Suchergebnisse

Using forecasts of forecasters to forecast

In: International journal of forecasting, Band 23, Heft 1, S. 15-28

ISSN: 0169-2070

High-frequency volatility modeling: A Markov-Switching Autoregressive Conditional Intensity model

In: Journal of economic dynamics & control, Band 124, S. 104077

ISSN: 0165-1889

Bolstering the Modelling and Forecasting of Realized Covariance Matrices using (Directional) Common Jumps

Can Capital Adjustment Costs Explain the Decline in Investment-Cash Flow Sensitivity?

In: Journal of Financial and Quantitative Analysis

Estimating Portfolio Risk for Tail Risk Protection Strategies

In: European Financial Management, Band 26, Heft 4, S. 1107–1146

What determines forecasters' forecasting errors?

In: International journal of forecasting, Band 35, Heft 1, S. 11-24

ISSN: 0169-2070

Parametric Risk-Neutral Density Estimation via Finite Lognormal-Weibull Mixtures

In: Journal of Econometrics, Forthcoming

High-Frequency Volatility Modelling: A Markov-Switching Autoregressive Conditional Intensity Model

In: Journal of Economic Dynamics and Control, Forthcoming

A Generalized Heterogeneous Autoregressive Model using Market Information

In: Quantitative Finance (Forthcoming)

Decoupling Interday and Intraday Volatility Dynamics with Price Durations

Realized Candlestick Wicks

Factor Timing with Portfolio Characteristics

A Linear Weight Estimator for Dynamic Global Minimum Variance Portfolio Allocation

Weighted Least Squares Realized Covariation Estimation

The risk of falling short: Implementation Shortfall variance in portfolio construction *