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  • Search: subject:"Model confidence set"
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Year of publication
Subject
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Prognoseverfahren 65 Forecasting model 64 model confidence set 59 Model confidence set 47 Volatility 37 ARCH model 33 ARCH-Modell 33 Volatilität 32 Theorie 27 Theory 26 Estimation theory 24 Schätztheorie 24 Zeitreihenanalyse 20 Time series analysis 19 Model Confidence Set 18 Modellierung 16 Scientific modelling 16 MGARCH 15 Portfolio selection 15 Portfolio-Management 15 Estimation 11 Schätzung 11 Statistical test 11 Statistischer Test 11 Forecasting 10 Risikomaß 10 Risk measure 10 Correlation 9 Covariance forecasting 9 Forecast 9 Korrelation 9 Prognose 9 forecast evaluation 9 model comparison 9 model ranking 9 Capital income 8 Kapitaleinkommen 8 forecasting 8 Aktienmarkt 7 Artificial intelligence 7
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Online availability
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Free 64 Undetermined 52 CC license 1
Type of publication
All
Article 65 Book / Working Paper 61
Type of publication (narrower categories)
All
Article in journal 58 Aufsatz in Zeitschrift 58 Working Paper 22 Arbeitspapier 14 Graue Literatur 14 Non-commercial literature 14 Article 1 Hochschulschrift 1 Thesis 1
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Language
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English 92 Undetermined 31 Portuguese 3
Author
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Caporin, Massimiliano 15 McAleer, Michael 15 Clements, Adam 6 Lehmann, Robert 5 Stentoft, Lars 5 Wohlrabe, Klaus 5 Becker, Ralf 4 Hutter, Christian 4 Koopman, Siem Jan 4 Laurent, Sébastien 4 Rombouts, Jeroen V.K. 4 Scharth, Marcel 4 Violante, Francesco 4 Weber, Enzo 4 Alfarano, Simone 3 Bauwens, Luc 3 Braione, Manuela 3 Caporin, M. 3 Degiannakis, Stavros 3 Doman, Ryszard 3 Hurn, Stan 3 Lucas, Andre 3 McAleer, M.J. 3 Milaković, Mishael 3 Mundt, Philipp 3 Rombouts, Jeroen 3 Storti, Giuseppe 3 Barde, Sylvain 2 Bernardi, Mauro 2 Catania, Leopoldo 2 Ceci, Donato 2 Cerqueira, Daniel 2 Cummins, Mark 2 Doman, Małgorzata 2 Doolan, M. B. 2 Doolan, Mark 2 Esposito, Francesco 2 Filis, George 2 Lins, Gabriel de Oliveira Accioly 2 Liu, Jing 2
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Institution
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School of Economics and Management, University of Aarhus 5 Department of Economics and Finance, College of Business and Economics 4 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 4 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 3 Erasmus University Rotterdam, Econometric Institute 3 Institute of Economic Research, Kyoto University 3 National Centre for Econometric Research (NCER) 3 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 2 Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 2 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 2 Dipartimento di Scienze Economiche "Marco Fanno", Università degli Studi di Padova 1 Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia 1 Norges Bank 1 Tinbergen Institute 1 Tinbergen Instituut 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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International journal of forecasting 9 CREATES Research Papers 5 Journal of forecasting 5 Applied economics 4 Econometric Institute Research Papers 4 Finance research letters 4 Journal of empirical finance 4 Working Papers in Economics 4 CORE Discussion Papers 3 Econometric Institute Report 3 Energy economics 3 KIER Working Papers 3 NCER Working Paper Series 3 CIRANO Working Papers 2 Cahiers de recherche 2 Documentos de Trabajo del ICAE 2 Economic modelling 2 International Journal of Forecasting 2 Journal of banking & finance 2 Journal of financial econometrics : official journal of the Society for Financial Econometrics 2 NCER working paper series 2 The energy journal 2 Tinbergen Institute Discussion Papers 2 Working papers 2 "Marco Fanno" Working Papers 1 ASTIN bulletin : the journal of the International Actuarial Association 1 Annals of economics and statistics 1 Annals of finance 1 Applied Economics 1 Applied economics letters 1 BERG Working Paper Series 1 BERG working paper series 1 CORE discussion papers : DP 1 Computational Statistics & Data Analysis 1 Computational economics 1 DEM Working Papers Series 1 Discussion Papers in Economics 1 Discussion paper / Tinbergen Institute 1 Discussion papers / University of Kent, School of Economics 1 Dynamic Econometric Models 1
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Source
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ECONIS (ZBW) 73 RePEc 43 EconStor 9 BASE 1
Showing 11 - 20 of 126
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Does economic policy uncertainty outperform macroeconomic factor and financial market uncertainty in forecasting carbon emission price volatility? : evidence from China
Lu, Hengzhen; Gao, Qiujin; Li, Matthew C. - In: Applied economics 55 (2023) 54, pp. 6427-6443
Persistent link: https://www.econbiz.de/10014381870
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Nowcasting the state of the Italian economy : the role of financial markets
Ceci, Donato; Silvestrini, Andrea - In: Journal of forecasting 42 (2023) 7, pp. 1569-1593
Persistent link: https://www.econbiz.de/10014432723
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Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets
Ayala, Astrid; Blazsek, Szabolcs; Licht, Adrian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 5, pp. 705-731
Persistent link: https://www.econbiz.de/10014506866
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Forecasting expected shortfall : should we use a multivariate model for stock market factors?
Fortin, Alain-Philippe; Simonato, Jean-Guy; Dionne, Georges - In: International journal of forecasting 39 (2023) 1, pp. 314-331
Persistent link: https://www.econbiz.de/10014462782
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Can heterogeneous agent models explain the alleged mispricing of the S&P 500?
Lux, Thomas - 2020
Franke and Westerhoff (2012) is the only exception. Estimation of the model confidence set indicates that this model is not … of the model confidence set. …
Persistent link: https://www.econbiz.de/10012215456
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Previsão de homicídios no Brasil: Proposta de variável antecedente
Lins, Gabriel de Oliveira Accioly; Cerqueira, Daniel; … - 2020
window' scheme and 'Model Confidence Set' approach, we investigate whether multivariate models with leading variables show …
Persistent link: https://www.econbiz.de/10012616509
Saved in:
Cover Image
Can heterogeneous agent models explain the alleged mispricing of the S&P 500?
Lux, Thomas - 2020
Franke and Westerhoff (2012) is the only exception. Estimation of the model confidence set indicates that this model is not … of the model confidence set. …
Persistent link: https://www.econbiz.de/10012214509
Saved in:
Cover Image
Previsão de homicídios no Brasil: proposta de variável antecedente
Lins, Gabriel de Oliveira Accioly; Cerqueira, Daniel; … - 2020
window” scheme and “Model Confidence Set” approach, we investigate whether multivariate models with leading variables show …
Persistent link: https://www.econbiz.de/10012319134
Saved in:
Cover Image
Measuring the effects of unconventional policies on stock market volatility
Lacava, Demetrio; Gallo, Giampiero M.; Otranto, Edoardo - 2020 - Prima edizione
Persistent link: https://www.econbiz.de/10012515678
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Exploiting ergodicity in forecasts of corporate profitability
Mundt, Philipp; Alfarano, Simone; Milaković, Mishael - 2019
Theory suggests that competition tends to equalize profit rates through the process of capital reallocation, and numerous studies have confirmed that profit rates are indeed persistent and mean-reverting. Recent empirical evidence further shows that fluctuations in the profitability of surviving...
Persistent link: https://www.econbiz.de/10011993216
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