C53 - Forecasting and Other Model Applications

Contributing journals to this collection:
Review of Finance, European Review of Agriculture Economics, The World Bank Economic Review, Journal of Economic Geography, Cambridge Journal of Regions, Economy and Society, American Law and Economics Review, Industrial and Corporate Change, CESifo Economic Studies, The Review of Financial Studies, Contributions to Political Economy, Journal of Financial Econometrics, Journal of Law, Economics, and Organization, Journal of African Economies, Socio-Economic Review, Oxford Economic Papers, The World Bank Research Observer, Oxford Review of Economic Policy, Cambridge Journal of Economics, Journal of Competition Law and Economics, and Review of Environmental Economics and Policy

Citations 1-10 of 20 total displayed.

Most recent content

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

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
The Behavior of Interest Rates

Eugene F. Fama
Rev. Financ. Stud. 2006; 19: 359-379. [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
Uncertainty and monetary policy

Sheila C. Dow
Oxf. Econ. Pap. 2004; 56: 539-561. [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]  

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