C53 - Forecasting and Other Model Applications

Citations 1-8 of 8 total displayed.

Most recent content (1 Jul 2008):

Articles
Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall

James W. Taylor
J. Financial Econometrics 2008; 6: 382-406. [Abstract] [Full text] [PDF]  

Past content (since Jan 2004):

Articles
Time-Varying Arrival Rates of Informed and Uninformed Trades

David Easley, Robert F. Engle, Maureen O'Hara, and Liuren Wu
J. Financial Econometrics 2008; 6: 171-207. [Abstract] [Full text] [PDF]  

Articles
Estimating Value at Risk and Expected Shortfall Using Expectiles

James W. Taylor
J. Financial Econometrics 2008; 6: 231-252. [Abstract] [Full text] [PDF]  

Articles
Why Do Absolute Returns Predict Volatility So Well?

Lars Forsberg and Eric Ghysels
J. Financial Econometrics 2007; 5: 31-67. [Abstract] [Full text] [PDF]  

Articles
Stochastic Migration Models with Application to Corporate Risk

Patrick Gagliardini and Christian Gouriéroux
J. Financial Econometrics 2005; 3: 188-226. [Abstract] [Full text] [PDF]  

Articles
Identification of Factor Models for Forecasting Returns

Manfred Deistler and Eva Hamann
J. Financial Econometrics 2005; 3: 256-281. [Abstract] [Full text] [PDF]  

Articles
Least Squares Predictions and Mean-Variance Analysis

Enrique Sentana
J. Financial Econometrics 2005; 3: 56-78. [Abstract] [Full text] [PDF]  

Articles
How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes

Laurent E. Calvet and Adlai J. Fisher
J. Financial Econometrics 2004; 2: 49-83. [Abstract] [Full text] [PDF]