Similar Search Results

A comparison of financial duration models via density forecasts

Bauwens, Luc; Giot, Pierre; Grammig, Joachim; Veredas, David - In: International journal of forecasting 20 (2004) 4, pp. 589-609

Persistent link: https://www.econbiz.de/10002434252

Using intra annual information to forecast the annual state deficits : the case of France

Moulin, Laurent; Salto, Matteo; Silvestrini, Andrea; … - 2004

Persistent link: https://www.econbiz.de/10002347130

Monitoring and forecasting annual public deficit every month : the case of France

Silvestrini, Andrea; Salto, Matteo; Moulin, Laurent; … - In: Empirical economics : a journal of the Institute for … 34 (2008) 3, pp. 493-524

Persistent link: https://www.econbiz.de/10003714276

Estimating and forecasting large panels of volatilities with approximate dynamic factor models

Luciani, Matteo; Veredas, David - In: Journal of forecasting 34 (2015) 3, pp. 163-176

Persistent link: https://www.econbiz.de/10011305278

Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models

Veredas, David - 2013

We introduce an approximate dynamic factor model for modeling and forecasting large panels of realized volatilities. Since the model is estimated by means of principal components and low dimensional maximum likelihood, it does not suffer from the curse of dimensionality. We apply the model to a...

Persistent link: https://www.econbiz.de/10013092430

Generalized disappointment aversion, long-run volatility risk and asset prices

Bonomo, Marco Antonio; Garcia, René; Meddahi, Nour; … - 2010

Persistent link: https://www.econbiz.de/10008749056

Generalized disappointment aversion, long-run volatility risk, and asset prices

Bonomo, Marco Antonio; Garcia, René; Meddahi, Nour; … - In: The review of financial studies 24 (2011) 1, pp. 82-122

Persistent link: https://www.econbiz.de/10008909444

Measuring high-frequency causality between returns, realized volatility, and implied volatility

Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - In: Journal of financial econometrics : official journal of … 10 (2012) 1, pp. 124-163

Persistent link: https://www.econbiz.de/10009519709

A model-free measure of aggregate idiosyncratic volatility and the prediction of market returns

Garcia, René; Mantilla-Garcia, Daniel; Martellini, Lionel - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 5/6, pp. 1133-1165

Persistent link: https://www.econbiz.de/10011338944

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Dobrev, Dobrislav; Schaumburg, Ernst - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 388-409

Persistent link: https://www.econbiz.de/10011987513