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The UK consumption function and structural instability : improving forecasting performance using a time-varying parameter approach

Song, Haiyan - In: Applied economics 30 (1998) 7, pp. 975-983

Persistent link: https://www.econbiz.de/10001244727

Unified tests for a dynamic predictive regression

Yang, Bingduo; Liu, Xiaohui; Peng, Liang; Cai, Zongwu - 2018

Persistent link: https://www.econbiz.de/10011965817

Unified tests for a dynamic predictive regression

Yang, Bingduo; Liu, Xiaohui; Peng, Liang; Cai, Zongwu - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 684-699

Persistent link: https://www.econbiz.de/10012588007

A unified test for predictability of asset returns regardless of properties of predicting variables

Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang - In: Journal of econometrics 208 (2019) 1, pp. 141-159

Persistent link: https://www.econbiz.de/10012139823

A unified predictability test using weighted inference and random weighted bootstrap

Yang, Bingduo; Long, Wei; Liu, Xiaohui; Peng, Liang - 2025

Persistent link: https://www.econbiz.de/10015339749

Evaluating the forecasting performance of econometric models of air passenger traffic flows using multiple error measures

Fildes, Robert; Wei, Yingqi; Ismail, Suzilah - In: International journal of forecasting 27 (2011) 3, pp. 902-922

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The effect of financial analysts' strategic behavior on analysts' forecast dispersion

Liu, Xiaohui; Natarajan, Ramachandran - In: The accounting review : a publication of the American … 87 (2012) 6, pp. 2123-2149

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Volatility Modeling and Prediction : The Role of Price Impact

Jiang, Ying - 2018

In this paper, we are interested in exploring the role of price impact, derived from the order book, in modeling and predicting stock volatility. This is motivated by the microstructure literature that focuses on the mechanics of price formation and its relevance to market quality. Using a...

Persistent link: https://www.econbiz.de/10012913968

Forecasting stock return volatility : realized volatility-type or duration-based estimators

Fei, Tianlun; Liu, Xiaoquan; Wen, Conghua - In: Journal of forecasting 42 (2023) 7, pp. 1594-1621

Persistent link: https://www.econbiz.de/10014432725

Bond return predictability : macro factors and machine learning methods

Jiang, Ying; Liu, Xiaoquan; Liu, Yirong; Zhu, Fumin - In: European financial management : the journal of the … 30 (2024) 5, pp. 2596-2627

Persistent link: https://www.econbiz.de/10015142089