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Forecasting the impact of information security breaches on stock market returns and VaR backtest

Colivicchi, Ilaria; Vignaroli, Riccardo - In: Journal of mathematical finance 9 (2019) 3, pp. 402-454

Persistent link: https://www.econbiz.de/10012210337

Decay factor as a determinant of forecasting models

Mentel, Grzegorz; Brożyna, Jacek - In: International journal of economics and finance 7 (2015) 1, pp. 118-128

Persistent link: https://www.econbiz.de/10010471694

Conditional forecasts in dynamic multivariate models

Waggoner, Daniel F.; Zha, Tao - In: The review of economics and statistics 81 (1999) 4, pp. 639-651

Persistent link: https://www.econbiz.de/10001437383

Multivariate density forecast evaluation and calibration in financial risk management : high-frequency returns on foreign exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. A. - In: The review of economics and statistics 81 (1999) 4, pp. 661-673

Persistent link: https://www.econbiz.de/10001437391

Conditional forecasts in dynamic multivariate models

Waggoner, Daniel F.; Zha, Tao - 1998

Persistent link: https://www.econbiz.de/10001407631

Determination of optimal prediction oriented multivariate latent factor models using loss functions

Weihs, Claus; Hothorn, Torsten - 2002

Persistent link: https://www.econbiz.de/10001742155

Estimating large-scale factor models for economic activity in Germany : do they outperform simpler models?

Dreger, Christian (contributor); … - 2002

Persistent link: https://www.econbiz.de/10001712654

Estimating large-scale factor models for economic activity in Germany : do they outperform simpleer models? : übertreffen sie einfachere Modelle?

Schumacher, Christian; Dreger, Christian - In: Jahrbücher für Nationalökonomie und Statistik 224 (2004) 6, pp. 731-750

Persistent link: https://www.econbiz.de/10002419372

Variable Selection, Estimation and Inference for Multi-Period Forecasting Problems

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2011

This paper conducts a broad-based comparison of iterated and direct multi-period forecasting approaches applied to both univariate and multivariate models in the form of parsimonious factor-augmented vector autoregressions. To account for serial correlation in the residuals of the multi-period...

Persistent link: https://www.econbiz.de/10014042344

Macroeconomic Forecasting and Variable Ordering in Multivariate Stochastic Volatility Models

Arias, Jonas; Rubio-Ramírez, Juan Francisco; Shin, Minchul - 2021

-SV. First, the ordering does not affect point prediction. Second, the standard deviation of the predictive densities implied by … different orderings can differ substantially. Third, the average length of the prediction intervals is also sensitive to the …

Persistent link: https://www.econbiz.de/10014048674