Gloria Gonzalez-Rivera
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2023.
"Expecting the unexpected: Stressed scenarios for economic growth,"
Working Papers
202314, University of California at Riverside, Department of Economics.
- Gloria González‐Rivera & C. Vladimir Rodríguez‐Caballero & Esther Ruiz, 2024. "Expecting the unexpected: Stressed scenarios for economic growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 926-942, August.
Cited by:
- Ignacio Garr'on & C. Vladimir Rodr'iguez-Caballero & Esther Ruiz, 2024. "International vulnerability of inflation," Papers 2410.20628, arXiv.org, revised Oct 2024.
- Garrón Vedia, Ignacio & Rodríguez Caballero, Carlos Vladimir, 2024. "International vulnerability of inflation," DES - Working Papers. Statistics and Econometrics. WS 44814, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gloria González-Rivera & Carlos Vladimir Rodríguez-Caballero & Esther Ruiz Ortega, 2021.
"Expecting the unexpected: economic growth under stress,"
CREATES Research Papers
2021-06, Department of Economics and Business Economics, Aarhus University.
- Gonzalez Rivera, Gloria & Rodríguez Caballero, Carlos Vladimir, 2021. "Expecting the unexpected: economic growth under stress," DES - Working Papers. Statistics and Econometrics. WS 32148, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2021. "Expecting the unexpected: economic growth under stress," Working Papers 202106, University of California at Riverside, Department of Economics.
Cited by:
- Fresoli, Diego & Poncela, Pilar & Ruiz, Esther, 2023. "Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models," Economics Letters, Elsevier, vol. 230(C).
- González-Rivera, Gloria, 2018.
"Growth in Stress,"
DES - Working Papers. Statistics and Econometrics. WS
26623, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- González-Rivera, Gloria & Maldonado, Javier & Ruiz, Esther, 2019. "Growth in stress," International Journal of Forecasting, Elsevier, vol. 35(3), pages 948-966.
- Gloria Gonzalez-Rivera & Esther Ruiz & Javier Vicente, 2018. "Growth in Stress," Working Papers 201805, University of California at Riverside, Department of Economics.
Cited by:
- Laurent Ferrara & Matteo Mogliani & Jean-Guillaume Sahuc, 2020.
"High-frequency monitoring of growth-at-risk,"
CAMA Working Papers
2020-97, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Jean-Guillaume Sahuc & Matteo Mogliani & Laurent Ferrara, 2022. "High-frequency monitoring of growth at risk," Post-Print hal-03361425, HAL.
- Ferrara, Laurent & Mogliani, Matteo & Sahuc, Jean-Guillaume, 2022. "High-frequency monitoring of growth at risk," International Journal of Forecasting, Elsevier, vol. 38(2), pages 582-595.
- Mohamed M. Saffan & Mohamed A. Koriem & Ahmed El-Henawy & Shimaa El-Mahdy & Hassan El-Ramady & Fathy Elbehiry & Alaa El-Dein Omara & Yousry Bayoumi & Khandsuren Badgar & József Prokisch, 2022. "Sustainable Production of Tomato Plants ( Solanum lycopersicum L.) under Low-Quality Irrigation Water as Affected by Bio-Nanofertilizers of Selenium and Copper," Sustainability, MDPI, vol. 14(6), pages 1-17, March.
- Gloria Gonzalez-Rivera & Joao Henrique Mazzeu & Esther Ruiz & Helena Veiga, 2017.
"A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities,"
Working Papers
201709, University of California at Riverside, Department of Economics.
- João Henrique G. Mazzeu & Gloria González-Rivera & Esther Ruiz & Helena Veiga, 2020. "A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities," Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 971-990, November.
Cited by:
- Perera, Indeewara & Silvapulle, Mervyn J., 2021. "Bootstrap based probability forecasting in multiplicative error models," Journal of Econometrics, Elsevier, vol. 221(1), pages 1-24.
- Ding, Lili & Zhao, Zhongchao & Wang, Lei, 2022. "Probability density forecasts for natural gas demand in China: Do mixed-frequency dynamic factors matter?," Applied Energy, Elsevier, vol. 312(C).
- Gloria Gonzalez-Rivera & Wei Lin, 2016.
"Extreme Returns and Intensity of Trading,"
Working Papers
201607, University of California at Riverside, Department of Economics.
- Wei Lin & Gloria González‐Rivera, 2019. "Extreme returns and intensity of trading," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1121-1140, November.
- Gloria Gonzalez-Rivera & Wei Lin, 2017. "Extreme Returns and Intensity of Trading," Working Papers 201801, University of California at Riverside, Department of Economics.
Cited by:
- Gloria Gonzalez-Rivera & Yun Luo, 2020.
"A Truncated Mixture Transition Model for Interval-valued Time Series,"
Working Papers
202005, University of California at Riverside, Department of Economics.
- Gloria Gonzalez-Rivera & Yun Luo, 2023. "A Truncated Mixture Transition Model for Interval-valued Time Series," Working Papers 202315, University of California at Riverside, Department of Economics.
- Sun, Yuying & Han, Ai & Hong, Yongmiao & Wang, Shouyang, 2018. "Threshold autoregressive models for interval-valued time series data," Journal of Econometrics, Elsevier, vol. 206(2), pages 414-446.
- Haowen Bao & Yongmiao Hong & Yuying Sun & Shouyang Wang, 2024. "Sparse Interval-valued Time Series Modeling with Machine Learning," Papers 2411.09452, arXiv.org.
- Godoy-Bejarano, Jesús M. & Ruiz-Pava, Guillermo A. & Téllez-Falla, Diego F., 2020. "Environmental complexity, slack, and firm performance," Journal of Economics and Business, Elsevier, vol. 112(C).
- Baumgärtner, Fabienne, 2020. "Elemente und Vorgehensweisen von Influencer Relations," Working Papers for Marketing & Management 46, Offenburg University, Department of Media and Information.
- Gloria Gonzalez-Rivera & Wei Lin, 2015.
"Interval-valued Time Series Models: Estimation based on Order Statistics. Exploring the Agriculture Marketing Service Data,"
Working Papers
201505, University of California at Riverside, Department of Economics.
- Lin, Wei & González-Rivera, Gloria, 2016. "Interval-valued time series models: Estimation based on order statistics exploring the Agriculture Marketing Service data," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 694-711.
Cited by:
- Miguel de Carvalho & Gabriel Martos, 2022. "Modeling interval trendlines: Symbolic singular spectrum analysis for interval time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 167-180, January.
- Sun, Yuying & Zhang, Xinyu & Wan, Alan T.K. & Wang, Shouyang, 2022. "Model averaging for interval-valued data," European Journal of Operational Research, Elsevier, vol. 301(2), pages 772-784.
- Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2019.
"Prediction Regions for Interval-valued Time Series,"
Working Papers
201921, University of California at Riverside, Department of Economics.
- González-Rivera, Gloria & Luo, Yun, 2019. "Prediction regions for interval-valued time series," DES - Working Papers. Statistics and Econometrics. WS 29054, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2018. "Prediction Regions for Interval-valued Time Series," Working Papers 201817, University of California at Riverside, Department of Economics.
- Gloria Gonzalez‐Rivera & Yun Luo & Esther Ruiz, 2020. "Prediction regions for interval‐valued time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 373-390, June.
- Boris Beranger & Huan Lin & Scott Sisson, 2023. "New models for symbolic data analysis," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 17(3), pages 659-699, September.
- Sun, Yuying & Han, Ai & Hong, Yongmiao & Wang, Shouyang, 2018. "Threshold autoregressive models for interval-valued time series data," Journal of Econometrics, Elsevier, vol. 206(2), pages 414-446.
- T.S. Tuang Buansing & Amos Golan & Aman Ullah, 2019.
"Information-Theoretic Approach for Forecasting Interval-Valued SP500 Daily Returns,"
Working Papers
201922, University of California at Riverside, Department of Economics.
- Buansing, T.S. Tuang & Golan, Amos & Ullah, Aman, 2020. "An information-theoretic approach for forecasting interval-valued SP500 daily returns," International Journal of Forecasting, Elsevier, vol. 36(3), pages 800-813.
- Yan, Zichun & Tian, Fangzhu & Sun, Yuying & Wang, Shouyang, 2024. "A time-frequency-based interval decomposition ensemble method for forecasting gasoil prices under the trend of low-carbon development," Energy Economics, Elsevier, vol. 134(C).
- Haowen Bao & Yongmiao Hong & Yuying Sun & Shouyang Wang, 2024. "Sparse Interval-valued Time Series Modeling with Machine Learning," Papers 2411.09452, arXiv.org.
- Naseer Ahmad & Ali Raza Elahi, 2023. "The Effectiveness of Promotion through Brochure Advertising on Merchandise Sales: A Case Study of Multiple Retail Stores of Pakistan," Journal of Policy Research (JPR), Research Foundation for Humanity (RFH), vol. 9(2), pages 732-740.
- Wei Lin & Gloria González‐Rivera, 2019.
"Extreme returns and intensity of trading,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1121-1140, November.
- Gloria Gonzalez-Rivera & Wei Lin, 2017. "Extreme Returns and Intensity of Trading," Working Papers 201801, University of California at Riverside, Department of Economics.
- Gloria Gonzalez-Rivera & Wei Lin, 2016. "Extreme Returns and Intensity of Trading," Working Papers 201607, University of California at Riverside, Department of Economics.
- Piao Wang & Shahid Hussain Gurmani & Zhifu Tao & Jinpei Liu & Huayou Chen, 2024. "Interval time series forecasting: A systematic literature review," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(2), pages 249-285, March.
- Devin Serfas & Richard Gray & Peter Slade, 2018. "Congestion and Distribution of Rents in Wheat Export Sector: A Canada–U.S. Cross†Border Comparison," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 66(2), pages 187-207, June.
- Jiajia Zhang & Zhifu Tao & Jinpei Liu & Xi Liu & Huayou Chen, 2025. "A hybrid interval‐valued time series prediction model incorporating intuitionistic fuzzy cognitive map and fuzzy neural network," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(1), pages 93-111, January.
- Liang-Ching Lin & Hsiang-Lin Chien & Sangyeol Lee, 2021. "Symbolic interval-valued data analysis for time series based on auto-interval-regressive models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(1), pages 295-315, March.
- Gloria Gonzalez-Rivera & Yingying Sun, 2014.
"Generalized Autocontours: Evaluation of Multivariate Density Models,"
Working Papers
201431, University of California at Riverside, Department of Economics.
- González-Rivera, Gloria & Sun, Yingying, 2015. "Generalized autocontours: Evaluation of multivariate density models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 799-814.
Cited by:
- Gloria Gonzalez-Rivera & Yingying Sun, 2016.
"Density Forecast Evaluation in Unstable Environments,"
Working Papers
201606, University of California at Riverside, Department of Economics.
- González-Rivera, Gloria & Sun, Yingying, 2017. "Density forecast evaluation in unstable environments," International Journal of Forecasting, Elsevier, vol. 33(2), pages 416-432.
- Gloria Gonzalez-Rivera & Yingying Sun, 2014. "Density Forecast Evaluation in Unstable Environments," Working Papers 201428, University of California at Riverside, Department of Economics.
- Gloria Gonzalez-Rivera & Joao Henrique Mazzeu & Esther Ruiz & Helena Veiga, 2017.
"A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities,"
Working Papers
201709, University of California at Riverside, Department of Economics.
- João Henrique G. Mazzeu & Gloria González-Rivera & Esther Ruiz & Helena Veiga, 2020. "A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities," Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 971-990, November.
- Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2019.
"Prediction Regions for Interval-valued Time Series,"
Working Papers
201921, University of California at Riverside, Department of Economics.
- González-Rivera, Gloria & Luo, Yun, 2019. "Prediction regions for interval-valued time series," DES - Working Papers. Statistics and Econometrics. WS 29054, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2018. "Prediction Regions for Interval-valued Time Series," Working Papers 201817, University of California at Riverside, Department of Economics.
- Gloria Gonzalez‐Rivera & Yun Luo & Esther Ruiz, 2020. "Prediction regions for interval‐valued time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 373-390, June.
- González-Rivera, Gloria & Veiga, Helena, 2016. "A Bootstrap Approach for Generalized Autocontour Testing," DES - Working Papers. Statistics and Econometrics. WS 23457, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gloria Gonzalez-Rivera & Yun Luo, 2020.
"A Truncated Mixture Transition Model for Interval-valued Time Series,"
Working Papers
202005, University of California at Riverside, Department of Economics.
- Gloria Gonzalez-Rivera & Yun Luo, 2023. "A Truncated Mixture Transition Model for Interval-valued Time Series," Working Papers 202315, University of California at Riverside, Department of Economics.
- Anatolyev, Stanislav & Baruník, Jozef, 2019.
"Forecasting dynamic return distributions based on ordered binary choice,"
International Journal of Forecasting, Elsevier, vol. 35(3), pages 823-835.
- Stanislav Anatolyev & Jozef Barunik, 2017. "Forecasting dynamic return distributions based on ordered binary choice," Papers 1711.05681, arXiv.org, revised Jan 2019.
- Lenza, Michele & Moutachaker, Inès & Paredes, Joan, 2023.
"Density forecasts of inflation: a quantile regression forest approach,"
Working Paper Series
2830, European Central Bank.
- Lenza, Michele & Moutachaker, Inès & Paredes, Joan, 2023. "Density forecasts of inflation: a quantile regression forest approach," CEPR Discussion Papers 18298, C.E.P.R. Discussion Papers.
- M. Lenza & I. Moutachaker & I. Moutachaker, 2024. "Density forecasts of inflation : a quantile regression forest approach," Documents de Travail de l'Insee - INSEE Working Papers 2024-12, Institut National de la Statistique et des Etudes Economiques.
- Barbara Rossi & Tatevik Sekhposyan, 2014.
"Alternative tests for correct specification of conditional predictive densities,"
Economics Working Papers
1416, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2017.
- Tatevik Sekhposyan & Barbara Rossi, 2015. "Alternative Tests for Correct Specification of Conditional Predictive Densities," Working Papers 758, Barcelona School of Economics.
- Rossi, Barbara & Sekhposyan, Tatevik, 2019. "Alternative tests for correct specification of conditional predictive densities," Journal of Econometrics, Elsevier, vol. 208(2), pages 638-657.
- Jonas Dovern & Hans Manner, 2018.
"Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts,"
CESifo Working Paper Series
7023, CESifo.
- Jonas Dovern & Hans Manner, 2020. "Order‐invariant tests for proper calibration of multivariate density forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 440-456, June.
- Jonas Dovern & Hans Manner, 2018. "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," Graz Economics Papers 2018-09, University of Graz, Department of Economics.
- Kolassa, Stephan, 2016. "Evaluating predictive count data distributions in retail sales forecasting," International Journal of Forecasting, Elsevier, vol. 32(3), pages 788-803.
- Gloria Gonzalez-Rivera & Yingying Sun, 2014.
"Density Forecast Evaluation in Unstable Environments,"
Working Papers
201428, University of California at Riverside, Department of Economics.
- González-Rivera, Gloria & Sun, Yingying, 2017. "Density forecast evaluation in unstable environments," International Journal of Forecasting, Elsevier, vol. 33(2), pages 416-432.
- Gloria Gonzalez-Rivera & Yingying Sun, 2016. "Density Forecast Evaluation in Unstable Environments," Working Papers 201606, University of California at Riverside, Department of Economics.
Cited by:
- Marcus P. A. Cobb, 2020. "Aggregate density forecasting from disaggregate components using Bayesian VARs," Empirical Economics, Springer, vol. 58(1), pages 287-312, January.
- Karol Szafranek, 2017.
"Bagged artificial neural networks in forecasting inflation: An extensive comparison with current modelling frameworks,"
NBP Working Papers
262, Narodowy Bank Polski.
- Szafranek, Karol, 2019. "Bagged neural networks for forecasting Polish (low) inflation," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1042-1059.
- Emilio Zanetti Chini, 2018.
"Forecaster’s utility and forecasts coherence,"
DEM Working Papers Series
145, University of Pavia, Department of Economics and Management.
- Emilio Zanetti Chini, 2018. "Forecaster’s utility and forecasts coherence," CREATES Research Papers 2018-01, Department of Economics and Business Economics, Aarhus University.
- Emilio Zanetti Chini, 2018. "Forecasters’ utility and forecast coherence," CREATES Research Papers 2018-23, Department of Economics and Business Economics, Aarhus University.
- Gloria Gonzalez-Rivera, 2013.
"Forecasting for Economics and Business,"
Working Papers
201432, University of California at Riverside, Department of Economics.
Cited by:
- Richard W. Booser, 2018. "An Algorithm Exploiting Episodes of Inefficient Asset Pricing to Derive a Macro-Foundation Scaled Metric for Systemic Risk: A Time-Series Martingale Representation," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(1), pages 1-3.
- Huang, Wanling & Mollick, André Varella & Nguyen, Khoa Huu, 2016. "U.S. stock markets and the role of real interest rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 231-242.
- Gloria Gonzalez-Rivera & Javier Arroyo & Carlos Mate, 2011.
"Forecasting with Interval and Histogram Data. Some Financial Applications,"
Working Papers
201438, University of California at Riverside, Department of Economics.
Cited by:
- González-Rivera, Gloria & Arroyo, Javier, 2012. "Time series modeling of histogram-valued data: The daily histogram time series of S&P500 intradaily returns," International Journal of Forecasting, Elsevier, vol. 28(1), pages 20-33.
- Gloria Gonzalez-Rivera & Javier Arroyo & Carlos Mate & A. Munoz San Roque, 2011.
"Smoothing Methods for Histogram-valued Time Series. An Application to Value-at-Risk,"
Working Papers
201433, University of California at Riverside, Department of Economics.
Cited by:
- Dias, Sónia & Brito, Paula & Amaral, Paula, 2021. "Discriminant analysis of distributional data via fractional programming," European Journal of Operational Research, Elsevier, vol. 294(1), pages 206-218.
- Samadi, S. Yaser & Billard, Lynne, 2021. "Analysis of dependent data aggregated into intervals," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
- T.S. Tuang Buansing & Amos Golan & Aman Ullah, 2019.
"Information-Theoretic Approach for Forecasting Interval-Valued SP500 Daily Returns,"
Working Papers
201922, University of California at Riverside, Department of Economics.
- Buansing, T.S. Tuang & Golan, Amos & Ullah, Aman, 2020. "An information-theoretic approach for forecasting interval-valued SP500 daily returns," International Journal of Forecasting, Elsevier, vol. 36(3), pages 800-813.
- Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
- Luis Lorenzo & Javier Arroyo, 2022. "Analysis of the cryptocurrency market using different prototype-based clustering techniques," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-46, December.
- Wilson Ye Chen & Gareth W. Peters & Richard H. Gerlach & Scott A. Sisson, 2017. "Dynamic Quantile Function Models," Papers 1707.02587, arXiv.org, revised May 2021.
- Gloria Gonzalez-Rivera & Emre Yoldas, 2010.
"Multivariate Autocontours for Specification Testing in Multivariate GARCH Models,"
Working Papers
201436, University of California at Riverside, Department of Economics.
Cited by:
- González-Rivera, Gloria & Yoldas, Emre, 2012. "Autocontour-based evaluation of multivariate predictive densities," International Journal of Forecasting, Elsevier, vol. 28(2), pages 328-342.
- Gloria Gonzalez-Rivera & Steven Helfand, 2007.
"Economic Development and the Determinants of Spatial Integration in Agricultural Markets,"
Working Papers
201437, University of California at Riverside, Department of Economics.
Cited by:
- Jolejole-Foreman, Maria Christina & Mallory, Mindy L. & Baylis, Katherine R., 2013. "Impact of Wheat and Rice Export Ban on Indian Market Integration," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150595, Agricultural and Applied Economics Association.
- Gloria González-Rivera & Tae-Hwy Lee, 2007.
"Nonlinear Time Series in Financial Forecasting,"
Working Papers
200803, University of California at Riverside, Department of Economics, revised Feb 2008.
Cited by:
- Adrian Cantemir Calin & Tiberiu Diaconescu & Oana – Cristina Popovici, 2014. "Nonlinear Models for Economic Forecasting Applications: An Evolutionary Discussion," Computational Methods in Social Sciences (CMSS), "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, vol. 2(1), pages 42-47, June.
- Gonzalez-Rivera, G. & Drost, F.C., 1998.
"Efficiency comparisons of maximum likelihood-based estimators in garch models,"
Discussion Paper
1998-124, Tilburg University, Center for Economic Research.
- Gonzalez-Rivera, Gloria & Drost, Feike C., 1999. "Efficiency comparisons of maximum-likelihood-based estimators in GARCH models," Journal of Econometrics, Elsevier, vol. 93(1), pages 93-111, November.
- Gonzalez-Rivera, G. & Drost, F.C., 1998. "Efficiency comparisons of maximum likelihood-based estimators in garch models," Discussion Paper 1998-124, Tilburg University, Center for Economic Research.
- Gonzalez-Rivera, G. & Drost, F.C., 1998. "Efficiency comparisons of maximum likelihood-based estimators in garch models," Other publications TiSEM d93a8be0-5dcd-4ae8-9eb1-b, Tilburg University, School of Economics and Management.
- Gonzalez-Rivera, G. & Drost, F.C., 1998. "Efficiency comparisons of maximum likelihood-based estimators in garch models," Other publications TiSEM 7a28bbc8-e8d6-4dbe-874e-5, Tilburg University, School of Economics and Management.
Cited by:
- Sentana, Enrique & Fiorentini, Gabriele, 2018.
"Specification tests for non-Gaussian maximum likelihood estimators,"
CEPR Discussion Papers
12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2021. "Specification tests for non‐Gaussian maximum likelihood estimators," Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- Claude Diebolt & Mohamed Chikhi, 2021.
"Testing The Weak Form Efficiency Of The French Etf Market With Lstar-Anlstgarch Approach Using A Semiparametric Estimation,"
Working Papers
09-21, Association Française de Cliométrie (AFC).
- Mohamed CHIKHI & Claude DIEBOLT, 2021. "Testing The Weak Form Efficiency Of The French Etf Market With Lstar-Anlstgarch Approach Using A Semiparametric Estimation," Working Papers of BETA 2021-36, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Mohamed Chikhi & Claude Diebolt, 2022. "Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation," Post-Print hal-03778331, HAL.
- Mohamed CHIKHI & Claude DIEBOLT, 2022. "Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 13, pages 228-253, June.
- Carlo Grillenzoni, 2009. "Kernel Likelihood Inference for Time Series," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(1), pages 127-140, March.
- Gabriele Fiorentini & Enrique Sentana, 2018.
"New Testing Approaches for Mean-Variance Predictability,"
Working Papers
wp2018_1814, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
- Gabriele Fiorentini & Enrique Sentana, 2007.
"On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models,"
Working Paper series
38_07, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2007. "On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI.
- Klar, B. & Lindner, F. & Meintanis, S.G., 2012. "Specification tests for the error distribution in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3587-3598.
- Daglis, Theodoros & Konstantakis, Konstantinos N. & Michaelides, Panayotis G. & Papadakis, Theodoulos Eleftherios, 2020. "The forecasting ability of solar and space weather data on NASDAQ’s finance sector price index volatility," Research in International Business and Finance, Elsevier, vol. 52(C).
- Verhoeven, Peter & McAleer, Michael, 2004.
"Fat tails and asymmetry in financial volatility models,"
Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(3), pages 351-361.
- Peter Verhoeven & Michael McAleer, 2003. "Fat Tails and Asymmetry in Financial Volatility Models," CIRJE F-Series CIRJE-F-211, CIRJE, Faculty of Economics, University of Tokyo.
- Hafner, C.M. & Rombouts, J.V.K., 2004.
"Semiparametric multivariate volatility models,"
Econometric Institute Research Papers
EI 2004-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Hafner, Christian M. & Rombouts, Jeroen V.K., 2007. "Semiparametric Multivariate Volatility Models," Econometric Theory, Cambridge University Press, vol. 23(2), pages 251-280, April.
- Rombouts, Jeroen V. K. & Hafner, Christian M., 2004. "Semiparametric multivariate volatility models," Papers 2004,14, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
- Hill, Jonathan B. & Prokhorov, Artem, 2016.
"GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference,"
Journal of Econometrics, Elsevier, vol. 190(1), pages 18-45.
- Hill, Jonathan B. & Prokhorov, Artem, 2015. "GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference," Working Papers 2015-03, University of Sydney Business School, Discipline of Business Analytics.
- HAFNER, Christian & ROMBOUTS, Jeroen, 2003. "Semiparametric multivariate GARCH models," LIDAM Discussion Papers CORE 2003003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Christian Francq & Jean-Michel Zakoïan, 2008. "A Tour in the Asymptotic Theory of GARCH Estimation," Working Papers 2008-03, Center for Research in Economics and Statistics.
- Eduardo Rossi, 2010. "Univariate GARCH models: a survey (in Russian)," Quantile, Quantile, issue 8, pages 1-67, July.
- Jianqing Fan & Lei Qi & Dacheng Xiu, 2014. "Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 178-191, April.
- Abdelouahab Bibi, 2021. "Asymptotic properties of QMLE for seasonal threshold GARCH model with periodic coefficients," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(2), pages 477-514, June.
- Bibi, Abdelouahab & Ghezal, Ahmed, 2017. "Asymptotic properties of QMLE for periodic asymmetric strong and semi-strong GARCH models," MPRA Paper 81126, University Library of Munich, Germany.
- Gonzalez-Rivera, G., 1996.
"The Pricing of Time-Varing Beta,"
The A. Gary Anderson Graduate School of Management
96-1, The A. Gary Anderson Graduate School of Management. University of California Riverside.
- Gonzalez-Rivera, Gloria, 1997. "The Pricing of Time-Varying Beta," Empirical Economics, Springer, vol. 22(3), pages 345-363.
Cited by:
- Martin Scheicher, 2000. "Time-varying risk in the German stock market," The European Journal of Finance, Taylor & Francis Journals, vol. 6(1), pages 70-91.
- Coleman, Jane A. & Shaik, Saleem, 2009. "Time-Varying Estimation of Crop Insurance Program in Altering North Dakota Farm Economic Structure," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49516, Agricultural and Applied Economics Association.
- N. Groenewold & P. Fraser, 1999. "Forecasting Beta: How well does the 'five year rule of thumb' do?," Economics Discussion / Working Papers 99-01, The University of Western Australia, Department of Economics.
- Entorf, Horst & Jamin, Gösta, 2008.
"German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs,"
Publications of Darmstadt Technical University, Institute for Business Studies (BWL)
77452, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Jamin, Gösta & Entorf, Horst, 2004. "German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs," ZEW Discussion Papers 04-03, ZEW - Leibniz Centre for European Economic Research.
- Horst Entorf & Gösta Jamin, 2007. "German Exchange Rate Exposure at DAX and Aggregate Levels, International Trade and the Role of Exchange Rate Adjustment Costs," German Economic Review, Verein für Socialpolitik, vol. 8(3), pages 344-374, August.
- Entorf Horst & Jamin Gösta, 2007. "German Exchange Rate Exposure at DAX and Aggregate Levels, International Trade and the Role of Exchange Rate Adjustment Costs," German Economic Review, De Gruyter, vol. 8(3), pages 344-374, August.
- Entorf & Jamin, 2005. "German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs," International Finance 0508005, University Library of Munich, Germany.
- Entorf, Horst & Jamin, Gösta, 2003. "German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 20147, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Entorf, Horst & Jamin, Gösta, 2003. "German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs," Darmstadt Discussion Papers in Economics 126, Darmstadt University of Technology, Department of Law and Economics.
- Buckland, Roger & Fraser, Patricia, 2002. "The scale and patterns of abnormal returns to equity investment in UK electricity distribution," Global Finance Journal, Elsevier, vol. 13(1), pages 39-62.
- Gonzalez-Rivera, G., 1995.
"A Note on Adaptation in Garch Models,"
The A. Gary Anderson Graduate School of Management
95-1, The A. Gary Anderson Graduate School of Management. University of California Riverside.
- Gloria Gonzalez-Rivera, 1997. "A note on adaptation in garch models," Econometric Reviews, Taylor & Francis Journals, vol. 16(1), pages 55-68.
Cited by:
- Jushan Bai & Serena Ng, 1998. "A Test for Conditional Symmetry in Time Series Models," Boston College Working Papers in Economics 410, Boston College Department of Economics.
- Gabriele Fiorentini & Enrique Sentana, 2007.
"On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models,"
Working Paper series
38_07, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2007. "On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI.
- Hafner, C.M. & Rombouts, J.V.K., 2004.
"Semiparametric multivariate volatility models,"
Econometric Institute Research Papers
EI 2004-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Hafner, Christian M. & Rombouts, Jeroen V.K., 2007. "Semiparametric Multivariate Volatility Models," Econometric Theory, Cambridge University Press, vol. 23(2), pages 251-280, April.
- Rombouts, Jeroen V. K. & Hafner, Christian M., 2004. "Semiparametric multivariate volatility models," Papers 2004,14, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
- HAFNER, Christian & ROMBOUTS, Jeroen, 2003. "Semiparametric multivariate GARCH models," LIDAM Discussion Papers CORE 2003003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
Articles
- João Henrique G. Mazzeu & Gloria González-Rivera & Esther Ruiz & Helena Veiga, 2020.
"A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities,"
Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 971-990, November.
See citations under working paper version above.
- Gloria Gonzalez-Rivera & Joao Henrique Mazzeu & Esther Ruiz & Helena Veiga, 2017. "A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities," Working Papers 201709, University of California at Riverside, Department of Economics.
- Chatterjee, Diti & Dinar, Ariel & González-Rivera, Gloria, 2019.
"Impact of Agricultural Extension on Irrigated Agriculture Production and Water Use in California,"
Journal of the ASFMRA, American Society of Farm Managers and Rural Appraisers, vol. 2019.
Cited by:
- Julie Reints & Ariel Dinar & David Crowley, 2020. "Dealing with Water Scarcity and Salinity: Adoption of Water Efficient Technologies and Management Practices by California Avocado Growers," Sustainability, MDPI, vol. 12(9), pages 1-30, April.
- González-Rivera, Gloria & Maldonado, Javier & Ruiz, Esther, 2019.
"Growth in stress,"
International Journal of Forecasting, Elsevier, vol. 35(3), pages 948-966.
See citations under working paper version above.
- Gloria Gonzalez-Rivera & Esther Ruiz & Javier Vicente, 2018. "Growth in Stress," Working Papers 201805, University of California at Riverside, Department of Economics.
- González-Rivera, Gloria, 2018. "Growth in Stress," DES - Working Papers. Statistics and Econometrics. WS 26623, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Wei Lin & Gloria González‐Rivera, 2019.
"Extreme returns and intensity of trading,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1121-1140, November.
See citations under working paper version above.
- Gloria Gonzalez-Rivera & Wei Lin, 2017. "Extreme Returns and Intensity of Trading," Working Papers 201801, University of California at Riverside, Department of Economics.
- Gloria Gonzalez-Rivera & Wei Lin, 2016. "Extreme Returns and Intensity of Trading," Working Papers 201607, University of California at Riverside, Department of Economics.
- González-Rivera, Gloria & Sun, Yingying, 2017.
"Density forecast evaluation in unstable environments,"
International Journal of Forecasting, Elsevier, vol. 33(2), pages 416-432.
See citations under working paper version above.
- Gloria Gonzalez-Rivera & Yingying Sun, 2016. "Density Forecast Evaluation in Unstable Environments," Working Papers 201606, University of California at Riverside, Department of Economics.
- Gloria Gonzalez-Rivera & Yingying Sun, 2014. "Density Forecast Evaluation in Unstable Environments," Working Papers 201428, University of California at Riverside, Department of Economics.
- Lin, Wei & González-Rivera, Gloria, 2016.
"Interval-valued time series models: Estimation based on order statistics exploring the Agriculture Marketing Service data,"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 694-711.
See citations under working paper version above.
- Gloria Gonzalez-Rivera & Wei Lin, 2015. "Interval-valued Time Series Models: Estimation based on Order Statistics. Exploring the Agriculture Marketing Service Data," Working Papers 201505, University of California at Riverside, Department of Economics.
- González-Rivera, Gloria & Sun, Yingying, 2015.
"Generalized autocontours: Evaluation of multivariate density models,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 799-814.
See citations under working paper version above.
- Gloria Gonzalez-Rivera & Yingying Sun, 2014. "Generalized Autocontours: Evaluation of Multivariate Density Models," Working Papers 201431, University of California at Riverside, Department of Economics.
- Gloria González-Rivera & Wei Lin, 2013.
"Constrained Regression for Interval-Valued Data,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(4), pages 473-490, October.
Cited by:
- Miguel de Carvalho & Gabriel Martos, 2022. "Modeling interval trendlines: Symbolic singular spectrum analysis for interval time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 167-180, January.
- Sun, Yuying & Zhang, Xinyu & Wan, Alan T.K. & Wang, Shouyang, 2022. "Model averaging for interval-valued data," European Journal of Operational Research, Elsevier, vol. 301(2), pages 772-784.
- Wang, Xun & Zhang, Zhongzhan & Li, Shoumei, 2016. "Set-valued and interval-valued stationary time series," Journal of Multivariate Analysis, Elsevier, vol. 145(C), pages 208-223.
- Lei, Heng & Xue, Minggao & Liu, Huiling, 2022. "Probability distribution forecasting of carbon allowance prices: A hybrid model considering multiple influencing factors," Energy Economics, Elsevier, vol. 113(C).
- Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2019.
"Prediction Regions for Interval-valued Time Series,"
Working Papers
201921, University of California at Riverside, Department of Economics.
- González-Rivera, Gloria & Luo, Yun, 2019. "Prediction regions for interval-valued time series," DES - Working Papers. Statistics and Econometrics. WS 29054, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2018. "Prediction Regions for Interval-valued Time Series," Working Papers 201817, University of California at Riverside, Department of Economics.
- Gloria Gonzalez‐Rivera & Yun Luo & Esther Ruiz, 2020. "Prediction regions for interval‐valued time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 373-390, June.
- Babel Raïssa Guemdjo Kamdem & Jules Sadefo-Kamdem & Carlos Ogouyandjou, 2021. "An Abelian Group way to study Random Extended Intervals and their ARMA Processes," Working Papers hal-03174631, HAL.
- Gloria Gonzalez-Rivera & Yun Luo, 2020.
"A Truncated Mixture Transition Model for Interval-valued Time Series,"
Working Papers
202005, University of California at Riverside, Department of Economics.
- Gloria Gonzalez-Rivera & Yun Luo, 2023. "A Truncated Mixture Transition Model for Interval-valued Time Series," Working Papers 202315, University of California at Riverside, Department of Economics.
- Sun, Yuying & Han, Ai & Hong, Yongmiao & Wang, Shouyang, 2018. "Threshold autoregressive models for interval-valued time series data," Journal of Econometrics, Elsevier, vol. 206(2), pages 414-446.
- Lin, Wei & González-Rivera, Gloria, 2016.
"Interval-valued time series models: Estimation based on order statistics exploring the Agriculture Marketing Service data,"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 694-711.
- Gloria Gonzalez-Rivera & Wei Lin, 2015. "Interval-valued Time Series Models: Estimation based on Order Statistics. Exploring the Agriculture Marketing Service Data," Working Papers 201505, University of California at Riverside, Department of Economics.
- Ai-bing Ji & Qing-qing Li & Jin-jin Zhang, 2024. "Panel Interval-Valued Data Nonlinear Regression Models and Applications," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2413-2435, October.
- T.S. Tuang Buansing & Amos Golan & Aman Ullah, 2019.
"Information-Theoretic Approach for Forecasting Interval-Valued SP500 Daily Returns,"
Working Papers
201922, University of California at Riverside, Department of Economics.
- Buansing, T.S. Tuang & Golan, Amos & Ullah, Aman, 2020. "An information-theoretic approach for forecasting interval-valued SP500 daily returns," International Journal of Forecasting, Elsevier, vol. 36(3), pages 800-813.
- Gloria Gonzalez-Rivera & Wei Lin, 2014. "Interval-valued Time Series: Model Estimation based on Order Statistics," Working Papers 201429, University of California at Riverside, Department of Economics.
- Haowen Bao & Yongmiao Hong & Yuying Sun & Shouyang Wang, 2024. "Sparse Interval-valued Time Series Modeling with Machine Learning," Papers 2411.09452, arXiv.org.
- Chang, Meng-Shiuh & Ju, Peijie & Liu, Yilei & Hsueh, Shao-Chieh, 2022. "Determining hedges and safe havens for stocks using interval analysis," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
- Wei Lin & Gloria González‐Rivera, 2019.
"Extreme returns and intensity of trading,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1121-1140, November.
- Gloria Gonzalez-Rivera & Wei Lin, 2017. "Extreme Returns and Intensity of Trading," Working Papers 201801, University of California at Riverside, Department of Economics.
- Gloria Gonzalez-Rivera & Wei Lin, 2016. "Extreme Returns and Intensity of Trading," Working Papers 201607, University of California at Riverside, Department of Economics.
- Piao Wang & Shahid Hussain Gurmani & Zhifu Tao & Jinpei Liu & Huayou Chen, 2024. "Interval time series forecasting: A systematic literature review," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(2), pages 249-285, March.
- Wei Yang & Ai Han & Yongmiao Hong & Shouyang Wang, 2016. "Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1917-1928, December.
- Hui Qu & Mengying He, 2022. "Predicting Volatility Based on Interval Regression Models," JRFM, MDPI, vol. 15(12), pages 1-21, November.
- Cheng, Zishu & Li, Mingchen & Sun, Yuying & Hong, Yongmiao & Wang, Shouyang, 2024. "Climate change and crude oil prices: An interval forecast model with interval-valued textual data," Energy Economics, Elsevier, vol. 134(C).
- Babel Raïssa Guemdjo Kamdem & Jules Sadefo-Kamdem & Carlos Ougouyandjou, 2020. "On Random Extended Intervals and their ARMA Processes," Working Papers hal-03169516, HAL.
- Yan, Zichun & Wu, Chaonan & Zhang, Jingjia & Wang, Zehan & Lađevac, Ivona, 2024. "Asymmetric impact of energy prices on financial cycles based on interval time series modeling," International Review of Financial Analysis, Elsevier, vol. 96(PA).
- Sun, Yuying & Bao, Qin & Zheng, Jiali & Wang, Shouyang, 2020. "Assessing the price dynamics of onshore and offshore RMB markets: An ITS model approach," China Economic Review, Elsevier, vol. 62(C).
- Liang-Ching Lin & Hsiang-Lin Chien & Sangyeol Lee, 2021. "Symbolic interval-valued data analysis for time series based on auto-interval-regressive models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(1), pages 295-315, March.
- Wilson Ye Chen & Gareth W. Peters & Richard H. Gerlach & Scott A. Sisson, 2017. "Dynamic Quantile Function Models," Papers 1707.02587, arXiv.org, revised May 2021.
- Sun, Yuying & Zhang, Xun & Hong, Yongmiao & Wang, Shouyang, 2019. "Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling," Energy Economics, Elsevier, vol. 78(C), pages 165-173.
- González-Rivera, Gloria & Yoldas, Emre, 2012.
"Autocontour-based evaluation of multivariate predictive densities,"
International Journal of Forecasting, Elsevier, vol. 28(2), pages 328-342.
Cited by:
- Gloria Gonzalez-Rivera & Yingying Sun, 2016.
"Density Forecast Evaluation in Unstable Environments,"
Working Papers
201606, University of California at Riverside, Department of Economics.
- González-Rivera, Gloria & Sun, Yingying, 2017. "Density forecast evaluation in unstable environments," International Journal of Forecasting, Elsevier, vol. 33(2), pages 416-432.
- Gloria Gonzalez-Rivera & Yingying Sun, 2014. "Density Forecast Evaluation in Unstable Environments," Working Papers 201428, University of California at Riverside, Department of Economics.
- Knüppel, Malte & Krüger, Fabian & Pohle, Marc-Oliver, 2022.
"Score-based calibration testing for multivariate forecast distributions,"
Discussion Papers
50/2022, Deutsche Bundesbank.
- Malte Knuppel & Fabian Kruger & Marc-Oliver Pohle, 2022. "Score-based calibration testing for multivariate forecast distributions," Papers 2211.16362, arXiv.org, revised Dec 2023.
- Gloria Gonzalez-Rivera & Joao Henrique Mazzeu & Esther Ruiz & Helena Veiga, 2017.
"A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities,"
Working Papers
201709, University of California at Riverside, Department of Economics.
- João Henrique G. Mazzeu & Gloria González-Rivera & Esther Ruiz & Helena Veiga, 2020. "A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities," Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 971-990, November.
- Yves Dominicy & Hiroaki Ogata & David Veredas, 2013.
"Inference for vast dimensional elliptical distributions,"
Computational Statistics, Springer, vol. 28(4), pages 1853-1880, August.
- Yves Dominicy & Hiroaki Ogata & David Veredas, 2013. "Inference for vast dimensional elliptical distributions," ULB Institutional Repository 2013/136282, ULB -- Universite Libre de Bruxelles.
- Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2019.
"Prediction Regions for Interval-valued Time Series,"
Working Papers
201921, University of California at Riverside, Department of Economics.
- González-Rivera, Gloria & Luo, Yun, 2019. "Prediction regions for interval-valued time series," DES - Working Papers. Statistics and Econometrics. WS 29054, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2018. "Prediction Regions for Interval-valued Time Series," Working Papers 201817, University of California at Riverside, Department of Economics.
- Gloria Gonzalez‐Rivera & Yun Luo & Esther Ruiz, 2020. "Prediction regions for interval‐valued time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 373-390, June.
- González-Rivera, Gloria & Veiga, Helena, 2016. "A Bootstrap Approach for Generalized Autocontour Testing," DES - Working Papers. Statistics and Econometrics. WS 23457, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gloria Gonzalez-Rivera & Yingying Sun, 2014.
"Generalized Autocontours: Evaluation of Multivariate Density Models,"
Working Papers
201431, University of California at Riverside, Department of Economics.
- González-Rivera, Gloria & Sun, Yingying, 2015. "Generalized autocontours: Evaluation of multivariate density models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 799-814.
- Dovern, Jonas & Manner, Hans, 2016. "Robust Evaluation of Multivariate Density Forecasts," VfS Annual Conference 2016 (Augsburg): Demographic Change 145547, Verein für Socialpolitik / German Economic Association.
- Covas, Francisco B. & Rump, Ben & Zakrajšek, Egon, 2014.
"Stress-testing US bank holding companies: A dynamic panel quantile regression approach,"
International Journal of Forecasting, Elsevier, vol. 30(3), pages 691-713.
- Francisco Covas & Ben Rump & Egon Zakrajšek, 2013. "Stress-testing U.S. bank holding companies: a dynamic panel quantile regression approach," Finance and Economics Discussion Series 2013-55, Board of Governors of the Federal Reserve System (U.S.).
- Barbara Rossi & Tatevik Sekhposyan, 2014.
"Alternative tests for correct specification of conditional predictive densities,"
Economics Working Papers
1416, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2017.
- Tatevik Sekhposyan & Barbara Rossi, 2015. "Alternative Tests for Correct Specification of Conditional Predictive Densities," Working Papers 758, Barcelona School of Economics.
- Rossi, Barbara & Sekhposyan, Tatevik, 2019. "Alternative tests for correct specification of conditional predictive densities," Journal of Econometrics, Elsevier, vol. 208(2), pages 638-657.
- Jonas Dovern & Hans Manner, 2018.
"Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts,"
CESifo Working Paper Series
7023, CESifo.
- Jonas Dovern & Hans Manner, 2020. "Order‐invariant tests for proper calibration of multivariate density forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 440-456, June.
- Jonas Dovern & Hans Manner, 2018. "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," Graz Economics Papers 2018-09, University of Graz, Department of Economics.
- Dovern, Jonas & Manner, Hans, 2016. "Order Invariant Evaluation of Multivariate Density Forecasts," Working Papers 0608, University of Heidelberg, Department of Economics.
- Gloria Gonzalez-Rivera & Yingying Sun, 2016.
"Density Forecast Evaluation in Unstable Environments,"
Working Papers
201606, University of California at Riverside, Department of Economics.
- González-Rivera, Gloria & Arroyo, Javier, 2012.
"Time series modeling of histogram-valued data: The daily histogram time series of S&P500 intradaily returns,"
International Journal of Forecasting, Elsevier, vol. 28(1), pages 20-33.
Cited by:
- Miguel de Carvalho & Gabriel Martos, 2022. "Modeling interval trendlines: Symbolic singular spectrum analysis for interval time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 167-180, January.
- Sun, Yuying & Zhang, Xinyu & Wan, Alan T.K. & Wang, Shouyang, 2022. "Model averaging for interval-valued data," European Journal of Operational Research, Elsevier, vol. 301(2), pages 772-784.
- Dias, Sónia & Brito, Paula & Amaral, Paula, 2021. "Discriminant analysis of distributional data via fractional programming," European Journal of Operational Research, Elsevier, vol. 294(1), pages 206-218.
- Zheng, Lingwei & Su, Ran & Sun, Xinyu & Guo, Siqi, 2023. "Historical PV-output characteristic extraction based weather-type classification strategy and its forecasting method for the day-ahead prediction of PV output," Energy, Elsevier, vol. 271(C).
- T.S. Tuang Buansing & Amos Golan & Aman Ullah, 2019.
"Information-Theoretic Approach for Forecasting Interval-Valued SP500 Daily Returns,"
Working Papers
201922, University of California at Riverside, Department of Economics.
- Buansing, T.S. Tuang & Golan, Amos & Ullah, Aman, 2020. "An information-theoretic approach for forecasting interval-valued SP500 daily returns," International Journal of Forecasting, Elsevier, vol. 36(3), pages 800-813.
- Antonio Balzanella & Antonio Irpino, 2020. "Spatial prediction and spatial dependence monitoring on georeferenced data streams," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(1), pages 101-128, March.
- Luis Lorenzo & Javier Arroyo, 2022. "Analysis of the cryptocurrency market using different prototype-based clustering techniques," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-46, December.
- Wilson Ye Chen & Gareth W. Peters & Richard H. Gerlach & Scott A. Sisson, 2017. "Dynamic Quantile Function Models," Papers 1707.02587, arXiv.org, revised May 2021.
- Paravee Maneejuk & Nootchanat Pirabun & Suphawit Singjai & Woraphon Yamaka, 2021. "Currency Hedging Strategies Using Histogram-Valued Data: Bivariate Markov Switching GARCH Models," Mathematics, MDPI, vol. 9(21), pages 1-20, November.
- González-Rivera, Gloria & Senyuz, Zeynep & Yoldas, Emre, 2011.
"Autocontours: Dynamic Specification Testing,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 186-200.
- Gloria González-Rivera & Zeynep Senyuz & Emre Yoldas, 2011. "Autocontours: Dynamic Specification Testing," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 186-200, January.
Cited by:
- Gloria Gonzalez-Rivera & Yingying Sun, 2016.
"Density Forecast Evaluation in Unstable Environments,"
Working Papers
201606, University of California at Riverside, Department of Economics.
- González-Rivera, Gloria & Sun, Yingying, 2017. "Density forecast evaluation in unstable environments," International Journal of Forecasting, Elsevier, vol. 33(2), pages 416-432.
- Gloria Gonzalez-Rivera & Yingying Sun, 2014. "Density Forecast Evaluation in Unstable Environments," Working Papers 201428, University of California at Riverside, Department of Economics.
- Gloria Gonzalez-Rivera & Joao Henrique Mazzeu & Esther Ruiz & Helena Veiga, 2017.
"A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities,"
Working Papers
201709, University of California at Riverside, Department of Economics.
- João Henrique G. Mazzeu & Gloria González-Rivera & Esther Ruiz & Helena Veiga, 2020. "A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities," Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 971-990, November.
- Igor L. Kheifets, 2015.
"Specification tests for nonlinear dynamic models,"
Econometrics Journal, Royal Economic Society, vol. 18(1), pages 67-94, February.
- Igor Kheifets, 2014. "Specification Tests for Nonlinear Dynamic Models," Cowles Foundation Discussion Papers 1937, Cowles Foundation for Research in Economics, Yale University, revised Oct 2014.
- Igor Kheifets, 2014. "Specification Tests for Nonlinear Dynamic Models," Working Papers w0209, Center for Economic and Financial Research (CEFIR).
- Igor Kheifets, 2014. "Specification Tests for Nonlinear Dynamic Models," Working Papers w0209, New Economic School (NES).
- Harvey, A., 2010.
"Exponential Conditional Volatility Models,"
Cambridge Working Papers in Economics
1040, Faculty of Economics, University of Cambridge.
- Harvey, Andrew, 2010. "Exponential conditional volatility models," DES - Working Papers. Statistics and Econometrics. WS ws103620, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Yves Dominicy & Hiroaki Ogata & David Veredas, 2013.
"Inference for vast dimensional elliptical distributions,"
Computational Statistics, Springer, vol. 28(4), pages 1853-1880, August.
- Yves Dominicy & Hiroaki Ogata & David Veredas, 2013. "Inference for vast dimensional elliptical distributions," ULB Institutional Repository 2013/136282, ULB -- Universite Libre de Bruxelles.
- González-Rivera, Gloria & Yoldas, Emre, 2012. "Autocontour-based evaluation of multivariate predictive densities," International Journal of Forecasting, Elsevier, vol. 28(2), pages 328-342.
- González-Rivera, Gloria & Veiga, Helena, 2016. "A Bootstrap Approach for Generalized Autocontour Testing," DES - Working Papers. Statistics and Econometrics. WS 23457, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gloria Gonzalez-Rivera & Yingying Sun, 2014.
"Generalized Autocontours: Evaluation of Multivariate Density Models,"
Working Papers
201431, University of California at Riverside, Department of Economics.
- González-Rivera, Gloria & Sun, Yingying, 2015. "Generalized autocontours: Evaluation of multivariate density models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 799-814.
- Gloria Gonzalez-Rivera & Yun Luo, 2020.
"A Truncated Mixture Transition Model for Interval-valued Time Series,"
Working Papers
202005, University of California at Riverside, Department of Economics.
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"Alternative tests for correct specification of conditional predictive densities,"
Economics Working Papers
1416, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2017.
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"Jumps in cross-sectional rank and expected returns: a mixture model,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 585-606.
Cited by:
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- Gloria Gonzalez-Rivera & Javier Arroyo & Carlos Mate, 2011. "Forecasting with Interval and Histogram Data. Some Financial Applications," Working Papers 201438, University of California at Riverside, Department of Economics.
- Gloria González-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008.
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"Optimality of the RiskMetrics VaR model,"
Finance Research Letters, Elsevier, vol. 4(3), pages 137-145, September.
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"The Riskiness of Corporate Bonds,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(4), pages 693-713, June.
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"The Riskiness of Corporate Bonds,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(4), pages 693-713, June.
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"Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood,"
International Journal of Forecasting, Elsevier, vol. 20(4), pages 629-645.
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- Antonio Naimoli & Giuseppe Storti, 2021. "Forecasting Volatility and Tail Risk in Electricity Markets," JRFM, MDPI, vol. 14(7), pages 1-17, June.
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"Point process models for extreme returns: Harnessing implied volatility,"
Journal of Banking & Finance, Elsevier, vol. 88(C), pages 161-175.
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- Wei Kuang, 2022. "Oil tail-risk forecasts: from financial crisis to COVID-19," Risk Management, Palgrave Macmillan, vol. 24(4), pages 420-460, December.
- Leonardo Ieracitano Vieira & Márcio Poletti Laurini, 2023. "Time-varying higher moments in Bitcoin," Digital Finance, Springer, vol. 5(2), pages 231-260, June.
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"A Practical Guide to Harnessing the HAR Volatility Model,"
NCER Working Paper Series
120, National Centre for Econometric Research.
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"Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-type Volatility Models,"
FinMaP-Working Papers
46, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
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"General-to-specific modelling of exchange rate volatility: A forecast evaluation,"
International Journal of Forecasting, Elsevier, vol. 26(4), pages 885-907, October.
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- Bauwens, Luc & Sucarrat, Genaro, 2008. "General to specific modelling of exchange rate volatility : a forecast evaluation," UC3M Working papers. Economics we081810, Universidad Carlos III de Madrid. Departamento de EconomÃa.
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"Forecasting the Conditional Volatility of Oil Spot andFutures Prices with Structural Breaksand Long Memory Models,"
LEO Working Papers / DR LEO
661, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
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- Mohamed El Hedi Arouri & Amine Lahiani & Khuong Nguyen Duc, 2010. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Working Papers 13, Development and Policies Research Center (DEPOCEN), Vietnam.
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- Vincenzo Candila, 2021. "Multivariate Analysis of Cryptocurrencies," Econometrics, MDPI, vol. 9(3), pages 1-17, July.
- Royer, Julien, 2021. "Conditional asymmetry in Power ARCH($\infty$) models," MPRA Paper 109118, University Library of Munich, Germany.
- Angelidis, Timotheos & Degiannakis, Stavros, 2008. "Volatility forecasting: intra-day vs. inter-day models," MPRA Paper 80434, University Library of Munich, Germany.
- Harish Kamal & Samit Paul, 2024. "Liquidity‐adjusted value‐at‐risk using extreme value theory and copula approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1747-1769, September.
- Zongwu Cai & Chaoqun Ma & Xianhua Mi, 2020. "Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202016, University of Kansas, Department of Economics, revised Sep 2020.
- Fantazzini, Dean, 2009. "The effects of misspecified marginals and copulas on computing the value at risk: A Monte Carlo study," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2168-2188, April.
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"Forecasting the volatility of the dow jones islamic stock market index: Long memory vs. regime switching,"
Economics Working Papers
2014-07, Christian-Albrechts-University of Kiel, Department of Economics.
- Nasr, Adnen Ben & Lux, Thomas & Ajmi, Ahdi Noomen & Gupta, Rangan, 2016. "Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 559-571.
- Adnen Ben Nasr & Thomas Lux & Ahdi N. Ajmi & Rangan Gupta, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," Working Papers 201412, University of Pretoria, Department of Economics.
- Adnen Ben Nasr & Thomas Lux & Ahdi Noomen Ajmi & Rangan Gupta, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," Working Papers 2014-236, Department of Research, Ipag Business School.
- Ben Nasr, Adnen & Lux, Thomas & Ajmi, Ahdi Noomen & Gupta, Rangan, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," FinMaP-Working Papers 2, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Fantazzini, Dean & Shangina, Tamara, 2019.
"The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 55, pages 5-31.
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- Gloria Gonzalez-Rivera & Javier Arroyo & Carlos Mate & A. Munoz San Roque, 2011. "Smoothing Methods for Histogram-valued Time Series. An Application to Value-at-Risk," Working Papers 201433, University of California at Riverside, Department of Economics.
- Anubha Goel & Puneet Pasricha & Juho Kanniainen, 2024. "Time-Series Foundation Model for Value-at-Risk Forecasting," Papers 2410.11773, arXiv.org, revised Jan 2025.
- Roberto Ferulano, 2009. "A Mixed Historical Formula to forecast volatility," Journal of Asset Management, Palgrave Macmillan, vol. 10(2), pages 124-136, June.
- Abad, Pilar & Benito, Sonia, 2013. "A detailed comparison of value at risk estimates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 258-276.
- Yong Ma & Lu Yan & Dongtao Pan, 2024. "The power of news data in forecasting tail risk: evidence from China," Empirical Economics, Springer, vol. 67(6), pages 2607-2642, December.
- Guglielmo Maria Caporale & Timur Zekokh, 2018.
"Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models,"
CESifo Working Paper Series
7167, CESifo.
- Caporale, Guglielmo Maria & Zekokh, Timur, 2019. "Modelling volatility of cryptocurrencies using Markov-Switching GARCH models," Research in International Business and Finance, Elsevier, vol. 48(C), pages 143-155.
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"Evaluating Volatility and Correlation Forecasts,"
OFRC Working Papers Series
2008fe22, Oxford Financial Research Centre.
- Kevin Sheppard & Andrew J. Patton, 2008. "Evaluating Volatility and Correlation Forecasts," Economics Series Working Papers 2008fe22, University of Oxford, Department of Economics.
- Hood, Matthew & Malik, Farooq, 2018. "Estimating downside risk in stock returns under structural breaks," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 102-112.
- Maziar Sahamkhadam & Andreas Stephan, 2019. "Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for the financial crisis," Papers 1912.10328, arXiv.org.
- Ravi Summinga-Sonagadu & Jason Narsoo, 2019. "Risk Model Validation: An Intraday VaR and ES Approach Using the Multiplicative Component GARCH," Risks, MDPI, vol. 7(1), pages 1-23, January.
- Babikir, Ali & Gupta, Rangan & Mwabutwa, Chance & Owusu-Sekyere, Emmanuel, 2012.
"Structural breaks and GARCH models of stock return volatility: The case of South Africa,"
Economic Modelling, Elsevier, vol. 29(6), pages 2435-2443.
- Ali Babikir & Rangan Gupta & Chance Mwabutwa & Emmanuel Owusu-Sekyere, 2010. "Structural Breaks and GARCH Models of Stock Return Volatility: The Case of South Africa," Working Papers 201030, University of Pretoria, Department of Economics.
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- Nader Trabelsi & Aviral Kumar Tiwari, 2023. "CO2 Emission Allowances Risk Prediction with GAS and GARCH Models," Computational Economics, Springer;Society for Computational Economics, vol. 61(2), pages 775-805, February.
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"Volatility forecasting: Intra-day versus inter-day models,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 449-465, December.
- Angelidis, Timotheos & Degiannakis, Stavros, 2008. "Volatility forecasting: Intra-day versus inter-day models," MPRA Paper 96322, University Library of Munich, Germany.
- Georgios Fatouros & Georgios Makridis & Dimitrios Kotios & John Soldatos & Michael Filippakis & Dimosthenis Kyriazis, 2023. "DeepVaR: a framework for portfolio risk assessment leveraging probabilistic deep neural networks," Digital Finance, Springer, vol. 5(1), pages 29-56, March.
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- Hammadi Zouari, 2022. "On the Effectiveness of Stock Index Futures for Tail Risk Protection," International Journal of Economics and Financial Issues, Econjournals, vol. 12(3), pages 38-52, May.
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"Can Macroeconomists Get Rich Forecasting Exchange Rates?,"
Department of Economics Working Paper Series
176, WU Vienna University of Economics and Business.
- Jesus Crespo Cuaresma & Mauro Costantini & Jaroslava Hlouskova, 2014. "Can Macroeconomists Get Rich Forecasting Exchange Rates?," Department of Economics Working Papers wuwp176, Vienna University of Economics and Business, Department of Economics.
- Costantini, Mauro & Cuaresma, Jesus Crespo & Hlouskova, Jaroslava, 2014. "Can Macroeconomists Get Rich Forecasting Exchange Rates?," Economics Series 305, Institute for Advanced Studies.
- Stavros Degiannakis & Pamela Dent & Christos Floros, 2014.
"A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification,"
Manchester School, University of Manchester, vol. 82(1), pages 71-102, January.
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"Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models,"
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"A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies,"
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"Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility,"
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"Testing the Opportunistic Approach to Monetary Policy,"
Keele Economics Research Papers
KERP 2007/02, Centre for Economic Research, Keele University.
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"Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study,"
Research Technical Papers
2/RT/06, Central Bank of Ireland.
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"Fiscal Policy Sustainability, Economic Cycle and Financial Crises: The Case of the GIPS,"
CESifo Working Paper Series
4001, CESifo.
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"No linealidades en la regla de política monetaria del Banco Central de Chile: una evidencia empírica,"
Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 21(1), pages 81-115, July.
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"Some Empirical Observations on the Forward Exchange Rate Anomaly,"
Trinity Economics Papers
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"Financial Market Conditions, Real Time, Nonlinearity and European Central Bank Monetary Policy: In-Sample and Out-of-Sample Assessment,"
Working Papers
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"Investigating Nonlinearity: A Note on the Estimation of Hamilton's Random Field Regression Model,"
Trinity Economics Papers
200054, Trinity College Dublin, Department of Economics.
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- Byeongseon Seo, 2004. "Testing for Nonlinear Adjustment in Smooth Transition Vector Error Correction Models," Econometric Society 2004 Far Eastern Meetings 749, Econometric Society.
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"Long memory and nonlinearity in stock markets,"
Applied Financial Economics Letters, Taylor & Francis Journals, vol. 4(1), pages 45-48.
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"Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?,"
Working Papers on Finance
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"Segmentation of consumer markets in the US: What do intercity price differences tell us?,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 50(3), pages 738-777, August.
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"A Long-Run Non-Linear Approach to the Fisher Effect,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 543-559, March.
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- Gloria González-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008.
- Dahl Christian M. & Gonzalez-Rivera Gloria, 2003.
"Identifying Nonlinear Components by Random Fields in the US GNP Growth. Implications for the Shape of the Business Cycle,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(1), pages 1-35, April.
Cited by:
- Ricardo Gonçalves Silva, 2004. "Bayesian Semiparametric Regression for Autoregressive Models with Possible Unit Roots," Econometrics 0405002, University Library of Munich, Germany.
- Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Business School, revised Sep 2013.
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"Granger causality, exogeneity, cointegration, and economic policy analysis,"
Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.
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- Saad Ahmad, 2020. "Identifying a robust policy rule for the Fed's response to financial stress," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(4), pages 565-578, October.
- Kalli, Maria & Griffin, Jim E., 2018. "Bayesian nonparametric vector autoregressive models," Journal of Econometrics, Elsevier, vol. 203(2), pages 267-282.
- Gloria González-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008.
- Gloria González-Rivera & Steven M. Helfand, 2001.
"The Extent, Pattern, and Degree of Market Integration: A Multivariate Approach for the Brazilian Rice Market,"
American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 83(3), pages 576-592.
Cited by:
- Liu, Qinghua & Wang, H. Holly, 2003. "Market Integration Test For Pacific Egg Markets," 2003 Annual meeting, July 27-30, Montreal, Canada 21934, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Agbo Josephine Nkechi & Okpukpara Benjamin C. & Ude Kingsley David & Udemba Klinsmann Uche, 2024. "Market Integration of Small-Scale Farms: Exploring the Bambara Groundnut Markets in Nigeria," Journal of Agriculture and Crops, Academic Research Publishing Group, vol. 10(1), pages 11-19, 01-2024.
- Ihle, Rico & Brümmer, Bernhard & Thompson, Stanley R., 2010. "Structural change in European calf markets: Policy decoupling and movement restrictions," 114th Seminar, April 15-16, 2010, Berlin, Germany 61085, European Association of Agricultural Economists.
- Hernandez-Villafuerte, Karla Vanessa, 2011. "Relationship Between Spatial Price Transmission And Geographical Distance In Brazil," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114545, European Association of Agricultural Economists.
- Ramadas Sendhil & Kashish Arora & Sunny Kumar & Priyanka Lal & Arnab Roy & Ramalingam Jayakumara Varadan & Sivasankar Vedi & Anandan Pouchepparadjou, 2023. "Price Dynamics and Integration in India’s Staple Food Commodities—Evidence from Wholesale and Retail Rice and Wheat Markets," Commodities, MDPI, vol. 2(1), pages 1-21, February.
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"Commercial sizes and prices on the French monkfish fishery: a time-series analysis,"
Post-Print
hal-00715403, HAL.
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- Pascal Le Floc'h & Iuliana Matei & Mehmet Tuncel, 2012. "Commercial Sizes and Prices on the French Monkfish Fishery :A Time-Series Analysis," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 55(1), pages 97-115.
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"Who in Brazil Will Gain from Global Trade Reforms?,"
TD NEREUS
12-2005, Núcleo de Economia Regional e Urbana da Universidade de São Paulo (NEREUS).
- Azzoni, Carlos Roberto & Brooks, Jonathan & Guilhoto, Joaquim José Martins & McDonald, Scott, 2007. "Who in Brazil will gain from global trade reforms?," MPRA Paper 54510, University Library of Munich, Germany.
- Carlos Azzoni & Jonathan Brooks & Joaquim Guilhoto & Scott McDonald, 2007. "Who in Brazil Will Gain from Global Trade Reforms?," The World Economy, Wiley Blackwell, vol. 30(10), pages 1568-1593, October.
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"Modelling Trends in Food Market Integration: Method and an Application to Tanzanian Maize Markets,"
2005 International Congress, August 23-27, 2005, Copenhagen, Denmark
24718, European Association of Agricultural Economists.
- Van Campenhout, Bjorn, 2007. "Modelling trends in food market integration: Method and an application to Tanzanian maize markets," Food Policy, Elsevier, vol. 32(1), pages 112-127, February.
- Sahito, Jam Ghulam Murtaza, 2015. "Market integration of wheat in Pakistan," Discussion Papers 72, Justus Liebig University Giessen, Center for international Development and Environmental Research (ZEU).
- Bittmann, Thomas & Holzer, Patrick & Loy, Jens-Peter, 2016. "Seasonal Cost Pass-Through In The German Milk Market," 56th Annual Conference, Bonn, Germany, September 28-30, 2016 244779, German Association of Agricultural Economists (GEWISOLA).
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"Price Adjustments and Transaction Costs in the European Natural Gas Market,"
The Energy Journal, , vol. 40(1), pages 171-188, January.
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"Intercommodity price transmission and food price policies: An analysis of Ethiopian cereal markets,"
IFPRI discussion papers
1079, International Food Policy Research Institute (IFPRI).
- Rashid, Shahidur, 2011. "Intercommodity price transmission and food price policies: An analysis of Ethiopian cereal markets," ESSP working papers 22, International Food Policy Research Institute (IFPRI).
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- Mezgebo, Taddese, 2009. "A multivariate approach for identification of optimal locations with in Ethiopia’s wheat market to tackle soaring inflation on food price," MPRA Paper 18663, University Library of Munich, Germany.
- von der Goltz, Jan & Dar, Aaditya & Fishman, Ram & Mueller, Nathaniel D. & Barnwal, Prabhat & McCord, Gordon C., 2020. "Health Impacts of the Green Revolution: Evidence from 600,000 births across the Developing World," Journal of Health Economics, Elsevier, vol. 74(C).
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- Christine Moser & Christopher Barrett & Bart Minten, 2009. "Spatial integration at multiple scales: rice markets in Madagascar," Agricultural Economics, International Association of Agricultural Economists, vol. 40(3), pages 281-294, May.
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"Measuring Regional Market Integration by Dynamic Factor Error Correction Model (DF-ECM) Approach - The Case of Developing Asia,"
Working Papers
565, Queen Mary University of London, School of Economics and Finance.
- Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas Quising, 2007. "Measuring Regional Market Integration by Dynamic Factor Error Correction Model (DF-ECM) Approach: The Case of Developing Asia," EcoMod2007 23900071, EcoMod.
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- Mulubrhan Amare & Kibrom A. Abay & Patrick Hatzenbuehler, 2024. "Spatial market integration during a pandemic: Evidence from food markets in Nigeria," Agricultural Economics, International Association of Agricultural Economists, vol. 55(1), pages 86-103, January.
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- Abay, Kibrom A. & Abdelfattah, Lina & Breisinger, Clemens & Siddig, Khalid, 2023. "Evaluating cereal market (dis)integration in less developed and fragile markets: The case of Sudan," Food Policy, Elsevier, vol. 114(C).
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- Ihle, Rico & Brümmer, Bernhard & Thompson, Stanley R., 2009.
"Spatial Market Integration in the EU Beef and Veal Sector: Policy Decoupling and Export Bans,"
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