Recommendations
Cited in
(only showing first 100 items - show all)- Statistical tests for multiple forecast comparison
- Simple measures of uncertainty for model selection
- The determinants of CDS spreads: evidence from the model space
- Forecasting realized volatility: a review
- Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks
- Robust ranking of multivariate GARCH models by problem dimension
- Infinite-order, long-memory heterogeneous autoregressive models
- Direct comparison of agent-based models of herding in financial markets
- Model complexity and out-of-sample performance: evidence from S\&P 500 index returns
- Robust measurement of (heavy-tailed) risks: theory and implementation
- Estimation and empirical performance of non-scalar dynamic conditional correlation models
- Managing risk with a realized copula parameter
- Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach
- Short-run electricity load forecasting with combinations of stationary wavelet transforms
- Particle Markov chain Monte Carlo techniques of unobserved component time series models using Ox
- Term structure forecasting in affine framework with time-varying volatility
- European exchange trading funds trading with locally weighted support vector regression
- Asymptotic inference about predictive accuracy using high frequency data
- Structural combination of seasonal exponential smoothing forecasts applied to load forecasting
- Asymptotics of Cholesky GARCH models and time-varying conditional betas
- Loss functions for loss given default model comparison
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
- A novel hybrid multivariate nonlinear grey model for forecasting the traffic-related emissions
- A parsimonious parametric model for generating margin requirements for futures
- Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- Forecasting volatility in bitcoin market
- Addressing the life expectancy gap in pension policy
- Forecasting volatility using combination across estimation windows: an application to S\&P500 stock market index
- Confidence graphs for graphical model selection
- Machine learning for credit scoring: improving logistic regression with non-linear decision-tree effects
- A change-point approach for the identification of financial extreme regimes
- Fat tails, serial dependence, and implied volatility index connections
- Comparing unconstrained parametrization methods for return covariance matrix prediction
- Visualization and assessment of model selection uncertainty
- Improved central limit theorem and bootstrap approximations in high dimensions
- From zero to hero: realized partial (co)variances
- Forecasting stock market in high and low volatility periods: a modified multifractal volatility approach
- Modeling returns volatility: realized GARCH incorporating realized risk measure
- Forecasting carbon futures price: a hybrid method incorporating fuzzy entropy and extreme learning machine
- Forecasting inflation rates with multi-level international dependence
- Forecast the realized range-based volatility: the role of investor sentiment and regime switching
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio
- Clustering and meta-envelopment in data envelopment analysis
- Multivariate leverage effects and realized semicovariance GARCH models
- Incorporating overnight and intraday returns into multivariate GARCH volatility models
- Time-varying consumer disagreement and future inflation
- Fast clustering of GARCH processes via Gaussian mixture models
- On classifying the effects of policy announcements on volatility
- Quantifying ambiguity bounds via time-consistent sets of indistinguishable models
- The effects of trade size and market depth on immediate price impact in a limit order book market
- Multi-agent-based VaR forecasting
- On local normability of spaces of Keplerian orbits
- Pricing and hedging in incomplete markets with model uncertainty
- VIX derivatives, hedging and vol-of-vol risk
- Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion
- The effects of conventional and unconventional monetary policy on forecasting the yield curve
- Exploiting ergodicity in forecasts of corporate profitability
- Bahadur intercept with applications to one-sided testing
- A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US
- Improving forecasts with the co-range dynamic conditional correlation model
- Distribution theory of the least squares averaging estimator
- Forecasting volatility returns of oil price using gene expression programming approach.
- Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages
- Multi-population mortality modeling: when the data is too much and not enough
- Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
- A simple joint model for returns, volatility and volatility of volatility
- Steady-state priors and Bayesian variable selection in VAR forecasting
- Simple factor realized stochastic volatility models
- Flexible HAR model for realized volatility
- Conditional asymmetry in power ARCH() models
- Risk measures with the CxLS property
- Sir Clive W. J. Granger model selection
- Modeling and forecasting exchange rate volatility in time-frequency domain
- MCS
- Volatility forecasting of strategically linked commodity ETFs: gold-silver
- Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities
- How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
- How hard is it to pick the right model? MCS and backtest overfitting
- Modifying a simple agent-based model to disentangle the microstructure of Chinese and US stock markets
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns
- Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
- Inference after model averaging in linear regression models
- Dynamic principal component CAW models for high-dimensional realized covariance matrices
- Evaluation of volatility predictions in a VaR framework
- Jumps and oil futures volatility forecasting: a new insight
- Modeling and forecasting realized covariance matrices with accounting for leverage
- A multivariate volatility vine copula model
- Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
- Mortality forecasting using stacked regression ensembles
- TREE-BASED MACHINE LEARNING METHODS FOR MODELING AND FORECASTING MORTALITY
- Inflation Rate Forecasting: Extreme Learning Machine as a Model Combination Method
- High-dimensional realized covariance estimation: a parametric approach
- Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
- A multivariate GARCH model incorporating the direct and indirect transmission of shocks
- Forecasting with GARCH models under structural breaks: An approach based on combinations across estimation windows
- Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility
- A generalized heterogeneous autoregressive model using market information
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