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Forgetting approaches to improve forecasting

Hill, Robert A.; Rodrigues, Paulo M. M. - In: Journal of forecasting 41 (2022) 7, pp. 1356-1371

Persistent link: https://www.econbiz.de/10013465699

Testing for episodic predictability in stock returns

Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 227 (2022) 1, pp. 85-113

Persistent link: https://www.econbiz.de/10013441625

Tail index estimation in the presence of covariates : stock returns' tail risk dynamics

Nicolau, João; Rodrigues, Paulo M. M.; Stoykov, Marian Z. - In: Journal of econometrics 235 (2023) 2, pp. 2266-2284

Persistent link: https://www.econbiz.de/10014471455

Extensions to IVX methods of inference for return predictability

Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 237 (2023) 2,3, pp. 1-30

Persistent link: https://www.econbiz.de/10014471800

Transformed regression-based long-horizon predictability tests

Demetrescu, Matei; Rodrigues, Paulo M. M.; Taylor, Robert - In: Journal of econometrics 237 (2023) 2,3, pp. 1-37

Persistent link: https://www.econbiz.de/10014471812

Forecasting the unconditional and conditional kurtosis of the asset returns distribution

Ñíguez, Trino-Manuel; Perote, Javier; Rubia, Antonio - In: Economic forecasting, (pp. 229-247). 2010

Persistent link: https://www.econbiz.de/10009130829

Forecasting the unconditional and conditional kurtosis of the asset returns distribution

Ñíguez, Trino-Manuel; Perote, Javier; Rubia, Antonio - 2012

Persistent link: https://www.econbiz.de/10009580928

A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks

Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - 2022 - This version: December 6, 2022

This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly different than that of the index. Most importantly, the average size of a jumps in the returns of the typical stock is positive, while it...

Persistent link: https://www.econbiz.de/10013465942

Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices

Ignatieva, Ekaterina; Rodrigues, Paulo Jorge Maurício; … - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 68-75

Persistent link: https://www.econbiz.de/10011389699

Model complexity and out-of-sample performance : evidence from S&P 500 index returns

Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of economic dynamics & control 90 (2018), pp. 1-29

Persistent link: https://www.econbiz.de/10011974016