Similar Search Results - EconBiz

A Bayesian midas approach to modeling first and second moment dynamics

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - 2014

Persistent link: https://www.econbiz.de/10010416812

A MIDAS approach to modeling first and second moment dynamics

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of econometrics 193 (2016) 2, pp. 315-334

Persistent link: https://www.econbiz.de/10011704952

A MIDAS Approach to Modeling First and Second Moment Dynamics

Pettenuzzo, Davide - 2015

We propose a new approach to predictive density modeling that allows for MIDAS effects in both the first and second moments of the outcome. Specifically, our modeling approach allows for MIDAS stochastic volatility dynamics, generalizing a large literature focusing on MIDAS effects in the...

Persistent link: https://www.econbiz.de/10013033107

A Bayesian MIDAS approach to modeling first and second moment dynamics

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Roseen - 2014

Persistent link: https://www.econbiz.de/10010505305

Bond return predictability : economic value and links to the macroeconomy

Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540

Persistent link: https://www.econbiz.de/10012000665

Forecasting macroeconomic variables under model instability

Pettenuzzo, Davide; Timmermann, Allan - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 183-201

Persistent link: https://www.econbiz.de/10011704162

High-frequency cash flow dynamics

Pettenuzzo, Davide; Sabbatucci, Riccardo; Timmermann, Allan - 2018

Persistent link: https://www.econbiz.de/10011813356

Excess volatility and predictability of stock prices in autoregressive dividend models with learning

Timmermann, Allan - In: The review of economic studies 63 (1996) 4, pp. 523-557

Persistent link: https://www.econbiz.de/10001209241

Variance bounds and excess volatility

Timmermann, Allan - 1993

Persistent link: https://www.econbiz.de/10000961814

Excess volatility and predictability of stock prices in a trend-stationary dividend model with learning

Timmermann, Allan - 1994

Persistent link: https://www.econbiz.de/10013444331

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