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subject:"Estimation theory"
isPartOf:"Journal of forecasting"
~isPartOf:"Discussion paper / Center for Economic Research, Tilburg University"
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Estimation theory
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ECONIS (ZBW)
305
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1
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305
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1
Tail copula estimation for heteroscedastic extremes
Einmahl, John H. J.
;
Chen Zhou
-
2024
Persistent link: https://www.econbiz.de/10014467520
Saved in:
2
Bias-corrected instrumental variable estimation in linear dynamic panel data models
Chen, Weihao
;
Čížek, Pavel
-
2023
Persistent link: https://www.econbiz.de/10014427624
Saved in:
3
Mixed-frequency predictive regressions with parameter learning
Leippold, Markus
;
Yang, Hanlin
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 1955-1972
Persistent link: https://www.econbiz.de/10014432824
Saved in:
4
Forecasting intraday financial time series with sieve bootstrapping and dynamic updating
Shang, Han Lin
;
Ji, Kaiying
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 1973-1988
Persistent link: https://www.econbiz.de/10014432826
Saved in:
5
Empirical likelihood based testing for multivariate regular variation
Einmahl, John H. J.
;
Krajina, Andrea
-
2023
Persistent link: https://www.econbiz.de/10013475286
Saved in:
6
Extreme value inference for general heterogeneous data
Einmahl, John H. J.
;
He, Yi
-
2022
Persistent link: https://www.econbiz.de/10013343247
Saved in:
7
Improved regression inference using a second overlapping regression model
Peng, Liang
;
Einmahl, John H. J.
-
2021
Persistent link: https://www.econbiz.de/10012653552
Saved in:
8
Extreme value statistics in semi-supervised models
Ahmed, Hanan
;
Einmahl, John H. J.
;
Chen Zhou
-
2021
Persistent link: https://www.econbiz.de/10012439457
Saved in:
9
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:
10
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:
11
Forecasting global solar radiation using a robust regularization approach with mixture kernels
Jiang, He
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 1989-2010
Persistent link: https://www.econbiz.de/10014432828
Saved in:
12
Regularized Poisson regressions predict regional innovation output
Xiang, Li
;
Hu, Xuemei
;
Junwen, Yang
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 2197-2216
Persistent link: https://www.econbiz.de/10014432870
Saved in:
13
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:
14
Empirical tail copulas for functional data
Einmahl, John H. J.
;
Segers, Johan
-
2020
Persistent link: https://www.econbiz.de/10012161555
Saved in:
15
Cube root weak convergence of empirical estimators of a density level set
Berthet, Philippe
;
Einmahl, John H. J.
-
2020
Persistent link: https://www.econbiz.de/10012227977
Saved in:
16
Unified extreme value estimation for heterogeneous data
Einmahl, John H. J.
;
He, Yi
-
2020
Persistent link: https://www.econbiz.de/10012291907
Saved in:
17
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:
18
Competition can help predict sales
Fortsch, Sima M.
;
Choi, Jeong Hoon
;
Khapalova, Elena A.
- In:
Journal of forecasting
41
(
2022
)
2
,
pp. 331-344
Persistent link: https://www.econbiz.de/10012817763
Saved in:
19
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:
20
Mixed data sampling regression : parameter selection of smoothed least squares estimator
Toker, Selma
;
Özbay, Nimet
;
Månsson, Kristofer
- In:
Journal of forecasting
41
(
2022
)
4
,
pp. 718-751
Persistent link: https://www.econbiz.de/10013287847
Saved in:
21
Limited memory predictors based on polynomial approximation of periodic exponentials
Dokuchaev, Nikolai
- In:
Journal of forecasting
41
(
2022
)
5
,
pp. 1037-1045
Persistent link: https://www.econbiz.de/10013287898
Saved in:
22
Improved estimation of the extreme value index using related variables
Ahmed, Hanan
;
Einmahl, John H. J.
-
2018
Persistent link: https://www.econbiz.de/10011879741
Saved in:
23
Testing the multivariate regular variation model
Einmahl, John H. J.
;
Yang, Fan
;
Chen Zhou
-
2018
Persistent link: https://www.econbiz.de/10011920524
Saved in:
24
Simulation optimization through regression or Krigin metamodels
Kleijnen, Jack P. C.
-
2017
Persistent link: https://www.econbiz.de/10011659473
Saved in:
25
Estimating the maximum possible earthquake magnitude using extreme value methodology : the Groningen case
Beirlant, Jan
;
Kijko, Andrzej
;
Reynkens, Tom
;
Einmahl, …
-
2017
Persistent link: https://www.econbiz.de/10011764578
Saved in:
26
Asymptotically distribution-free goodness-of-fit testing for copulas
Can, Sami Umut
;
Einmahl, John H. J.
;
Laeven, Roger J. A.
-
2017
Persistent link: https://www.econbiz.de/10011764588
Saved in:
27
Jump-preserving varying-coefficient models for nonlinear time series
Čížek, Pavel
;
Koo, Chao Hui
-
2016
Persistent link: https://www.econbiz.de/10011643235
Saved in:
28
A continuous updating weighted least squares estimator of tail dependence in high dimensions
Einmahl, John H. J.
;
Kiriliouk, Anna
;
Segers, Johan
-
2016
Persistent link: https://www.econbiz.de/10011427965
Saved in:
29
Robust solutions for systems of uncertain linear equations
Zhen, Jianzhe
;
Hertog, Dirk den
-
2015
Persistent link: https://www.econbiz.de/10011349881
Saved in:
30
Estimating the variance of the predictor in stochastic Kriging
Kleijnen, Jack P. C.
;
Mehdad, Ehsan
-
2015
Persistent link: https://www.econbiz.de/10011349889
Saved in:
31
Regression and kriging metamodels with their experimental designs in simulation : review
Kleijnen, Jack P. C.
-
2015
Persistent link: https://www.econbiz.de/10011349935
Saved in:
32
Robust estimation and moment selection in dynamic fixed-effects panel data models
Čížek, Pavel
;
Aquaro, Michele
-
2015
Persistent link: https://www.econbiz.de/10011348907
Saved in:
33
Optimal pseudo-Gaussian and rank-based tests of the cointegration rank in semiparametric error-correction models
Hallin, Marc
;
Akker, Ramon van den
;
Werker, Bas J. M.
-
2015
Persistent link: https://www.econbiz.de/10011348908
Saved in:
34
Estimation of extreme depth-based quantile regions
He, Yi
;
Einmahl, John H. J.
-
2014
Persistent link: https://www.econbiz.de/10011282830
Saved in:
35
Bias-corrected quantile regression estimation of censored regression models
Čížek, Pavel
;
Sadikoglu, Serhan
-
2014
Persistent link: https://www.econbiz.de/10011284539
Saved in:
36
Statistics of heteroscedastic extremes
Einmahl, John H. J.
;
Haan, Laurens de
;
Chen Zhou
-
2014
Persistent link: https://www.econbiz.de/10010395089
Saved in:
37
An M-estimator of spatial tail dependence
Einmahl, John H. J.
;
Kiriliouk, Anna
;
Krajina, Andrea
; …
-
2014
Persistent link: https://www.econbiz.de/10010395535
Saved in:
38
Identification and estimation of nonseparable single-index models in panel data with correlated random effects
Čížek, Pavel
;
Lei, Jinghua
-
2013
Persistent link: https://www.econbiz.de/10010228796
Saved in:
39
Smoothed spatial maximum score estimation of spatial autoregressive binary choice panel models
Lei, Jinghua
-
2013
Persistent link: https://www.econbiz.de/10010228797
Saved in:
40
WALS prediction
Magnus, Jan R.
;
Wang, Wendun
;
Zhang, Xinyu
-
2012
Persistent link: https://www.econbiz.de/10009541364
Saved in:
41
Revisiting targeted factors
Fosten, Jack
- In:
Journal of forecasting
36
(
2017
)
2
,
pp. 207-216
Persistent link: https://www.econbiz.de/10011729139
Saved in:
42
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:
43
A flexible functional form approach to mortality modeling : do we need additional cohort dummies?
Li, Han
;
O'Hare, Colin
;
Vahid, Farshid
- In:
Journal of forecasting
36
(
2017
)
4
,
pp. 357-367
Persistent link: https://www.econbiz.de/10011860431
Saved in:
44
Benchmark forecast and error modeling
Chen, Zhao-Guo
;
Wu, Ka Ho
- In:
Journal of forecasting
36
(
2017
)
4
,
pp. 382-394
Persistent link: https://www.econbiz.de/10011860451
Saved in:
45
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:
46
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:
47
Forecasting intraday S&P 500 index returns : a functional time series approach
Shang, Han Lin
- In:
Journal of forecasting
36
(
2017
)
7
,
pp. 741-755
Persistent link: https://www.econbiz.de/10011860709
Saved in:
48
Improvement of the Liu‐type Shiller estimator for distributed lag models
Özbay, Nimet
;
Kaçıranlar, Selahattin
- In:
Journal of forecasting
36
(
2017
)
7
,
pp. 776-783
Persistent link: https://www.econbiz.de/10011860718
Saved in:
49
PARX model for football match predictions
Angelini, Giovanni
;
De Angelis, Luca
- In:
Journal of forecasting
36
(
2017
)
7
,
pp. 795-807
Persistent link: https://www.econbiz.de/10011860730
Saved in:
50
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:
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