Similar Search Results

Forecasting the yield curve: the role of additional and timevarying decay parameters, conditional heteroscedasticity, and macro-economic factors

Caldeira, João F.; Cordeiro, Werley C.; Ruiz, Esther; … - 2023

Persistent link: https://www.econbiz.de/10014371839

Revisiting several popular GARCH models with leverage effect : differences and similarities

Rodríguez, María José; Ruiz, Esther - In: Journal of financial econometrics : official journal of … 10 (2012) 4, pp. 637-668

Persistent link: https://www.econbiz.de/10009671894

Comparing high-dimensional conditional covariance matrices : implications for portfolio selection

Moura, Guilherme Valle; Santos, André A. P.; Ruiz, Esther - In: Journal of banking & finance 118 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012521005

Forecasting the Yield Curve : The Role of Additional and Time-Varying Decay Parameters, Conditional Heteroscedasticity, and Macro-Economic Factors

Caldeira, João F.; Cordeiro, Werley; Ruiz, Esther; … - 2023

In this paper, we analyze the forecasting performance of several parametric extensions of the popular Dynamic Nelson-Siegel (DNS) model for the yield curve. Our focus is on the role of additional and time-varying decay parameters, conditional heteroscedasticity, and macroeconomic variables. We...

Persistent link: https://www.econbiz.de/10014349394

Time-varying risk : the case of the American computer industry

González-Rivera, Gloria - In: Journal of empirical finance 2 (1996) 4, pp. 333-342

Persistent link: https://www.econbiz.de/10001208686

Predicting rare events evaluating systemic and idiosyncratic risk

González-Rivera, Gloria (contributor) - In: International journal of forecasting 30 (2014) 3, pp. 688-690

Persistent link: https://www.econbiz.de/10010515595

Comment on: "Time series modeling of histogram-valued data : the daily histogram time series of S&P500 intradaily returns"

Nicolau, João - In: International journal of forecasting 28 (2012) 1, pp. 34-35

Persistent link: https://www.econbiz.de/10009580811

Time series modeling of histogram-valued data : the daily histogram time series of S&P500 intradaily returns

González-Rivera, Gloria; Arroyo, Javier - In: International journal of forecasting 28 (2012) 1, pp. 20-33

Persistent link: https://www.econbiz.de/10009580813

Jumps in cross-sectional rank and expected returns : a mixture model

González-Rivera, Gloria; Lee, Tae-hwy; Mishra, Santosh - In: Journal of applied econometrics 23 (2008) 5, pp. 585-606

Persistent link: https://www.econbiz.de/10003760414