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Robust nonparametric estimation and prediction in ARCH-related models
Cron, Axel - 1997
Persistent link: https://www.econbiz.de/10000633843
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Mixtures of t-distributions for finance and forecasting
Giacomini, Raffaella; Gottschling, Andreas; Häfke, … - 2007
We explore convenient analytic properties of distributions constructed as mixtures of scaled and shifted t-distributions. A feature that makes this family particularly desirable for econometric applications is that it possesses closed-form expressions for its anti-derivatives (e.g., the...
Persistent link: https://www.econbiz.de/10009735358
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Mixtures of t-distributions for finance and forecasting
Giacomini, Raffaella; Gottschling, Andreas; Häfke, … - 2007
Persistent link: https://www.econbiz.de/10003556381
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Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
Siburg, Karl Friedrich; Stoimenov, Pavel; Weiß, Gregor - In: Journal of banking & finance 54 (2015), pp. 129-140
Persistent link: https://www.econbiz.de/10011377805
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Nonparametric estimation and forecasting for time-varying coefficient realized volatility models
Chen, Xiangjin B.; Gao, Jiti; Li, Degui; Silvapulle, … - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 88-100
Persistent link: https://www.econbiz.de/10011894402
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K-nearest neighbors and a kernel density estimator for GEFCom2014 probabilistic wind power forecasting
Zhang, Yao; Wang, Jianxue - In: International journal of forecasting 32 (2016) 3, pp. 1074-1080
Persistent link: https://www.econbiz.de/10011622018
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Large time-varying parameter VARs : a non-parametric approach
Kapetanios, George; Marcellino, Massimiliano; Venditti, … - 2017
Persistent link: https://www.econbiz.de/10011959996
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Prediction of volatility based on realized-GARCH-kernel-type models : evidence from China and the U.S.
Wang, Jiazhen; Jiang, Yuexiang; Zhu, Yanjian; Yu, Jing - In: Economic modelling 91 (2020), pp. 428-444
Persistent link: https://www.econbiz.de/10012429110
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Nonparametric estimation and conformal inference of the sufficient forecasting with a diverging number of factors
Yu, Xiufan; Yao, Jiawei; Xue, Lingzhou - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 342-354
Persistent link: https://www.econbiz.de/10012804117