Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters-Reference-Cited by-同舟云学术

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Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters

Published:2022-06-05 Issue:5 Volume:37 Page:1010-1030
ISSN:0883-7252
Container-title:Journal of Applied Econometrics
language:en
Short-container-title:J of Applied Econometrics

Author:

Demetrescu Matei¹,Hanck Christoph²,Kruse‐Becher Robinson³⁴

Affiliation:

1. Department of Statistics TU Dortmund, Vogelpothsweg 78 Dortmund Germany

2. Faculty of Economics and Business Administration University of Duisburg‐Essen, Universitätsstraße 12 Essen Germany

3. Faculty of Economics University of Hagen, Universitätsstraße 41 Hagen Germany

4. CREATES Aarhus University, School of Economics and Management, Fuglesangs Allé 4 Aarhus V Denmark

Publisher

Wiley

Subject

Economics and Econometrics,Social Sciences (miscellaneous)

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/jae.2906

Reference62 articles.

1. Modelling volatility by variance decomposition

2. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

3. Do macro variables, asset markets, or surveys forecast inflation better?

4. Are phillips curves useful for forecasting inflation?;Atkeson A.;Federal Reserve Bank of Minneapolis Quarterly Review,2001

5. Basic Properties of Strong Mixing Conditions. A Survey and Some Open Questions

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Robust Fixed-b Inference in the Presence of Time-Varying Volatility;Econometrics and Statistics;2023-06

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