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Improving the power of the Diebold-Mariano-West test for least squares predictions
Mayer, Walter James; Liu, Feng; Dang, Xin - In: International journal of forecasting 33 (2017) 3, pp. 618-626
Persistent link: https://www.econbiz.de/10011746194
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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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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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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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Volatility forecasting : the role of lunch-break returns, overnight returns, trading volume and leverage effects
Wang, Xunxiao; Wu, Chongfeng; Xu, Weidong - In: International journal of forecasting 31 (2015) 3, pp. 609-619
Persistent link: https://www.econbiz.de/10011474428
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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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Realized volatility forecasting : Robustness to measurement errors
Cipollini, Fabrizio; Gallo, Giampiero M.; Otranto, Edoardo - In: International journal of forecasting 37 (2021) 1, pp. 44-57
Persistent link: https://www.econbiz.de/10012692572
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Predictive regressions under asymmetric loss : factor augmentation and model selection
Demetrescu, Matei; Hacıoǧlu Hoke, Sinem - In: International journal of forecasting 35 (2019) 1, pp. 80-99
Persistent link: https://www.econbiz.de/10012300579
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Identification of volatility proxies as expectations of squared financial returns
Sucarrat, Genaro - In: International journal of forecasting 37 (2021) 4, pp. 1677-1690
Persistent link: https://www.econbiz.de/10013274330