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Multimodal preference heterogeneity in choice-based conjoint analysis : a simulation study
Goeken, Nils; Kurz, Peter; Steiner, Winfried J. - In: Journal of business economics : JBE 94 (2024) 1, pp. 137-185
Persistent link: https://www.econbiz.de/10014494374
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VC investors' venture screening : the role of the decision maker's education and experience
Moritz, Alexandra; Diegel, Walter; Block, Jörn; Fisch, … - In: Journal of business economics : JBE 92 (2022) 1, pp. 27-63
Persistent link: https://www.econbiz.de/10012795224
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Between benefit and risk : how entrepreneurs evaluate corporate investors
Weniger, Stefanie; Jarchow, Svenja - In: Journal of business economics : JBE 93 (2023) 5, pp. 783-816
Persistent link: https://www.econbiz.de/10014322360
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Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility
Hol, Eugenie; Koopman, Siem Jan - Tinbergen Instituut - 2000
returns and intradaily squared returns for forecasting horizons rangingfrom 1 to 10 days. For the daily squared returns we …
Persistent link: https://www.econbiz.de/10011255461
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Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice
Callot, Laurent; Kock, Anders B.; Medeiros, Marcelo C. - Tinbergen Instituut - 2014
In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector …
Persistent link: https://www.econbiz.de/10011256058
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Realized Volatility Risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - Tinbergen Instituut - 2013
forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10011256164
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Examining the Nelson-Siegel Class of Term Structure Models
Pooter, Michiel De - Tinbergen Instituut - 2007
forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …
Persistent link: https://www.econbiz.de/10011256459
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Tinbergen Instituut - 2013
under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …
Persistent link: https://www.econbiz.de/10011256696
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Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models
Blasques, Francisco; Koopman, Siem Jan; Mallee, Max - Tinbergen Instituut - 2014
The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...
Persistent link: https://www.econbiz.de/10011256800
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Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment
Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - Tinbergen Instituut - 2006
, pages 683-713.<P> This paper discusses identification, specification, estimation and forecasting for a general class of … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …
Persistent link: https://www.econbiz.de/10011256849