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An information-theoretic approach for forecasting interval-valued SP500 daily returns
13 references·3 citing·35 second hop
An information-theoretic approach for forecasting interval-valued SP500 daily returns (2020)An information-theoretic approach for for…Interval-valued time series models: Estimation based on order statistics exploring the Agriculture Marketing Service data (2015)Interval-valued time series m…Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold–Mariano Tests (2015)Comparing Predictive Accuracy…Modeling and forecasting interval time series with threshold models (2014)Modeling and forecasting inte…Constrained Regression for Interval-Valued Data (2013)Constrained Regression for In…Handbook of Empirical Economics and Finance (2010)Handbook of Empirical Economi…Real-Time Measurement of Business Conditions (2009)Real-Time Measurement of Busi…Forecasting models for interval-valued time series (2008)Forecasting models for interv…Evaluating interval forecasts of high‐frequency financial data (2003)Evaluating interval forecasts…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsTesting the equality of prediction mean squared errors (1997)Testing the equality of predi…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Interval time series forecasting: A systematic literature review (2023)Interval time series forecast…Model averaging for interval-valued data (2021)Model averaging for interval-…Forecasting exchange rates with the iMLP: New empirical insight on one multi-layer perceptron for interval time series (ITS) (2021)Forecasting exchange rates wi…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CoVaR (2016)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach (2015)Empirical Asset Pricing via Machine Learning (2018)Risk Everywhere: Modeling and Managing Volatility (2018)Some Invariance Principles and Central Limit Theorems for Dependent Heterogeneous Processes (1988)Automatic Lag Selection in Covariance Matrix Estimation (1994)Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models (1997)Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling (2018)Probability distribution forecasting of carbon allowance prices: A hybrid model considering multiple influencing factors (2022)Time series forecasting using a hybrid ARIMA and neural network model (2003)Different Approaches to Forecast Interval Time Series: A Comparison in Finance (2010)A combination method for interval forecasting of agricultural commodity futures prices (2015)Interval decomposition ensemble approach for crude oil price forecasting (2018)New Indexes of Coincident and Leading Economic Indicators (1989)Macroeconomic Forecasting Using Diffusion Indexes (2002)Forecasting Stock Returns (2013)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Fiscal Volatility Shocks and Economic Activity (2015)25 years of time series forecasting (2006)Tests of Conditional Predictive Ability (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)Bootstrapping factor-augmented regression models (2014)Social trust in subnational regions and foreign subsidiary performance: Evidence from foreign investments in China (2018)
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References

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  • 1998Evaluating Interval Forecasts2,689 cited
  • 1997Testing the equality of prediction mean squared errors2,103 cited
  • 2009Real-Time Measurement of Business Conditions916 cited
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  • 2010Handbook of Empirical Economics and Finance247 cited
  • 2008Forecasting models for interval-valued time series165 cited
  • 2013Constrained Regression for Interval-Valued Data80 cited
  • 2003Evaluating interval forecasts of high‐frequency financial data58 cited
  • 2014Modeling and forecasting interval time series with threshold models58 cited
  • 2015Interval-valued time series models: Estimation based on order statistics exploring the Agriculture Marketing Service data34 cited

Cited by

  • 2023Interval time series forecasting: A systematic literature review34 cited
  • 2021Model averaging for interval-valued data32 cited

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  • 2021Forecasting exchange rates with the iMLP: New empirical insight on one multi-layer perceptron for interval time series (ITS)30 cited