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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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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
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Time-varying predictability of the long horizon equity premium based on semiparametric regressions
Yu, Deshui; Li, Chen; Li, Luyang - In: Economics letters 224 (2023), pp. 1-6
Persistent link: https://www.econbiz.de/10014307887
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Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction
Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2018
nonstationary. We also establish the estimation theory and asymptotic properties for these models in the short horizon and long …
Persistent link: https://www.econbiz.de/10011775136
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Empirical Pricing Kernel Estimation Using a Functional Gradient Descent Algorithm Based on Splines
Meier, Pirmin - 2012
estimation properties of the method and test its predictive power on S&P 500 option data, comparing it as well with other recent …
Persistent link: https://www.econbiz.de/10013108080
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Measuring nonlinear Granger causality in mean
Song, Xiaojun; Taamouti, Abderrahim - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 321-333
Persistent link: https://www.econbiz.de/10011895015
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Rolling window selection for out-of-sample forecasting with time-varying parameters
Inoue, Atsushi; Lu, Jin; Rossi, Barbara - In: Journal of econometrics 196 (2017) 1, pp. 55-67
Persistent link: https://www.econbiz.de/10011743498