The following pages link to The Model Confidence Set (Q153516):
Displaying 50 items.
- High-dimensional realized covariance estimation: a parametric approach (Q5051983) (← links)
- Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions (Q5057240) (← links)
- A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks (Q5080547) (← links)
- Forecasting with GARCH models under structural breaks: An approach based on combinations across estimation windows (Q5083880) (← links)
- Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility (Q5085946) (← links)
- A generalized heterogeneous autoregressive model using market information (Q5092664) (← links)
- A robust functional time series forecasting method (Q5107356) (← links)
- A closed-form formula characterization of the Epps effect (Q5121493) (← links)
- Macroeconomic fundamentals, jump dynamics and expected volatility (Q5139235) (← links)
- Cross-Validation With Confidence (Q5146047) (← links)
- (Q5148950) (← links)
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model (Q5212061) (← links)
- Model Selection confidence sets by likelihood ratio testing (Q5226611) (← links)
- Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution (Q5234329) (← links)
- Data cloning estimation for asymmetric stochastic volatility models (Q5861027) (← links)
- Controlling the error probabilities of model selection information criteria using bootstrapping (Q5861435) (← links)
- Independent Factor Autoregressive Conditional Density Model (Q5863555) (← links)
- Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators (Q5864355) (← links)
- Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models (Q5864370) (← links)
- Panel data nowcasting (Q5867566) (← links)
- Real-time nowcasting of nominal GDP with structural breaks (Q5964705) (← links)
- Predicting stock realized variance based on an asymmetric robust regression approach (Q6066261) (← links)
- Bootstrapping Laplace transforms of volatility (Q6088832) (← links)
- Bayesian inference of multivariate-GARCH-BEKK models (Q6089306) (← links)
- Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models (Q6090562) (← links)
- Semiparametric modeling of multiple quantiles (Q6090581) (← links)
- Order selection with confidence for finite mixture models (Q6101011) (← links)
- Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models (Q6108290) (← links)
- Parametric estimation of long memory in factor models (Q6108311) (← links)
- Nonparametric tests for market timing ability using daily mutual fund returns (Q6109940) (← links)
- High‐dimensional sparse multivariate stochastic volatility models (Q6135331) (← links)
- Unrestricted, restricted, and regularized models for forecasting multivariate volatility (Q6138238) (← links)
- Cryptocurrency volatility forecasting: what can we learn from the first wave of the COVID-19 outbreak? (Q6148812) (← links)
- Predicting the Global Minimum Variance Portfolio (Q6149858) (← links)
- Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions (Q6149861) (← links)
- Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil (Q6149865) (← links)
- Sparse generalized Yule-Walker estimation for large spatio-temporal autoregressions with an application to NO\(_2\) satellite data (Q6150502) (← links)
- Intergenerational actuarial fairness when longevity increases: amending the retirement age (Q6152691) (← links)
- Longevity hedge effectiveness using socioeconomic indices (Q6152719) (← links)
- Supervised portfolios (Q6158392) (← links)
- A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures (Q6158402) (← links)
- From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution (Q6158406) (← links)
- Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios (Q6158409) (← links)
- Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model (Q6163267) (← links)
- Bootstrap analysis of mutual fund performance (Q6163278) (← links)
- Forecasting mortality rates with a coherent ensemble averaging approach (Q6163451) (← links)
- We modeled long memory with just one lag! (Q6175544) (← links)
- Optimal estimating function for weak location‐scale dynamic models (Q6176937) (← links)
- Measures of Uncertainty for Shrinkage Model Selection (Q6185141) (← links)
- Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices (Q6190695) (← links)
