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Interval forecasting : An analysis based upon ARCH-quantile estimators

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Author Info
Granger, C. W. J.
White, Halbert
Kamstra, Mark

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6VC0-457V1JC-K/2/b6d7b0cf2131c67b3ec236c2d807c03f
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 40 (1989)
Issue (Month): 1 (January)
Pages: 87-96
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Handle: RePEc:eee:econom:v:40:y:1989:i:1:p:87-96

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Web page: http://www.elsevier.com/locate/jeconom

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  1. Clements, Michael P., 2008. "Explanations of the inconsistencies in survey respondents'forecasts," The Warwick Economics Research Paper Series (TWERPS) 870, University of Warwick, Department of Economics. [Downloadable!]
  2. Kenneth F. Wallis, 2001. "Chi-squared tests of interval and density forecasts and the Bank of England's fan charts," Working Paper Series 083, European Central Bank. [Downloadable!]
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  3. Michael P. Clements & Nick Taylor, 2003. "Evaluating interval forecasts of high-frequency financial data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 445-456. [Downloadable!]
  4. Valentina Corradi & Norman R. Swanson, 2003. "A Test for Comparing Multiple Misspecified Conditional Distributions," Departmental Working Papers 200314, Rutgers University, Department of Economics. [Downloadable!]
  5. Clements, Michael P, 2006. "Internal consistency of survey respondents.forecasts : Evidence based on the Survey of Professional Forecasters," The Warwick Economics Research Paper Series (TWERPS) 772, University of Warwick, Department of Economics. [Downloadable!]
  6. David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Papers 2002-W11, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  7. Jose A. Lopez, 1997. "Regulatory evaluation of value-at-risk models," Research Paper 9710, Federal Reserve Bank of New York. [Downloadable!]
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  8. Robert Engle & Simone Manganelli, 2000. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Econometric Society World Congress 2000 Contributed Papers 0841, Econometric Society. [Downloadable!]
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  9. Chollete, Lorán, 2009. "The Propagation of Financial Extremes," Discussion Papers 2008/25, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
  10. Robert F. Engle & Simone Manganelli, 1999. "CAViaR: Conditional Value at Risk by Quantile Regression," NBER Working Papers 7341, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  11. Chollete, Lorán, 2008. "The Propagation of Financial Extremes: An Application to Subprime Market Spillovers," Discussion Papers 2008/2, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
  12. Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H., 2006. "Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility," The Warwick Economics Research Paper Series (TWERPS) 777, University of Warwick, Department of Economics. [Downloadable!]
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  13. George Kouretas & Leonidas Zarangas, 2005. "Conditional autoregressive valu at risk by regression quantile: Estimatingmarket risk for major stock markets," Working Papers 0521, University of Crete, Department of Economics. [Downloadable!]
  14. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society. [Downloadable!]
  15. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  16. James W. Taylor Derek W. Bunn, 1998. "Combining forecast quantiles using quantile regression: Investigating the derived weights, estimator bias and imposing constraints," Journal of Applied Statistics, Taylor and Francis Journals, vol. 25(2), pages 193-206, April. [Downloadable!] (restricted)
  17. John Geweke & Gianni Amisano, 2009. "Optimal Prediction Pools," Working Paper Series 1017, European Central Bank. [Downloadable!]
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  18. Jose A. Lopez, 1995. "Evaluating the predictive accuracy of volatility models," Research Paper 9524, Federal Reserve Bank of New York. [Downloadable!]
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  19. Valentina Corradi & Norman Swanson, 2003. "The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation," Departmental Working Papers 200313, Rutgers University, Department of Economics. [Downloadable!]
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