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Forecasting stock return volatility at the quarterly frequency : an evaluation of time series approaches

Reeves, Jonathan J.; Xie, Xuan - In: Applied financial economics 24 (2014) 4/6, pp. 347-356

Persistent link: https://www.econbiz.de/10010399705

Papageorgiou, Nicolas A.; Reeves, Jonathan J.; Xie, Xuan - In: International journal of forecasting 32 (2016) 2, pp. 548-558

Persistent link: https://www.econbiz.de/10011597207

The Hodrick-Prescott filter, a generalisation, and a new procedure for extracting an empirical cycle from a series

Reeves, Jonathan J.; Blyth, Conrad Alexander; Triggs, … - 1996

Persistent link: https://www.econbiz.de/10000955815

The Hodrick-Prescott filter, a generalization, and a new procedure for extracting an empirical cycle from a series

Reeves, Jonathan J.; Blyth, Conrad Alexander; Triggs, … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 4 (2000) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10001773101

Estimation and inference in ARCH models in the presence of outliers

Gregory, Allan W.; Reeves, Jonathan J. - In: Journal of financial econometrics : official journal of … 8 (2010) 4, pp. 547-569

Persistent link: https://www.econbiz.de/10008665738

Monthly beta forecasting with low-, medium- and high-frequency stock returns

Cenesizoglu, Tolga; Liu, Qianqiu; Reeves, Jonathan J.; … - In: Journal of forecasting 35 (2016) 6, pp. 528-541

Persistent link: https://www.econbiz.de/10011595959

Estimation and Inference in Arch Models in the Presence of Outliers

Gregory, Allan - 2010

In this paper, we show the effects that outliers have on estimation and inference for autoregressive conditional heteroskedasticity (ARCH) models. We propose for a wide class of ARCH models commonly estimated, an empirically tractable solution to this problem by replacing outliers with their...

Persistent link: https://www.econbiz.de/10013138432