Pages that link to "Item:Q292004"

The following pages link to Predicting volatility: getting the most out of return data sampled at different frequencies (Q292004):

Displaying 50 items.

• MIDAS Regressions: Further Results and New Directions (Q130725) (← links)
• Monitoring disruptions in financial markets (Q291846) (← links)
• Predicting volatility: getting the most out of return data sampled at different frequencies (Q292004) (← links)
• Volatility puzzles: a simple framework for gauging return-volatility regressions (Q292008) (← links)
• Realized volatility forecasting and option pricing (Q299252) (← links)
• Forecasting inflation using commodity price aggregates (Q472756) (← links)
• Dynamic misspecification in nonparametric cointegrating regression (Q527941) (← links)
• Macroeconomics and the reality of mixed frequency data (Q726586) (← links)
• On the use of high frequency measures of volatility in MIDAS regressions (Q726593) (← links)
• The estimation of continuous time models with mixed frequency data (Q726594) (← links)
• Testing for Granger causality in large mixed-frequency VARs (Q726601) (← links)
• A computationally efficient method for vector autoregression with mixed frequency data (Q726603) (← links)
• Threshold bipower variation and the impact of jumps on volatility forecasting (Q737246) (← links)
• Do high-frequency measures of volatility improve forecasts of return distributions? (Q737263) (← links)
• Forecasting multivariate realized stock market volatility (Q737267) (← links)
• Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations (Q737273) (← links)
• Realized volatility forecasting and market microstructure noise (Q737278) (← links)
• Volatility forecasting and microstructure noise (Q737282) (← links)
• The conditional autoregressive Wishart model for multivariate stock market volatility (Q738147) (← links)
• Forecasting realized volatility: a review (Q1622112) (← links)
• Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks (Q1623507) (← links)
• Infinite-order, long-memory heterogeneous autoregressive models (Q1623535) (← links)
• Managing risk with a realized copula parameter (Q1659106) (← links)
• Forecasting data revisions of GDP: a mixed frequency approach (Q2006854) (← links)
• Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals (Q2019875) (← links)
• High frequency-based quantile forecast and combination: an application to oil market (Q2086173) (← links)
• Interplay multifractal dynamics among metal commodities and US-EPU (Q2088235) (← links)
• Economic policy uncertainty and volatility of treasury futures (Q2165388) (← links)
• Incorporating overnight and intraday returns into multivariate GARCH volatility models (Q2190235) (← links)
• Editorial: Celebrating 40 years of panel data analysis: past, present and future (Q2224972) (← links)
• Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors (Q2224982) (← links)
• Dynamic panels with MIDAS covariates: nonlinearity, estimation and fit (Q2224996) (← links)
• Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality (Q2227063) (← links)
• Mapping the presidential election cycle in US stock markets (Q2271596) (← links)
• Monitoring banking system connectedness with big data (Q2323377) (← links)
• Large-scale portfolio allocation under transaction costs and model uncertainty (Q2323379) (← links)
• Forecasting volatility in the presence of model instability (Q2810422) (← links)
• Multivariate AR systems and mixed frequency data: G-identifiability and estimation (Q2826003) (← links)
• Implementing residual-based KPSS tests for cointegration with data subject to temporal aggregation and mixed sampling frequencies (Q2830681) (← links)
• Forecasting volatility with support vector machine-based GARCH model (Q3065523) (← links)
• DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE (Q3166712) (← links)
• LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS (Q3191830) (← links)
• TF-MIDAS: a transfer function based mixed-frequency model (Q3389613) (← links)
• LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS (Q3408516) (← links)
• Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series (Q3452741) (← links)
• Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets (Q4561854) (← links)
• A self-normalizing approach to the specification test of mixed-frequency models (Q4563504) (← links)
• (Q5011557) (← links)
• Jumps and oil futures volatility forecasting: a new insight (Q5014220) (← links)
• Dynamic quantile function models (Q5039628) (← links)