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Prediction of α‐stable GARCH and ARMA‐GARCH‐M models
Mohammadi, Mohammad - In: Journal of forecasting 36 (2017) 7, pp. 859-866
Persistent link: https://www.econbiz.de/10011860776
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Long memory of financial time series and hidden Markov models with time‐varying parameters
Nystrup, Peter; Madsen, Henrik; Lindström, Erik - In: Journal of forecasting 36 (2017) 8, pp. 989-1002
Persistent link: https://www.econbiz.de/10011860941
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Density forecasting with time-varying higher moments : a model confidence set approach
Wilhelmsson, Anders - In: Journal of forecasting 32 (2013) 1, pp. 19-31
Persistent link: https://www.econbiz.de/10009758731
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The forecasting performance of a finite mixture regime-switching model for daily electricity prices
Chen, Dipeng; Bunn, Derek W. - In: Journal of forecasting 33 (2014) 5, pp. 364-375
Persistent link: https://www.econbiz.de/10010425623
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Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis; Spungin, Giles E.; Tzavalis, Elias - In: Journal of forecasting 33 (2014) 7, pp. 515-531
Persistent link: https://www.econbiz.de/10011282095
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The importance of time‐varying volatility and country interactions in forecasting economic activity
Trypsteen, Steven - In: Journal of forecasting 36 (2017) 6, pp. 615-628
Persistent link: https://www.econbiz.de/10011861398
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Forecasting VaR and ES in emerging markets : the role of time-varying higher moments
Trung Hai Le - In: Journal of forecasting 43 (2024) 2, pp. 402-414
Persistent link: https://www.econbiz.de/10014475347
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A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao; Gerlach, Richard - In: Journal of forecasting 43 (2024) 1, pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
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Forecasting tail risk of skewed financial returns having exponential-polynomial tails
Antwi, Albert; Gyamfi, Emmanuel Numapau; Adam, Anokye M. - In: Journal of forecasting 43 (2024) 7, pp. 2731-2748
Persistent link: https://www.econbiz.de/10015110551
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Modeling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian innovations
Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - In: Journal of forecasting 42 (2023) 2, pp. 347-368
Persistent link: https://www.econbiz.de/10014292181