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Information gains from using short-dated options for measuring and forecasting volatility
Todorov, Viktor; Zhang, Yang - In: Journal of applied econometrics 37 (2022) 2, pp. 368-391
Persistent link: https://www.econbiz.de/10013165240
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Modelling and forecasting multivariate realized volatility
Halbleib, Roxana; Voev, Valeri - In: Journal of applied econometrics 26 (2011) 6, pp. 922-947
Persistent link: https://www.econbiz.de/10009408883
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Do high-frequency data improve high-dimensional portfolio allocations?
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - In: Journal of applied econometrics 30 (2015) 2, pp. 263-290
Persistent link: https://www.econbiz.de/10011327609
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Equity-premium prediction : attention is all you need
Lima, Luiz Renato; Lúcio Godeiro, Lucas - In: Journal of applied econometrics 38 (2023) 1, pp. 105-122
Persistent link: https://www.econbiz.de/10014287928
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Spatial filtering, model uncertainty and the speed of income convergence in Europe
Crespo Cuaresma, Jesús; Feldkircher, Martin - In: Journal of applied econometrics 28 (2013) 4, pp. 720-741
Persistent link: https://www.econbiz.de/10009757097
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Bayesian graphical models for structural vector autoregressive processes
Ahelegbey, Daniel Felix; Billio, Monica; Casarin, Roberto - In: Journal of applied econometrics 31 (2016) 2, pp. 357-386
Persistent link: https://www.econbiz.de/10011644349
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An automated prior robustness analysis in Bayesian model comparison
Chan, Joshua; Jacobi, Liana; Zhu, Dan - In: Journal of applied econometrics 37 (2022) 3, pp. 583-602
Persistent link: https://www.econbiz.de/10013186701
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On the forecasting accuracy of multivariate GARCH models
Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - In: Journal of applied econometrics 27 (2012) 6, pp. 934-955
Persistent link: https://www.econbiz.de/10010219744
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Smooth dynamic factor analysis with application to the US term structure of interest rates
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - In: Journal of applied econometrics 29 (2014) 1, pp. 65-90
Persistent link: https://www.econbiz.de/10010414251
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Forecasting disconnected exchange rates
Berge, Travis J. - In: Journal of applied econometrics 29 (2014) 5, pp. 713-735
Persistent link: https://www.econbiz.de/10010414857