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Inference in semiparametric binary response models with interval data

Wan, Yuanyuan; Haiqing Xu - In: Journal of econometrics 184 (2015) 2, pp. 347-360

Persistent link: https://www.econbiz.de/10011339318

Predicting stock return volatility : can we benefit from regression models for return intervals?

Fischer, Henning; Blanco-Fernández, Ángela; Winker, Peter - In: Journal of forecasting 35 (2016) 2, pp. 113-146

Persistent link: https://www.econbiz.de/10011580244

Off the beaten track : a new linear model for interval data

Dias, Sónia; Brito, Paula - In: European journal of operational research : EJOR 258 (2017) 3, pp. 1118-1130

Persistent link: https://www.econbiz.de/10011644688

Evaluating heterogeneous forecasts for vintages of macroeconomic variables

Franses, Philip Hans; Welz, Max - In: Journal of forecasting 41 (2022) 4, pp. 829-839

Persistent link: https://www.econbiz.de/10013287864

Predicting volatility based on interval regression models

Qu, Hui; He, Mengying - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-21

Considering the inferior volatility tracking capability of the point-data-based models, we propose using the more informative price interval data and building interval regression models for volatility forecasting. To characterize the heterogeneity of the market and the nonlinearity of...

Persistent link: https://www.econbiz.de/10014284403