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Forecasting volatility with Copula-based time series models

Sokolinskiy, Oleg; Dijk, Dick van - 2011

Persistent link: https://www.econbiz.de/10009720755

Modeling time-varying skewness via decomposition for out-of-sample forecast

Liu, Xiaochun - In: International journal of forecasting 31 (2015) 2, pp. 296-311

Persistent link: https://www.econbiz.de/10011474059

High-dimensional copula-based distributions with mixed frequency data

Oh, Dong Hwan; Patton, Andrew J. - In: Journal of econometrics 193 (2016) 2, pp. 349-366

Persistent link: https://www.econbiz.de/10011704954

Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae

Manner, Hans; Fard, Farzad Alavi; Pourkhanali, Armin; … - In: Energy economics 78 (2019), pp. 143-164

Persistent link: https://www.econbiz.de/10012159908

Volatility model applications in China's SSE50 options market

Chi, Yeguang; Hao, Wenyan; Zhang, Yifei - In: The journal of futures markets 42 (2022) 9, pp. 1704-1720

Persistent link: https://www.econbiz.de/10013465807

Forecasting soccer matches with betting odds : a tale of two markets

Hegarty, Tadgh; Whelan, Karl - 2023

We compare the properties of betting market odds set in two distinct markets for a large sample of European soccer matches. We confirm inefficiencies in the traditional market for bets on a home win, an away win or a draw as found in previous studies such as Angelini and De Angelis (2019), in...

Persistent link: https://www.econbiz.de/10013556864