as an unbiased estimator of abnormal return : a proposition
Enginar, Onur
;
Atici, Kazim Baris
- In:
Journal of forecasting
41
(
2022
)
1
,
pp. 158-166
Persistent link: https://www.econbiz.de/10012796281
Saved in:
5
Benchmarking global optimizers
Arnoud, Antoine
;
Guvenen, Fatih
;
Kleineberg, Tatjana
-
2019
Persistent link: https://www.econbiz.de/10012128867
Saved in:
6
Identifying price informativeness
Dávila, Eduardo
;
Parlatore, Cecilia
-
2018
Persistent link: https://www.econbiz.de/10011953651
Saved in:
7
Production function estimation with measurement error in inputs
Collard-Wexler, Allan
;
De Loecker, Jan
-
2016
Persistent link: https://www.econbiz.de/10011522258
Saved in:
8
External validity in a stochastic world
Rosenzweig, Mark Richard
;
Udry, Christopher
-
2016
Persistent link: https://www.econbiz.de/10011523956
Saved in:
9
A unified approach to estimating demand and welfare
Redding, Stephen
;
Weinstein, David E.
-
2016
Persistent link: https://www.econbiz.de/10011528557
Saved in:
10
Adaptive interest rate modelling
Guo, Mengmeng
;
Härdle, Wolfgang
- In:
Journal of forecasting
36
(
2017
)
3
,
pp. 241-256
Persistent link: https://www.econbiz.de/10011729251
Saved in:
11
Short‐term stock price prediction based on limit order book dynamics
An, Yang
;
Chan, Ngai Hang
- In:
Journal of forecasting
36
(
2017
)
5
,
pp. 541-556
Persistent link: https://www.econbiz.de/10011860685
Saved in:
12
Backtesting value‐at‐risk : a generalized Markov test
Pajhede, Thor
- In:
Journal of forecasting
36
(
2017
)
5
,
pp. 597-613
Persistent link: https://www.econbiz.de/10011860704
Saved in:
13
Robust estimation of conditional variance of time series using density power divergences
Park, Jin‐Hong
;
Sriram, T. N.
- In:
Journal of forecasting
36
(
2017
)
6
,
pp. 703-717
Persistent link: https://www.econbiz.de/10011861411
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14
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:
15
Rethinking performance evaluation
Harvey, Campbell R.
;
Liu, Yan
-
2016
Persistent link: https://www.econbiz.de/10011460434
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16
Predicting stock return volatility : can we benefit from regression models for return intervals?
Fischer, Henning
;
Blanco-Fernández, Ángela
;
Winker, Peter
- In:
Journal of forecasting
35
(
2016
)
2
,
pp. 113-146
Persistent link: https://www.econbiz.de/10011580244
Saved in:
17
Demand estimation with machine learning and model combination
Bajari, Patrick L.
;
Nekipelov, Denis N.
;
Ryan, Stephen
; …
-
2015
Persistent link: https://www.econbiz.de/10010496176
Saved in:
18
Beating the VAR : improving Swedish GDP forecasts using error and intercept corrections
Lyhagen, Johan
;
Ekberg, Stefan
;
Eidestedt, Richard
- In:
Journal of forecasting
34
(
2015
)
5
,
pp. 354-363
Persistent link: https://www.econbiz.de/10011318328
Saved in:
19
The information content of equity block trades on the Warsaw Stock Exchange : an estimation of shares' returns with the usage of simple linear regression and multivariate adaptive...
Kurek, Bartosz
- In:
Journal of forecasting
33
(
2014
)
6
,
pp. 433-454
Persistent link: https://www.econbiz.de/10010425516
Saved in:
20
Estimating and predicting the general random effects model
Kouassi, Eugène
;
Kamdem, Alain Constant
;
Mougoué, Mbodja
- In:
Journal of forecasting
33
(
2014
)
4
,
pp. 270-283
Persistent link: https://www.econbiz.de/10010425747
Saved in:
21
Shrinkage estimation of high-dimensional factor models with structural instabilities
Cheng, Xu
;
Liao, Zhipeng
;
Schorfheide, Frank
-
2014
Persistent link: https://www.econbiz.de/10010238424
Saved in:
22
Using CAViaR models with implied volatility for value-at-risk estimation
Jeon, Jooyoung
;
Taylor, James W.
- In:
Journal of forecasting
32
(
2013
)
1
,
pp. 62-74
Persistent link: https://www.econbiz.de/10009758719
Saved in:
23
Endogenous stratification in randomized experiments
Abadie, Alberto
;
Chingos, Matthew M.
;
West, Martin R.
-
2013
Persistent link: https://www.econbiz.de/10010230075
Saved in:
24
Nonlinear policy rules and the identification and estimation of causal effects in a generalized regression kink design
Card, David E.
;
Lee, David S.
;
Pei, Zhuan
;
Weber, Andrea
-
2012
Persistent link: https://www.econbiz.de/10009680872
Saved in:
25
Identification of TAR models using recursive estimation
Bermejo, Miguel Ángel
;
Peña, Daniel
;
Sánchez, Ismael
- In:
Journal of forecasting
30
(
2011
)
1
,
pp. 31-50
Persistent link: https://www.econbiz.de/10009233920
Saved in:
26
Estimation of a dynamic auction game
Jofre-Bonet, Mireia
;
Pesendorfer, Martin
-
2001
Persistent link: https://www.econbiz.de/10001632878
Saved in:
27
A review of estimates of the schooling/earnings relationship, with tests for publication bias
Ashenfelter, Orley
;
Harmon, Colm
;
Oosterbeek, Hessel
-
2000
Persistent link: https://www.econbiz.de/10001440362
Saved in:
28
Firm-level investment in France and the United States : an exploration of what we have learned in twenty years
Mairesse, Jacques
;
Hall, Bronwyn H.
;
Mulkay, Benoît
-
1999
Persistent link: https://www.econbiz.de/10001438355
Saved in:
29
Can output-of-sample forecast comparisons help prevent overfitting?
Clark, Todd E.
- In:
Journal of forecasting
23
(
2004
)
2
,
pp. 115-139
Persistent link: https://www.econbiz.de/10001980723
Saved in:
30
Forecasting with k-factor Gegenbauer processes : theory and applications
Ferrara, Laurent
;
Guégan, Dominique
- In:
Journal of forecasting
20
(
2001
)
8
,
pp. 581-601
Persistent link: https://www.econbiz.de/10001635754
Saved in:
31
Conditioning information and variance bounds on pricing kernels
Bekaert, Geert
;
Liu, Jun
-
1999
Persistent link: https://www.econbiz.de/10001355784
Saved in:
32
Causal effects in non-experimental studies : re-evaluating the evaluation of training programs
Dehejia, Rajeev H.
-
1998
Persistent link: https://www.econbiz.de/10000990199
Saved in:
33
Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange
Diebold, Francis X.
;
Hahn, Jinyong
;
Tay, Anthony S.
-
1998
Persistent link: https://www.econbiz.de/10000682409
Saved in:
34
Regime switches in interest rates
Ang, Andrew
;
Bekaert, Geert
-
1998
Persistent link: https://www.econbiz.de/10000660440
Saved in:
35
Specification analysis of affine term structure models
Dai, Qiang
;
Singleton, Kenneth J.
-
1997
Persistent link: https://www.econbiz.de/10000637523
Saved in:
36
"Peso problem" explanations for term structure anomalies
Bekaert, Geert
;
Hodrick, Robert J.
;
Marshall, David Aaron
-
1997
Persistent link: https://www.econbiz.de/10000638171
Saved in:
37
Estimation and forecasting of long-memory processes with missing values
Palma, Wilfredo
- In:
Journal of forecasting
16
(
1997
)
6
,
pp. 395-410
Persistent link: https://www.econbiz.de/10001233089
Saved in:
38
Structural time-series modelling of monetary aggregates : a case study for eleven European countries
Winder, Carlo C. A.
- In:
Journal of forecasting
16
(
1997
)
2
,
pp. 97-123
Persistent link: https://www.econbiz.de/10001216403
Saved in:
39
Linear probability models of the demand for attributes with an empirical application to estimating the preferences of legislators
Heckman, James J.
;
Snyder, James M.
-
1996
Persistent link: https://www.econbiz.de/10000609246
Saved in:
40
The econometrics of ultra-high frequency data
Engle, Robert F.
-
1996
Persistent link: https://www.econbiz.de/10000613076
Saved in:
41
How precise are estimates of the natural rate of unemployment?
Staiger, Douglas
;
Stock, James H.
;
Watson, Mark W.
-
1996
Persistent link: https://www.econbiz.de/10000572814
Saved in:
42
Estimation under exact linear time-varying constraints, with an application to population projections
Doran, Howard E.
- In:
Journal of forecasting
15
(
1996
)
7
,
pp. 527-541
Persistent link: https://www.econbiz.de/10001216507
Saved in:
43
Parametric and non-parametric approaches to price and tax reform
Deaton, Angus
;
Ng, Serena
-
1996
Persistent link: https://www.econbiz.de/10000588628
Saved in:
44
Nonparametric estimation of state-price densities implicit in financial asset prices
Aït-Sahalia, Yacine
;
Lo, Andrew W.
-
1995
Persistent link: https://www.econbiz.de/10000935916
Saved in:
45
Consumer durables and inertial behavior : estimation and aggregation of (S,s) rules
Attanasio, Orazio P.
-
1995
Persistent link: https://www.econbiz.de/10000552854
Saved in:
46
Discretization of stochastic differential equations and econometric forecasting : an application totime-varying autoregressions
Neftci, Salih N.
- In:
Journal of forecasting
13
(
1994
)
3
,
pp. 265-278
Persistent link: https://www.econbiz.de/10001157665
Saved in:
47
Autoregressive-asymmetric moving average models for business cycle data
Brännäs, Kurt
- In:
Journal of forecasting
13
(
1994
)
6
,
pp. 529-544
Persistent link: https://www.econbiz.de/10001172756
Saved in:
48
Estimates of the returns to schooling from sibling data : fathers, sons, and brothers
Ashenfelter, Orley
-
1993
Persistent link: https://www.econbiz.de/10000874541
Saved in:
49
Are OLS estimates of the return to schooling biased downward? : Another look
Blackburn, McKinley L.
;
Neumark, David
-
1993
Persistent link: https://www.econbiz.de/10000855472
Saved in:
50
An econometric analysis of nonsynchronous-trading
Lo, Andrew W.
;
MacKinlay, Archie Craig
-
1989
Persistent link: https://www.econbiz.de/10000765761
Saved in:
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