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Predictive density estimators for daily volatility based on the use of realized measures
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2009
The main objective of this paper is to propose a feasible, model free estimator of the predictive density of integrated volatility. In this sense, we extend recent papers by Andersen et a]. [Andersen, T.G., Bollerslev,T., Diebold, FX, Labys, P., 2003. Modelling and forecasting realized...
Persistent link: https://www.econbiz.de/10009468887
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A predictive comparison of some simple long- and short memory models of daily US stock returns, with emphasis on business cycle effects
Bhardwaj, Geetesh; Swanson, Norman R. - In: Nonlinear time series analysis of business cycles, (pp. 379-405). 2006
Persistent link: https://www.econbiz.de/10003309394
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Predictive density evaluation
Corradi, Valentina; Swanson, Norman R. - 2006
Persistent link: https://www.econbiz.de/10003338397
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Volatility in discrete and continuous-time models : a survey with new evidence on large and small jumps
Duong, Diep; Swanson, Norman R. - 2011
Persistent link: https://www.econbiz.de/10009698154
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An expository note on the existence of moments of fuller and hful estimators
Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - In: Essays in honor of Jerry Hausman, (pp. 87-106). 2012
Persistent link: https://www.econbiz.de/10009709145
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Combining two consistent estimators
Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - In: Essays in honor of Jerry Hausman, (pp. 33-53). 2012
Persistent link: https://www.econbiz.de/10009709147
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Diffusion index model specification and estimation using mixed frequency datasets
Kim, Kihwan; Swanson, Norman R. - In: Recent advances in estimating nonlinear models : with …, (pp. 15-31). 2014
Persistent link: https://www.econbiz.de/10011406756
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Forecast evaluation
Cheng, Mingmian; Swanson, Norman R.; Yao, Chun - In: Macroeconomic forecasting in the era of big data : …, (pp. 495-537). 2020
Persistent link: https://www.econbiz.de/10012160017