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L' analyse économétrique et la saisonnalité

Ghysels, Eric - In: L' Actualité économique : revue trimest. 70 (1994) 1, pp. 43-62

Persistent link: https://www.econbiz.de/10001164056

Factor analysis with large panels volatility proxies

Ghysels, Eric - 2014

Persistent link: https://www.econbiz.de/10010382083

Optimal prediction under asymmetric loss

Christoffersen, Peter F. - 1994

Persistent link: https://www.econbiz.de/10000920915

Optimal prediction under asymmetric loss

Christoffersen, Peter F.; Diebold, Francis X. - 1997

Persistent link: https://www.econbiz.de/10000968816

Optimal prediction under asymmetric loss

Christoffersen, Peter F. - In: Econometric theory 13 (1997) 6, pp. 808-817

Persistent link: https://www.econbiz.de/10001236164

Backtesting value-at-risk : a duration-based approach

Christoffersen, Peter F.; Pelletier, Denis - In: Journal of financial econometrics : official journal of … 2 (2004) 1, pp. 84-108

Persistent link: https://www.econbiz.de/10002214210

Nonlinear Kalman filtering in affine term structure models

Christoffersen, Peter F.; Dorion, Christian; Jacobs, Kris; … - In: Management science : journal of the Institute for … 60 (2014) 9, pp. 2248-2268

Persistent link: https://www.econbiz.de/10010461908

Optimal Prediction Under Asymmetric Loss

Christoffersen, Peter F.; Diebold, Francis X. - 2021

Prediction problems involving asymmetric loss functions arise routinely in many fields, yet the theory of optimal prediction under asymmetric loss is not well developed. We study the optimal prediction problem under general loss structures and characterize the optimal predictor. We compute the...

Persistent link: https://www.econbiz.de/10013310827

Testing the adequacy of log versus level data transformations using macroeconomic time series

Franses, Philip Hans; Swanson, Norman R. - 1996

Persistent link: https://www.econbiz.de/10000945706

Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction

Chao, John C.; Swanson, Norman R. - 2003 - Rev.

Persistent link: https://www.econbiz.de/10001759427