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New methodology for constructing real estate price indices applied to the Singapore residential market

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Pitfalls and possibilities in predictive regression

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Halbert White jr. Memorial JFEC Lecture : pitfalls and possibilities in predictive regression

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Forecasting equity index volatility by measuring the linkage among component stocks

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Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process

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Investigating impacts of self-exciting jumps in returns and volatility : a Bayesian learning approach

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Forecasting Realized Volatility Using a Nonnegative Semiparametric Model

Eriksson, Anders - 2019

This paper introduces a parsimonious and yet flexible semiparametric model to forecast financial volatility. The new model extends the linear nonnegative autoregressive model of Barndorff-Nielsen and Shephard (2001) and Nielsen and Shephard (2003) by way of a power transformation. It is...

Persistent link: https://www.econbiz.de/10012863889

On the optimal forecast with the fractional Brownian motion

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