Blar i Publikasjoner fra CRIStin - BI på tidsskrift "International Journal of Forecasting"
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Forecasting cryptocurrencies under model and parameter instability
(Journal article; Peer reviewed, 2019)This paper studies the predictability of cryptocurrency time series. We compare several alternative univariate and multivariate models for point and density forecasting of four of the most capitalized series: Bitcoin, ... -
Identification of volatility proxies as expectations of squared financial returns
(Journal article; Peer reviewed, 2021)Volatility proxies like realised volatility (RV) are extensively used to assess the forecasts of squared financial returns produced by volatility models. But are volatility proxies identified as expectations of the squared ... -
Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts
(Journal article; Peer reviewed, 2020)We introduce a new class of stochastic volatility models with autoregressive moving average (ARMA) innovations. The conditional mean process has a flexible form that can accommodate both a state space representation and a ...