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Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
Lucas, André; Zhang, Xin - In: International journal of forecasting 32 (2016) 2, pp. 293-302
Persistent link: https://www.econbiz.de/10011596763
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A simple model for now-casting volatility series
Breitung, Jörg; Hafner, Christian M. - In: International journal of forecasting 32 (2016) 4, pp. 1247-1255
Persistent link: https://www.econbiz.de/10011622143
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Dynamics of financial returns densities : a functional approach applied to the Bovespa intraday index
Horta, Eduardo; Ziegelmann, Flávio A. - In: International journal of forecasting 34 (2018) 1, pp. 75-88
Persistent link: https://www.econbiz.de/10012030843
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Threshold stochastic volatility : properties and forecasting
Mao, Xiuping; Ruiz, Esther; Veiga, Helena - In: International journal of forecasting 33 (2017) 4, pp. 1105-1123
Persistent link: https://www.econbiz.de/10011746949
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Selecting volatility forecasting models for portfolio allocation purposes
Becker, Ralf; Clements, Adam; Doolan, M. B.; Hurn, Stan - In: International journal of forecasting 31 (2015) 3, pp. 849-861
Persistent link: https://www.econbiz.de/10011474597
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Testing causality between two vectors in multivariate GARCH models
Woźniak, Tomasz - In: International journal of forecasting 31 (2015) 3, pp. 876-894
Persistent link: https://www.econbiz.de/10011474616
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A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo; Buccheri, Giuseppe; Corsi, Fulvio - In: International journal of forecasting 37 (2021) 2, pp. 569-586
Persistent link: https://www.econbiz.de/10012792854
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Forecasting in GARCH models with polynomially modified innovations
Vacca, Gianmarco; Zoia, Maria Grazia; Bagnato, Luca - In: International journal of forecasting 38 (2022) 1, pp. 117-141
Persistent link: https://www.econbiz.de/10013347743
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Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
Gefang, Deborah; Koop, Gary; Poon, Aubrey - In: International journal of forecasting 39 (2023) 1, pp. 346-363
Persistent link: https://www.econbiz.de/10014462786
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DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc; Xu, Yongdeng - In: International journal of forecasting 39 (2023) 2, pp. 938-955
Persistent link: https://www.econbiz.de/10014465168