Asymptotic Inference about Predictive Ability
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- Nested forecast model comparisons: a new approach to testing equal accuracy
- Testing the predictive ability of corridor implied volatility under GARCH models
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- Forecasting by factors, by variables, by both or neither?
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- Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty
- Simulation based selection of competing structural econometric models
- Copula-based multivariate GARCH model with uncorrelated dependent errors
- To combine forecasts or to combine information?
- Forecasting volatility with support vector machine-based GARCH model
- The use of encompassing tests for forecast combinations
- Testing conditional asymmetry: a residual-based approach
- Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK
- MONEY GROWTH AND INFLATION IN THE UNITED STATES
- Heterogeneous beliefs, regret, and uncertainty: the role of speculation in energy price dynamics
- Asymptotic Behavior of Predictors in a Nonlinear Simultaneous System
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- On asymptotic properties of predictive distributions
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- ARMA representation of integrated and realized variances
- Asymptotics for out of sample tests of Granger causality
- Tail-risk protection trading strategies
- On the sources of uncertainty in exchange rate predictability
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- Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model
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- Trading profitability from learning and adaptation on the Tokyo Stock Exchange
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- Distribution of test statistics under parameter uncertainty for time series data: an application to testing skewness, kurtosis and normality
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- Backtesting portfolio value‐at‐risk with estimated portfolio weights
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- Tests of equal accuracy for nested models with estimated factors
- scientific article; zbMATH DE number 6458312 (Why is no real title available?)
- Comparison of misspecified calibrated models: the minimum distance approach
- On loss functions and ranking forecasting performances of multivariate volatility models
- Data-based ranking of realised volatility estimators
- Robust forecast comparison
- Nonparametric monitoring of equal predictive ability
- Inference about predictive ability
- ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY
- Evaluating Direct Multistep Forecasts
- Quantile aggregation and combination for stock return prediction
- Panel data nowcasting
- Tests of equal forecast accuracy and encompassing for nested models
- Dangers of data mining: The case of calendar effects in stock returns
- Encompassing tests when no model is encompassing
- Predictive ability with cointegrated variables
- Forecasting national recessions of the United States with state-level climate risks: evidence from model averaging in Markov-switching models
- Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk
- Forecasting Levels in Loglinear Unit Root Models
- TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
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