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Rolling Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters. (2014). Rossi, Barbara ; Inoue, Atsushi ; Acemoglu, Daron ; Gancia, Gino ; Zilibotti, Fabrizio.
In: Working Papers.
RePEc:bge:wpaper:768.

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Cited: 9

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Cocites: 50

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  1. Forecasting volatility in Asian financial markets: evidence from recursive and rolling window methods. (2022). Sahiner, Mehmet.
    In: SN Business & Economics.
    RePEc:spr:snbeco:v:2:y:2022:i:10:d:10.1007_s43546-022-00329-9.

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  2. Forecasting in a changing world: from the great recession to the COVID-19 pandemic. (2021). Koopman, Siem Jan ; Zhang, Zhaokun ; Blasques, Francisco ; Artemova, Mariia.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20210006.

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  3. How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics. (2020). Wang, Xinyu ; Vivian, Andrew ; Sirichand, Kavita ; Tan, Xueping.
    In: Energy Economics.
    RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320302103.

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  4. lCARE -- localizing Conditional AutoRegressive Expectiles. (2020). Hardle, Wolfgang Karl ; Mihoci, Andrija ; Xu, Xiu.
    In: Papers.
    RePEc:arx:papers:2009.13215.

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  5. lCARE - localizing conditional autoregressive expectiles. (2018). Xu, Xiu ; Hardle, Wolfgang Karl ; Mihoci, Andrija .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:48:y:2018:i:c:p:198-220.

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  6. “Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis”. (2015). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Fernandez-Rodriguez, Fernando ; Gomez-Puig, Marta.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201510.

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  7. lCARE – localizing Conditional AutoRegressive Expectiles. (2015). Mihoci, Andrija ; Härdle, Wolfgang ; Xu, Xiu ; Hardle, Wolfgang Karl.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2015-052.

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  8. Volatility spillovers in EMU sovereign bond markets. (2015). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Fernandez-Rodriguez, Fernando.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:39:y:2015:i:c:p:337-352.

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  9. Volatility spillovers in EMU sovereign bond markets. (2015). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Fernandez-Rodriguez, Fernando.
    In: Working Papers.
    RePEc:aee:wpaper:1503.

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