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New methods for testing, prediction, and estimation with applications to finance

Hediger, Simon - 2023

Persistent link: https://www.econbiz.de/10014282051

Modified profile likelihood inference and interval forecast of the burst of financial bubbles

Filimonov, Vladimir; Demos, Guilherme; Heinimann, Hans … - 2016

We present a detailed methodological study of the application of the modified profile likelihood method for the calibration of nonlinear financial models characterised by a large number of parameters. We apply the general approach to the Log-Periodic Power Law Singularity (LPPLS) model of...

Persistent link: https://www.econbiz.de/10011514498

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

Consistent inference for predictive regressions in persistent economic systems

Andersen, Torben; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 224 (2021) 1, pp. 215-244

Persistent link: https://www.econbiz.de/10013275373

Comparing sequential forecasters

Choe, Yo Joong; Ramdas, Aaditya - In: Operations research 72 (2024) 4, pp. 1368-1387

Persistent link: https://www.econbiz.de/10015045380

Nonlinearity in econometric forecasting and inference

Marmer, Vadim - 2005

Persistent link: https://www.econbiz.de/10003553474

Inference in predictive regression models with persistent regressors

Hillmann, Benjamin - 2021

Persistent link: https://www.econbiz.de/10012663790

Inference in predictive regression models with persistent regressors

Hillmann, Benjamin - 2021

Persistent link: https://www.econbiz.de/10015201213

Essays on the large dimensional approximate dynamic factor model

Schmid, Frank - 2009

Persistent link: https://www.econbiz.de/10013436419

Efficient estimation of conditionally linear and Gaussian state space models

Moura, Guilherme Valle; Turatti, Douglas Eduardo - In: Economics letters 124 (2014) 3, pp. 494-499

Persistent link: https://www.econbiz.de/10010495099

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