Journal of Forecasting, EarlyView.ABSTRACT We study the accuracy of a variety of parametric price duration‐based realized variance estimators constructed via various financial duration models and compare their forecasting performance with the performance of various nonparametric return‐based realized variance estimators.
Björn Schulte‐Tillmann +2 more
wiley +1 more source
Beliefs, Barriers, and Stretching Practices Among Recreational Snowboarders and Alpine Skiers: A Cross-Sectional Study with a Generational Perspective. [PDF]
Sports (Basel)Camacho J +5 more
europepmc +1 more source
Machine Learning Approaches to Forecast the Realized Volatility of Crude Oil Prices
Journal of Forecasting, EarlyView.ABSTRACT This paper presents an evaluation of the accuracy of machine learning (ML) techniques in forecasting the realized volatility of West Texas Intermediate (WTI) crude oil prices. We compare several ML algorithms, including regularization, regression trees, random forests, and neural networks, to several heterogeneous autoregressive (HAR) models ...
Talha Omer +3 more
wiley +1 more source
A Deep Learning Framework for Forecasting Medium‐Term Covariance in Multiasset Portfolios
Journal of Forecasting, EarlyView.ABSTRACT Forecasting the covariance matrix of asset returns is central to portfolio construction, risk management, and asset pricing. However, most existing models struggle at medium‐term horizons, several weeks to months, where shifting market regimes and slower dynamics prevail.
Pedro Reis, Ana Paula Serra, João Gama
wiley +1 more source
Identifying delayed human response to external risks: an econometric analysis of mobility change during a pandemic. [PDF]
BMC Med Res MethodolZhang G +4 more
europepmc +1 more source
Three essays in panel data econometrics
, 2016 This paper contributes to the literature on regional growth-cycles by developing in a Bayesian framework different notion of multivariate cycle synchro- nization and proposing an encompassing model combining three dimensions: panel, Markov-switching and multivariate synchronization.
openaire +1 more source
Enhancing Volatility Prediction: A Wavelet‐Based Hierarchical Forecast Reconciliation Approach
Journal of Forecasting, EarlyView.ABSTRACT Forecasting realized volatility (RV) has been widely studied, with numerous techniques developed to enhance predictive accuracy. Among these techniques, the use of RV decompositions based on intraday asset returns has been applied. However, the use of a frequency‐based decomposition, which provides unique insights into the dynamics of RV ...
Adam Clements, Ajith Perera
wiley +1 more source
Mixing of a binary passive particle system using smart active particles. [PDF]
Sci RepJacob T +4 more
europepmc +1 more source
Coherent Forecasting of Realized Volatility
Journal of Forecasting, EarlyView.ABSTRACT The QLIKE loss function is the stylized favorite of the literature on volatility forecasting when it comes to out‐of‐sample evaluation and the state of the art model for realized volatility (RV) forecasting is the HAR model, which minimizes the squared error loss for in‐sample estimation of the parameters.
Marius Puke, Karsten Schweikert
wiley +1 more source
Bringing credibility to observational research in critical care: the case of target trial emulation designs. [PDF]
Crit Care SciDecker SRDR, Serpa Neto A.
europepmc +1 more source