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Testing the value of directional forecasts in the presence of serial correlation
Blaskowitz, Oliver Jim; Herwartz, Helmut - In: International journal of forecasting 30 (2013) 1, pp. 30-42
Persistent link: https://www.econbiz.de/10010243646
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Some recent developments in predictive accuracy testing with nested models and (genetic) nonlinear alternatives
Corradi, Valentina; Swanson, Norman R. - In: International journal of forecasting 20 (2004) 2, pp. 185-199
Persistent link: https://www.econbiz.de/10002033313
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A False Discovery Rate approach to optimal volatility forecasting model selection
Hassanniakalager, Arman; Baker, Paul L.; Platanakis, … - In: International journal of forecasting 40 (2024) 3, pp. 881-902
Persistent link: https://www.econbiz.de/10014547223
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Forecasting market returns : bagging or combining?
Jordan, Steven J.; Vivian, Andrew; Wohar, Mark E. - In: International journal of forecasting 33 (2017) 1, pp. 102-120
Persistent link: https://www.econbiz.de/10011754689
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Data snooping in equity premium prediction
Dichtl, Hubert; Drobetz, Wolfgang; Neuhierl, Andreas; … - In: International journal of forecasting 37 (2021) 1, pp. 72-94
Persistent link: https://www.econbiz.de/10012692602
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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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Beta forecasting at long horizons
Cenesizoglu, Tolga; Ribeiro, Fabio de Oliveira Ferrazoli; … - In: International journal of forecasting 33 (2017) 4, pp. 936-957
Persistent link: https://www.econbiz.de/10011746930
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Betas and the myth of market neutrality
Papageorgiou, Nicolas A.; Reeves, Jonathan J.; Xie, Xuan - In: International journal of forecasting 32 (2016) 2, pp. 548-558
Persistent link: https://www.econbiz.de/10011597207
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Comparison of methods for constructing joint confidence bands for impulse response functions
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - In: International journal of forecasting 31 (2015) 3, pp. 782-798
Persistent link: https://www.econbiz.de/10011474568
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Testing out-of-sample portfolio performance
Kazak, Ekaterina; Pohlmeier, Winfried - In: International journal of forecasting 35 (2019) 2, pp. 540-554
Persistent link: https://www.econbiz.de/10012300697