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Predicting stock market movements with a time-varying consumption-aggregate wealth ratio

Chang, Tsangyao; Gupta, Rangan; Majumdar, Anandamayee; … - In: International review of economics & finance : IREF 59 (2019), pp. 458-467

Persistent link: https://www.econbiz.de/10012203261

Modelling and forecasting short-term interest rate volatility : a semiparametric approach

Hou, Ai Jun; Suardi, Sandy - In: Journal of empirical finance 18 (2011) 4, pp. 692-710

Persistent link: https://www.econbiz.de/10009306533

Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters

Koopman, Siem Jan; Mallee, Max I. P.; Wel, Michel van der - 2007

factor. Second, we specify the overall volatility as a generalized autoregressive conditional heteroscedasticity (GARCH …

Persistent link: https://www.econbiz.de/10011373825

Local predictability of stock returns and cash flows

Yu, Deshui; Li, Chen - In: Journal of empirical finance 77 (2024), pp. 1-23

Persistent link: https://www.econbiz.de/10014578533

Time-varying predictability of the long horizon equity premium based on semiparametric regressions

Yu, Deshui; Li, Chen; Li, Luyang - In: Economics letters 224 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014307887

Volatility forecasting : the role of lunch-break returns, overnight returns, trading volume and leverage effects

Wang, Xunxiao; Wu, Chongfeng; Xu, Weidong - In: International journal of forecasting 31 (2015) 3, pp. 609-619

Persistent link: https://www.econbiz.de/10011474428

Can intraday data improve the joint estimation and prediction of risk measures? : evidence from a variety of realized measures

Wu, Zhimin; Cai, Guanghui - In: Journal of forecasting 43 (2024) 6, pp. 1956-1974

Persistent link: https://www.econbiz.de/10015110344

Trading strategies and the frequency of time-series

Isaenko, Sergei - In: The quarterly review of economics and finance : journal … 90 (2023), pp. 267-283

Persistent link: https://www.econbiz.de/10014432056

Predicting volatility of bitcoin returns with ARCH, GARCH and EGARCH models

Yildirim, Hakan; Bekun, Festus Victor - In: Future Business Journal 9 (2023), pp. 1-8

market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of … to identify the best fit model that can predict the volatility of return of Bitcoin, which is in high demand as an … the residuals of the average equation model selected have ARCH effect. Volatility of Bitcoin return series after detection …

Persistent link: https://www.econbiz.de/10014382180

Parameter estimation and forecasting for multiplicative lognormal cascades

Leövey, Andrés E.; Lux, Thomas - 2011

foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial … Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We … by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and …

Persistent link: https://www.econbiz.de/10009389845