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Forecasting stock market volatility : an asymmetric conditional autoregressive range mixed data sampling (ACARR-MIDAS) model
Wu, Xinyu; Han, Yang; Ma, Chaoqun - In: Journal of risk 23 (2021) 6, pp. 1-35
Persistent link: https://www.econbiz.de/10013473133
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Probleme von Hypothesentests in kleinen Stichproben und bei Fehlspezifikationen
Müller-Brockhausen, Gerd - 1987
Persistent link: https://www.econbiz.de/10000738442
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Small sample adjustments for the J-test
Godfrey, L. G.; Godfrey, L.G.; Pesaran, M. Hashem - 1983
Persistent link: https://www.econbiz.de/10000012596
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Sample partial autocorrelations and portmanteau tests for randomness
Kwan, Andy Cheuk-chiu - In: Applied economics letters 10 (2003) 10, pp. 605-609
Persistent link: https://www.econbiz.de/10001801903
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A model to forecast payments from the redundancy fund
Bushell, Robert - 1981
Persistent link: https://www.econbiz.de/10003508291
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Volatility and time series econometrics : essays in honor of Robert Engle
Bollerslev, Tim (ed.); Engle, Robert F. (honouree);  … - 2010 - 1. publ.
theory 122 3 More empirical work … from options prices, in theory 329 4 Extracting a risk-neutral density from options market prices …
Persistent link: https://www.econbiz.de/10003861657
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Midastar : Threshold Autoregression with Data Sampled at Mixed Frequencies
Motegi, Kaiji; Dennis, Jay - 2022
We propose Midastar models by combining the Mixed Data Sampling (MIDAS) and the threshold autoregression (TAR). The …
Persistent link: https://www.econbiz.de/10014240508
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Comparison of the forecasting performance of methods for fitting autoregressive models
Lütkepohl, Helmut - 1984
Persistent link: https://www.econbiz.de/10000073449
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Statistics, data analysis, and decision modeling
Evans, James R.; Olson, David L. - 2003 - 2. ed
Persistent link: https://www.econbiz.de/10001665256