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Statistical inference for time-inhomogeneous volatility models

Mercurio, Danilo; Spokojnyj, Vladimir G. - 2002

This paper offers a new approach for estimation and forecasting of the volatility of financial time series. No …. -- stochastic volatility model ; adaptive estimation ; local homogeneity …

Persistent link: https://www.econbiz.de/10009626679

Inferring the predictability induced by a persistent regressor in a predictive threshold model

Gonzalo, Jesús; Pitarakis, Jean-Yves - 2015

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An emotional learning-neuro-fuzzy inference approach for optimum training and forecasting of gas consumption estimation models with cognitive data

Azadeh, Mohammad Ali; Asadzadeh, Seyed Mohammad; … - In: Technological forecasting & social change : an … 91 (2015), pp. 47-63

Persistent link: https://www.econbiz.de/10011317278

Confidence intervals in regressions with estimated factors and idiosyncratic components

Fosten, Jack - In: Economics letters 157 (2017), pp. 71-74

Persistent link: https://www.econbiz.de/10011847312

Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage

Gefang, Deborah; Koop, Gary; Poon, Aubrey - 2019

Persistent link: https://www.econbiz.de/10012115020

Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage

Gefang, Deborah; Koop, Gary; Poon, Aubrey - 2019

Persistent link: https://www.econbiz.de/10012223665

Computationally efficient inference in large Bayesian mixed frequency VARs

Gefang, Deborah; Koop, Gary; Poon, Aubrey - In: Economics letters 191 (2020), pp. 1-6

Persistent link: https://www.econbiz.de/10012508486

Robust inference for diffusion-index forecasts with cross-sectionally dependent data

Kim, Min Seong - 2021

Persistent link: https://www.econbiz.de/10012593573

Exact inference in long-horizon predictive quantile regressions with an application to stock returns

Gungor, Sermin; Luger, Richard - In: Journal of financial econometrics 19 (2021) 4, pp. 746-788

Persistent link: https://www.econbiz.de/10012654991

Nonparametric estimation and conformal inference of the sufficient forecasting with a diverging number of factors

Yu, Xiufan; Yao, Jiawei; Xue, Lingzhou - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 342-354

Persistent link: https://www.econbiz.de/10012804117