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  • Search: subject:"Variance forecasts"
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Year of publication
Subject
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Forecasting model 4 Prognoseverfahren 4 Theorie 4 Theory 4 Bayesian learning 3 Forecast 3 GARCH-MIDAS models 3 Prognose 3 Variance forecasts 3 component variance forecasts 3 data snooping 3 macro-variables 3 survey expectations 3 ARCH model 2 ARCH-Modell 2 Bayes-Statistik 2 Bayesian inference 2 Economic forecast 2 Erwartungsbildung 2 Expectation formation 2 Learning process 2 Lernprozess 2 Risiko 2 Risk 2 Time series analysis 2 Volatility 2 Volatilität 2 Wirtschaftsprognose 2 Zeitreihenanalyse 2 Forecasting 1 Frühindikator 1 GDP growth forecasts 1 Leading indicator 1 Rational expectations 1 Rationale Erwartung 1 inflationforecasts 1 monotonicity tests 1
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Online availability
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Free 5 Undetermined 1
Type of publication
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Book / Working Paper 5 Article 1
Type of publication (narrower categories)
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Working Paper 5 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 6
Author
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Awartani, Basel 3 Clements, Michael P. 3 Javed, Farrukh 3 Rich, Robert W. 3 Tracy, Joseph S. 3 Virk, Nader 3 Hyde, Stuart 1
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Published in...
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AEI Economics Working Paper 1 AEI economics working paper 1 Federal Reserve Bank of Cleveland working paper series 1 The European journal of finance 1 Working Paper 1 Working paper 1
Source
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ECONIS (ZBW) 4 EconStor 2
Showing 1 - 6 of 6
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An investigation into the uncertainty revision process of professional forecasters
Clements, Michael P.; Rich, Robert W.; Tracy, Joseph S. - 2024
Persistent link: https://www.econbiz.de/10015095338
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An Investigation into the Uncertainty Revision Process of Professional Forecasters
Clements, Michael P.; Rich, Robert W.; Tracy, Joseph S. - 2023
Following Manzan (2021), this paper examines how professional forecasters revise their uncertainty (variance) forecasts …. We show that popular first moment "efficiency" tests are not applicable to study variance forecasts and instead employ … explore the role of financial conditions indices in variance forecasts and document their predictive content for the revision …
Persistent link: https://www.econbiz.de/10014439161
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Cover Image
An investigation into the uncertainty revision process of professional forecasters
Clements, Michael P.; Rich, Robert W.; Tracy, Joseph S. - 2023
Persistent link: https://www.econbiz.de/10014375158
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A reality check on the GARCH-MIDAS volatility models
Virk, Nader; Javed, Farrukh; Awartani, Basel; Hyde, Stuart - In: The European journal of finance 30 (2024) 6, pp. 575-596
Persistent link: https://www.econbiz.de/10014547966
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A reality check on the GARCH-MIDAS volatility models
Virk, Nader; Javed, Farrukh; Awartani, Basel - 2021
We employ a battery of model evaluation tests for a broad-set of GARCH-MIDAS models and account for data snooping bias. We document that inferences based on standard tests for GM variance components can be misleading. Our data mining free results show that the gains of macro-variables in...
Persistent link: https://www.econbiz.de/10012654473
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A reality check on the GARCH-MIDAS volatility models
Virk, Nader; Javed, Farrukh; Awartani, Basel - 2021
Persistent link: https://www.econbiz.de/10012604771
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