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Anticipating business-cycle turning points in real time using density forecasts from a VAR

Schreiber, Sven; Soldatenkova, Natalia - In: Journal of macroeconomics 47 (2016), pp. 166-187

Persistent link: https://www.econbiz.de/10011707598

Can asymmetric conditional volatility imply asymmetric tail dependence?

Kim, Jong-Min; Jung, Hojin - In: Economic modelling 64 (2017), pp. 409-418

Persistent link: https://www.econbiz.de/10011761287

Combined density nowcasting in an uncertain economic environment

Aastveit, Knut Are; Ravazzolo, Francesco; Dijk, Herman … - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 131-145

Persistent link: https://www.econbiz.de/10011894481

Markov-switching quantile autoregression : a Gibbs sampling approach

Liu, Xiaochun; Luger, Richard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 2, pp. 1-33

Persistent link: https://www.econbiz.de/10011897360

Adaptive models and heavy tails with an application to inflation forecasting

Delle Monache, Davide; Petrella, Ivan - In: International journal of forecasting 33 (2017) 2, pp. 482-501

Persistent link: https://www.econbiz.de/10011922921

Forecasting with VAR models : fat tails and stochastic volatility

Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2015

Persistent link: https://www.econbiz.de/10011312174

Testing the martingale restriction for option implied densities

Busch, Thomas (contributor) - 2004 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10002491622

Testing the martingale restriction for option implied densities

Busch, Thomas - In: Review of derivatives research 11 (2008) 1/2, pp. 61-81

Persistent link: https://www.econbiz.de/10003829557

The dynamic location/scale model : with applications to intra-day financial data

Andrès, Philippe; Harvey, Andrew C. - 2012

Persistent link: https://www.econbiz.de/10009667180

Predicting bid-ask spreads using long memory autoregressive conditional poisson models

Groß-Klußmann, Axel; Hautsch, Nikolaus - 2011 - This version: July 2011

We introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading operations. It is shown that the LMACP nicely captures salient features of...

Persistent link: https://www.econbiz.de/10009229669