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ECONIS (ZBW)
98
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98
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1
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao
;
Gerlach, Richard
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
Saved in:
2
Local prediction pools
Oelrich, Oscar
;
Villani, Mattias
;
Ankargren, Sebastian
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 103-117
Persistent link: https://www.econbiz.de/10014443187
Saved in:
3
Inference for the VEC(1) model with a heavy-tailed linear process errors
Guo, Feifei
;
Ling, Shiqing
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 806-833
Persistent link: https://www.econbiz.de/10014420347
Saved in:
4
Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach
Storti, Giuseppe
;
Wang, Chao
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1648-1663
Persistent link: https://www.econbiz.de/10014432743
Saved in:
5
Step-ahead spot price densities using daily synchronously reported prices and wind forecasts
Solibakke, Per Bjarte
- In:
Journal of forecasting
41
(
2022
)
1
,
pp. 17-42
Persistent link: https://www.econbiz.de/10012796266
Saved in:
6
Distributional modeling and forecasting of natural gas prices
Berrisch, Jonathan
;
Ziel, Florian
- In:
Journal of forecasting
41
(
2022
)
6
,
pp. 1065-1086
Persistent link: https://www.econbiz.de/10013465681
Saved in:
7
Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets
Wang, Man
;
Cheng, Yihan
- In:
Journal of forecasting
41
(
2022
)
8
,
pp. 1595-1607
Persistent link: https://www.econbiz.de/10013465725
Saved in:
8
Forecasting VaR and ES in emerging markets : the role of time-varying higher moments
Trung Hai Le
- In:
Journal of forecasting
43
(
2024
)
2
,
pp. 402-414
Persistent link: https://www.econbiz.de/10014475347
Saved in:
9
A multivariate GARCH-jump mixture model
Li, Chenxing
;
Maheu, John M.
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
Saved in:
10
Yield spread selection in predicting recession probabilities
Choi, Jaehyuk
;
Ge, Desheng
;
Kang, Kyu Ho
;
Sohn, Sungbin
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1772-1785
Persistent link: https://www.econbiz.de/10014432757
Saved in:
11
A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies
Trucíos, Carlos
;
Taylor, James W.
- In:
Journal of forecasting
42
(
2023
)
4
,
pp. 989-1007
Persistent link: https://www.econbiz.de/10014292894
Saved in:
12
Forecasting realized volatility of international REITs : the role of realized skewness and realized kurtosis
Bonato, Matteo
;
Cepni, Oguzhan
;
Gupta, Rangan
; …
- In:
Journal of forecasting
41
(
2022
)
2
,
pp. 303-315
Persistent link: https://www.econbiz.de/10012817752
Saved in:
13
Estimation and inference for distribution and quantile functions in endogenous treatment effect models
Hsu, Yu-Chin
;
Lai, Tsung-Chih
;
Lieli, Robert P.
- In:
Econometric reviews
41
(
2022
)
1
,
pp. 22-50
Persistent link: https://www.econbiz.de/10013167577
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14
Reconciling negative return skewness with positive time-varying risk premia
Kyriakopoulou, Dimitra
;
Hafner, Christian M.
- In:
Econometric reviews
41
(
2022
)
8
,
pp. 877-894
Persistent link: https://www.econbiz.de/10013364913
Saved in:
15
Multiple subordinated modeling of asset returns : implications for option pricing
Shirvani, Abootaleb
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Econometric reviews
40
(
2021
)
3
,
pp. 290-319
Persistent link: https://www.econbiz.de/10012515600
Saved in:
16
In-fill asymptotic theory for structural break point in autoregressions
Jiang, Liang
;
Wang, Xiaohu
;
Yu, Jun
- In:
Econometric reviews
40
(
2021
)
4
,
pp. 359-386
Persistent link: https://www.econbiz.de/10012515605
Saved in:
17
Global estimation of finite mixture and misclassification models with an application to multiple equilibria
Hu, Yingyao
;
Xiao, Ruli
- In:
Econometric reviews
40
(
2021
)
5
,
pp. 455-469
Persistent link: https://www.econbiz.de/10012515614
Saved in:
18
Detecting multiple equilibria for continuous dependent variables
Yu, Zhengfei
- In:
Econometric reviews
40
(
2021
)
7
,
pp. 635-656
Persistent link: https://www.econbiz.de/10012624527
Saved in:
19
Right tail information and asset pricing
Hua, Qiuling
;
Xiao, Zhijie
;
Zhou, Hongtao
- In:
Econometric reviews
40
(
2021
)
8
,
pp. 728-749
Persistent link: https://www.econbiz.de/10012624536
Saved in:
20
A specification test for dynamic conditional distribution models with function-valued parameters
Troster, Victor
;
Wied, Dominik
- In:
Econometric reviews
40
(
2021
)
2
,
pp. 109-127
Persistent link: https://www.econbiz.de/10012483803
Saved in:
21
Minimum distance estimation of parametric Lorenz curves based on grouped data
Hajargasht, Gholamreza
;
Griffiths, William E.
- In:
Econometric reviews
39
(
2020
)
4
,
pp. 344-361
Persistent link: https://www.econbiz.de/10012181422
Saved in:
22
Testing for distributional features in varying coefficient panel data models
Soberon, Alexandra
;
Stute, Winfried
;
Rodríguez Poo, …
- In:
Econometric reviews
39
(
2020
)
3
,
pp. 277-298
Persistent link: https://www.econbiz.de/10012181449
Saved in:
23
A bootstrap approach for Generalized Autocontour testing Implications for VIX forecast densities
Mazzeu, João Henrique Gonçalves
;
González-Rivera, Gloria
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 971-990
Persistent link: https://www.econbiz.de/10012406197
Saved in:
24
Data cloning estimation for asymmetric stochastic volatility models
Bermudez, P. de Zea
;
Marín, J. Miguel
;
Veiga, Helena
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 1057-1074
Persistent link: https://www.econbiz.de/10012406209
Saved in:
25
Decomposing joint distributions via reweighting functions : an application to intergenerational economic mobility
Richey, Jeremiah
;
Rosburg, Alicia
- In:
Econometric reviews
39
(
2020
)
6
,
pp. 541-558
Persistent link: https://www.econbiz.de/10012195419
Saved in:
26
Where does the tail begin? : an approach based on scoring rules
Hoga, Yannick
- In:
Econometric reviews
39
(
2020
)
6
,
pp. 579-601
Persistent link: https://www.econbiz.de/10012195423
Saved in:
27
Information measures of kernel estimation
Beheshti, Neshat
;
Racine, Jeffrey
;
Soofi, Ehsan S.
- In:
Econometric reviews
38
(
2019
)
1
,
pp. 47-68
Persistent link: https://www.econbiz.de/10012180697
Saved in:
28
Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
Zhang, Rongmao
;
Li, Chenxue
;
Peng, Liang
- In:
Econometric reviews
38
(
2019
)
2
,
pp. 151-169
Persistent link: https://www.econbiz.de/10012180711
Saved in:
29
A nonparametric specification test for the volatility functions of diffusion processes
Chen, Qiang
;
Hu, Meidi
;
Song, Xiaojun
- In:
Econometric reviews
38
(
2019
)
5
,
pp. 557-576
Persistent link: https://www.econbiz.de/10012181335
Saved in:
30
Size distributions reconsidered
Schluter, Christian
;
Trede, Mark
- In:
Econometric reviews
38
(
2019
)
6
,
pp. 695-710
Persistent link: https://www.econbiz.de/10012181347
Saved in:
31
Trends cycles and seasons : econometric methods of signal extraction
Pollock, David Stephen G.
- In:
Econometric reviews
37
(
2018
)
1/5
,
pp. 228-246
Persistent link: https://www.econbiz.de/10012038592
Saved in:
32
A Laplace stochastic frontier model
Horrace, William C.
;
Parmeter, Christopher F.
- In:
Econometric reviews
37
(
2018
)
1/5
,
pp. 260-280
Persistent link: https://www.econbiz.de/10012038621
Saved in:
33
Bayesian analysis of multivariate stochastic volatility with skew return distribution
Nakajima, Jouchi
- In:
Econometric reviews
36
(
2017
)
5
,
pp. 546-562
Persistent link: https://www.econbiz.de/10011795262
Saved in:
34
Uncertainty, information, and disagreement of economic forecasters
Shoja, Mehdi
;
Soofi, Ehsan S.
- In:
Econometric reviews
36
(
2017
)
6/9
,
pp. 796-817
Persistent link: https://www.econbiz.de/10011795499
Saved in:
35
Distribution of the mean reversion estimator in the Ornstein-Uhlenbeck process
Bao, Yong
;
Ullah, Aman
;
Wang, Yun
- In:
Econometric reviews
36
(
2017
)
6/9
,
pp. 1039-1056
Persistent link: https://www.econbiz.de/10011795564
Saved in:
36
What can we learn from the fifties?
Gouret, Fabian
- In:
Journal of forecasting
36
(
2017
)
7
,
pp. 756-775
Persistent link: https://www.econbiz.de/10011860714
Saved in:
37
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:
38
Prediction of α‐stable GARCH and ARMA‐GARCH‐M models
Mohammadi, Mohammad
- In:
Journal of forecasting
36
(
2017
)
7
,
pp. 859-866
Persistent link: https://www.econbiz.de/10011860776
Saved in:
39
The importance of time‐varying volatility and country interactions in forecasting economic activity
Trypsteen, Steven
- In:
Journal of forecasting
36
(
2017
)
6
,
pp. 615-628
Persistent link: https://www.econbiz.de/10011861398
Saved in:
40
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
Saved in:
41
The effect of nonlinearity between credit conditions and economic activity on density forecasts
Franta, Michal
- In:
Journal of forecasting
35
(
2016
)
2
,
pp. 147-166
Persistent link: https://www.econbiz.de/10011580246
Saved in:
42
Particle learning for fat-tailed distributions
Lopes, Hedibert Freitas
;
Polson, Nicholas G.
- In:
Econometric reviews
35
(
2016
)
8/10
,
pp. 1666-1691
Persistent link: https://www.econbiz.de/10011592384
Saved in:
43
High-order conditional quantile estimation based on nonparametric models of regression
Martins-Filho, Carlos
;
Yao, Feng
;
Torero, Máximo
- In:
Econometric reviews
34
(
2015
)
6/10
,
pp. 907-958
Persistent link: https://www.econbiz.de/10011483401
Saved in:
44
Bayesian approaches to nonparametric estimation of densities on the unit interval
Li, Song
;
Silvapulle, Mervyn J.
;
Silvapulle, Paramsothy
; …
- In:
Econometric reviews
34
(
2015
)
1/5
,
pp. 394-412
Persistent link: https://www.econbiz.de/10011373275
Saved in:
45
Improving forecast of binary rare events data : a GAM-based approach
Calabrese, Raffaella
;
Osmetti, Silvia Angela
- In:
Journal of forecasting
34
(
2015
)
3
,
pp. 230-239
Persistent link: https://www.econbiz.de/10011305247
Saved in:
46
A multiplicative error model with heterogeneous components for forecasting realized volatility
Han, Heejoon
;
Park, Myung D.
;
Zhang, Shen
- In:
Journal of forecasting
34
(
2015
)
3
,
pp. 209-219
Persistent link: https://www.econbiz.de/10011305259
Saved in:
47
Predicting the distribution of stock returns : model formulation, statistical evaluation, VaR analysis and economic significance
Massacci, Daniele
- In:
Journal of forecasting
34
(
2015
)
3
,
pp. 191-208
Persistent link: https://www.econbiz.de/10011305266
Saved in:
48
Predictable return distributions
Pedersen, Thomas Q.
- In:
Journal of forecasting
34
(
2015
)
2
,
pp. 114-132
Persistent link: https://www.econbiz.de/10011305289
Saved in:
49
Empirical Bayesian density forecasting in Iowa and shrinkage for the Monte Carlo era
Lewis, Kurt F.
;
Whiteman, Charles H.
- In:
Journal of forecasting
34
(
2015
)
1
,
pp. 15-35
Persistent link: https://www.econbiz.de/10011305372
Saved in:
50
The forecasting performance of a finite mixture regime-switching model for daily electricity prices
Chen, Dipeng
;
Bunn, Derek W.
- In:
Journal of forecasting
33
(
2014
)
5
,
pp. 364-375
Persistent link: https://www.econbiz.de/10010425623
Saved in:
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