Search Results

There are 37058 results for: content related to: A forecast comparison of volatility models: does anything beat a GARCH(1,1)?

  1. Asymmetric power distribution: Theory and applications to risk measurement

    Journal of Applied Econometrics

    Volume 22, Issue 5, August 2007, Pages: 891–921, Ivana Komunjer

    Version of Record online : 23 JUL 2007, DOI: 10.1002/jae.961

  2. International dynamic risk sharing

    Journal of Applied Econometrics

    Volume 23, Issue 1, January/February 2008, Pages: 1–16, Giuseppe Cavaliere, Luca Fanelli and Attilio Gardini

    Version of Record online : 20 FEB 2008, DOI: 10.1002/jae.968

  3. You have free access to this content
    Bounds testing approaches to the analysis of level relationships

    Journal of Applied Econometrics

    Volume 16, Issue 3, May/June 2001, Pages: 289–326, M. Hashem Pesaran, Yongcheol Shin and Richard J. Smith

    Version of Record online : 22 JUN 2001, DOI: 10.1002/jae.616

  4. A unified approach to standardized-residuals-based correlation tests for GARCH-type models

    Journal of Applied Econometrics

    Volume 23, Issue 1, January/February 2008, Pages: 111–133, Yi-Ting Chen

    Version of Record online : 20 FEB 2008, DOI: 10.1002/jae.985

  5. The cross-Euler equation approach to intertemporal substitution in import demand

    Journal of Applied Econometrics

    Volume 20, Issue 7, December 2005, Pages: 841–872, Dr Shin-Ichi Nishiyama

    Version of Record online : 19 DEC 2005, DOI: 10.1002/jae.816

  6. Testing the purchasing power parity through I(2) cointegration techniques

    Journal of Applied Econometrics

    Volume 20, Issue 6, September/October 2005, Pages: 749–770, Emanuele Bacchiocchi and Professor Luca Fanelli

    Version of Record online : 16 JUN 2005, DOI: 10.1002/jae.786

  7. You have free access to this content
    Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective

    Journal of Applied Econometrics

    Volume 24, Issue 1, January/February 2009, Pages: 35–75, Nathan S. Balke and Mark E. Wohar

    Version of Record online : 5 SEP 2008, DOI: 10.1002/jae.1025

  8. An empirical model of the multi-unit, sequential, clock auction

    Journal of Applied Econometrics

    Volume 21, Issue 8, December 2006, Pages: 1221–1247, Stephen G. Donald, Harry J. Paarsch and Jacques Robert

    Version of Record online : 12 DEC 2006, DOI: 10.1002/jae.854

  9. On detrending and cyclical asymmetry

    Journal of Applied Econometrics

    Volume 18, Issue 3, May/June 2003, Pages: 271–289, Zacharias Psaradakis and Martin Sola

    Version of Record online : 8 OCT 2002, DOI: 10.1002/jae.681

  10. An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics

    Journal of Applied Econometrics

    Volume 26, Issue 4, June/July 2011, Pages: 669–707, Katarzyna Bien, Ingmar Nolte and Winfried Pohlmeier

    Version of Record online : 24 NOV 2009, DOI: 10.1002/jae.1122

  11. What do we learn from the price of crude oil futures?

    Journal of Applied Econometrics

    Volume 25, Issue 4, June/July 2010, Pages: 539–573, Ron Alquist and Lutz Kilian

    Version of Record online : 24 FEB 2010, DOI: 10.1002/jae.1159

  12. Quasi-rational and ex ante price expectations in commodity supply models: an empirical analysis of the US broiler market

    Journal of Applied Econometrics

    Volume 18, Issue 4, July/August 2003, Pages: 407–426, Matthew T. Holt and Andrew M. McKenzie

    Version of Record online : 1 AUG 2003, DOI: 10.1002/jae.694

  13. Land of addicts? an empirical investigation of habit-based asset pricing models

    Journal of Applied Econometrics

    Volume 24, Issue 7, November/December 2009, Pages: 1057–1093, Xiaohong Chen and Sydney C. Ludvigson

    Version of Record online : 11 AUG 2009, DOI: 10.1002/jae.1091

  14. You have free access to this content
    Does the option market produce superior forecasts of noise-corrected volatility measures?

    Journal of Applied Econometrics

    Volume 24, Issue 1, January/February 2009, Pages: 77–104, Gael M. Martin, Andrew Reidy and Jill Wright

    Version of Record online : 4 DEC 2008, DOI: 10.1002/jae.1033

  15. You have free access to this content
    Realising the future: forecasting with high-frequency-based volatility (HEAVY) models

    Journal of Applied Econometrics

    Volume 25, Issue 2, March 2010, Pages: 197–231, Professor Neil Shephard and Kevin Sheppard

    Version of Record online : 27 JAN 2010, DOI: 10.1002/jae.1158

  16. Model-free evaluation of directional predictability in foreign exchange markets

    Journal of Applied Econometrics

    Volume 22, Issue 5, August 2007, Pages: 855–889, Jaehun Chung and Yongmiao Hong

    Version of Record online : 10 AUG 2007, DOI: 10.1002/jae.965

  17. Jumps in cross-sectional rank and expected returns: a mixture model

    Journal of Applied Econometrics

    Volume 23, Issue 5, August 2008, Pages: 585–606, Gloria González-Rivera, Tae-Hwy Lee and Santosh Mishra

    Version of Record online : 19 AUG 2008, DOI: 10.1002/jae.1015

  18. Nonlinearity in the Fed's monetary policy rule

    Journal of Applied Econometrics

    Volume 20, Issue 5, July/August 2005, Pages: 621–639, Dong Heon Kim, Professor Denise R. Osborn and Marianne Sensier

    Version of Record online : 31 MAR 2005, DOI: 10.1002/jae.792

  19. You have free access to this content
    Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly

    Journal of Applied Econometrics

    Volume 16, Issue 6, November/December 2001, Pages: 671–708, Professor Alex Maynard and Peter C. B. Phillips

    Version of Record online : 13 DEC 2001, DOI: 10.1002/jae.624

  20. A bounds analysis of school completion rates in Australia

    Journal of Applied Econometrics

    Volume 23, Issue 3, April 2008, Pages: 287–304, Tue Gørgens and Chris Ryan

    Version of Record online : 29 FEB 2008, DOI: 10.1002/jae.975