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An interesting finding about the ability of geopolitical risk to forecast aggregate equity return volatility out-of-sample
Nonejad, Nima - In: Finance research letters 47 (2022) 2, pp. 1-9
Persistent link: https://www.econbiz.de/10013553686
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Point forecasts of the price of crude oil : an attempt to "beat" the end-of-month random-walk benchmark
Nonejad, Nima - In: Empirical economics : a quarterly journal of the … 67 (2024) 4, pp. 1497-1539
Persistent link: https://www.econbiz.de/10015141979
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Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
Nonejad, Nima - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 5, pp. 561-584
Persistent link: https://www.econbiz.de/10011431022
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Does the price of crude oil help predict the conditional distribution of aggregate equity return?
Nonejad, Nima - In: Empirical economics : a journal of the Institute for … 58 (2020) 1, pp. 313-349
Persistent link: https://www.econbiz.de/10012218998
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Reproducing the results in "Does the time-consistency problem explain the behavior of inflation in the United States?" using the Metropolis-Hastings algorithm
Nonejad, Nima - In: Empirical economics : a journal of the Institute for … 59 (2020) 5, pp. 2559-2571
Persistent link: https://www.econbiz.de/10012317430
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Particle Markov chain Monte Carlo Techniques of unobserved component time series models using Ox
Nonejad, Nima - 2013
Persistent link: https://www.econbiz.de/10009782694
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Long memory and structural breaks in realized volatility : an irreversible Markov switching approach
Nonejad, Nima - 2013
Persistent link: https://www.econbiz.de/10009782698
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A mixture innovation heterogeneous autoregressive model for structural breaks and long memory
Nonejad, Nima - 2013
Persistent link: https://www.econbiz.de/10009782709
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Bayesian model averaging and the conditional volatility process : an application to predicting aggregate equity returns by conditioning on economic variables
Nonejad, Nima - In: Quantitative finance 21 (2021) 8, pp. 1387-1411
Persistent link: https://www.econbiz.de/10012608655
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Using the conditional volatility channel to improve the accuracy of aggregate equity return predictions
Nonejad, Nima - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 973-1009
Persistent link: https://www.econbiz.de/10012616915