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Daniel Preve

Personal Details

First Name:Daniel
Middle Name:Peter Alexander
Last Name:Preve
Suffix:
RePEc Short-ID:ppr256
[This author has chosen not to make the email address public]
https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=1425210

Affiliation

School of Economics
Singapore Management University

Singapore, Singapore
http://www.economics.smu.edu.sg/
RePEc:edi:sesmusg (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. A Clements & D Preve, 2019. "A Practical Guide to Harnessing the HAR Volatility Model," NCER Working Paper Series 120, National Centre for Econometric Research.
  2. Mika Meitz & Daniel Preve & Pentti Saikkonen, 2018. "A mixture autoregressive model based on Student's $t$-distribution," Papers 1805.04010, arXiv.org.
  3. DANIEL PREVE & Shu-Ping XIJIA LIU, 2013. "Measure Of Location-Based Estimators In Simple Linear Regression," Working Papers CoFie-02-2013, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
  4. DANIEL PREVE & Yiu-Kuen Tse, 2012. "Estimation Of Time Varying Adjusted Probability Of Informed Trading And Probability Of Symmetric Order-Flow Shock," Working Papers CoFie-05-2011, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
  5. Daniel Preve & Marcelo Cunha Medeiros, 2010. "Linear Programming-Based Estimators in Simple Linear Regression," Textos para discussão 567, Department of Economics PUC-Rio (Brazil).
  6. Daniel Preve & Anders Eriksson & Jun Yu, 2009. "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Finance Working Papers 23049, East Asian Bureau of Economic Research.
  7. Daniel Preve, "undated". "Linear programming-based estimators in nonnegative autoregression," GRU Working Paper Series GRU_2016_001, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.

Articles

  1. Anders Eriksson & Daniel P. A. Preve & Jun Yu, 2019. "Forecasting Realized Volatility Using a Nonnegative Semiparametric Model," JRFM, MDPI, vol. 12(3), pages 1-23, August.
  2. Preve, Daniel, 2015. "Linear programming-based estimators in nonnegative autoregression," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 225-234.
  3. Daniel Preve & Yiu‐Kuen Tse, 2013. "Estimation Of Time‐Varying Adjusted Probability Of Informed Trading And Probability Of Symmetric Order‐Flow Shock," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(7), pages 1138-1152, November.
  4. Mariano, Roberto S. & Preve, Daniel, 2012. "Statistical tests for multiple forecast comparison," Journal of Econometrics, Elsevier, vol. 169(1), pages 123-130.
  5. Preve, Daniel & Medeiros, Marcelo C., 2011. "Linear programming-based estimators in simple linear regression," Journal of Econometrics, Elsevier, vol. 165(1), pages 128-136.

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

  1. A Clements & D Preve, 2019. "A Practical Guide to Harnessing the HAR Volatility Model," NCER Working Paper Series 120, National Centre for Econometric Research.

    Cited by:

    1. Bjoern Schulte-Tillmann & Mawuli Segnon & Timo Wiedemann, 2023. "A comparison of high-frequency realized variance measures: Duration- vs. return-based approaches," CQE Working Papers 10523, Center for Quantitative Economics (CQE), University of Muenster.
    2. Lyócsa, Štefan & Todorova, Neda & Výrost, Tomáš, 2021. "Predicting risk in energy markets: Low-frequency data still matter," Applied Energy, Elsevier, vol. 282(PA).
    3. Díaz-Mendoza, Ana-Carmen & Pardo, Angel, 2020. "Holidays, weekends and range-based volatility," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    4. Chao Zhang & Xingyue Pu & Mihai Cucuringu & Xiaowen Dong, 2023. "Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects," Papers 2308.01419, arXiv.org.
    5. Qianjie Geng & Xianfeng Hao & Yudong Wang, 2024. "Forecasting the volatility of crude oil futures: A time‐dependent weighted least squares with regularization constraint," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(2), pages 309-325, March.
    6. Lyócsa, Štefan & Plíhal, Tomáš & Výrost, Tomáš, 2021. "FX market volatility modelling: Can we use low-frequency data?," Finance Research Letters, Elsevier, vol. 40(C).
    7. Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun, 2023. "The effect of uncertainty on stock market volatility and correlation," Journal of Banking & Finance, Elsevier, vol. 154(C).
    8. Lyócsa, Štefan & Molnár, Peter & Výrost, Tomáš, 2021. "Stock market volatility forecasting: Do we need high-frequency data?," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1092-1110.
    9. Jiawen Luo & Oguzhan Cepni & Riza Demirer & Rangan Gupta, 2022. "Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies," Working Papers 202258, University of Pretoria, Department of Economics.

  2. Mika Meitz & Daniel Preve & Pentti Saikkonen, 2018. "A mixture autoregressive model based on Student's $t$-distribution," Papers 1805.04010, arXiv.org.

    Cited by:

    1. Henri Karttunen, 2020. "An autoregressive model based on the generalized hyperbolic distribution," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 787-816, September.
    2. Savi Virolainen, 2021. "Gaussian and Student's $t$ mixture vector autoregressive model with application to the asymmetric effects of monetary policy shocks in the Euro area," Papers 2109.13648, arXiv.org, revised Jun 2022.
    3. Patrick Toman & Nalini Ravishanker & Nathan Lally & Sanguthevar Rajasekaran, 2023. "Latent Autoregressive Student- t Prior Process Models to Assess Impact of Interventions in Time Series," Future Internet, MDPI, vol. 16(1), pages 1-17, December.

  3. DANIEL PREVE & Yiu-Kuen Tse, 2012. "Estimation Of Time Varying Adjusted Probability Of Informed Trading And Probability Of Symmetric Order-Flow Shock," Working Papers CoFie-05-2011, Singapore Management University, Sim Kee Boon Institute for Financial Economics.

    Cited by:

    1. Ping-Chen Tsai & Chi-Ming Tsai, 2021. "Estimating the proportion of informed and speculative traders in financial markets: evidence from exchange rate," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(3), pages 443-470, July.
    2. Pérez-Rodríguez, Jorge V. & Sosvilla-Rivero, Simón & Andrada-Felix, Julián & Gómez-Déniz, Emilio, 2022. "Searching for informed traders in stock markets: The case of Banco Popular," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).

  4. Daniel Preve & Marcelo Cunha Medeiros, 2010. "Linear Programming-Based Estimators in Simple Linear Regression," Textos para discussão 567, Department of Economics PUC-Rio (Brazil).

    Cited by:

    1. Daniel Preve, "undated". "Linear programming-based estimators in nonnegative autoregression," GRU Working Paper Series GRU_2016_001, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    2. Naoto Kunitomo & Michael McAleer & Yoshihiko Nishiyama, 2010. "Moment Restriction-based Econometric Methods: An Overview," KIER Working Papers 734, Kyoto University, Institute of Economic Research.
    3. Fengler, Matthias R. & Hin, Lin-Yee, 2015. "A simple and general approach to fitting the discount curve under no-arbitrage constraints," Finance Research Letters, Elsevier, vol. 15(C), pages 78-84.

  5. Daniel Preve & Anders Eriksson & Jun Yu, 2009. "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Finance Working Papers 23049, East Asian Bureau of Economic Research.

    Cited by:

    1. Daniel Preve, "undated". "Linear programming-based estimators in nonnegative autoregression," GRU Working Paper Series GRU_2016_001, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    2. Puneet Prakash & Vikas Sangwan & Kewal Singh, 2021. "Transformational Approach to Analytical Value-at-Risk for near Normal Distributions," JRFM, MDPI, vol. 14(2), pages 1-19, January.
    3. Bhimasankaram Pochiraju & Sridhar Seshadri & Dimitrios D. Thomakos & Konstantinos Nikolopoulos, 2020. "Non-Negativity of a Quadratic form with Applications to Panel Data Estimation, Forecasting and Optimization," Stats, MDPI, vol. 3(3), pages 1-18, July.
    4. Thanasis Stengos, 2020. "Recent Advancements in Section “Economics and Finance”," JRFM, MDPI, vol. 13(11), pages 1-2, November.
    5. Yiu-Kuen Tse, 2019. "Editorial for the Special Issue on Financial Econometrics," JRFM, MDPI, vol. 12(3), pages 1-2, September.

  6. Daniel Preve, "undated". "Linear programming-based estimators in nonnegative autoregression," GRU Working Paper Series GRU_2016_001, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.

    Cited by:

    1. Daniel PREVE & Anders ERIKSSON & Jun YU, 2009. "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Working Papers 22-2009, Singapore Management University, School of Economics.
    2. Shu, Yin & Feng, Qianmei & Liu, Hao, 2019. "Using degradation-with-jump measures to estimate life characteristics of lithium-ion battery," Reliability Engineering and System Safety, Elsevier, vol. 191(C).

Articles

  1. Anders Eriksson & Daniel P. A. Preve & Jun Yu, 2019. "Forecasting Realized Volatility Using a Nonnegative Semiparametric Model," JRFM, MDPI, vol. 12(3), pages 1-23, August.
    See citations under working paper version above.
  2. Preve, Daniel, 2015. "Linear programming-based estimators in nonnegative autoregression," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 225-234.
    See citations under working paper version above.
  3. Daniel Preve & Yiu‐Kuen Tse, 2013. "Estimation Of Time‐Varying Adjusted Probability Of Informed Trading And Probability Of Symmetric Order‐Flow Shock," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(7), pages 1138-1152, November.
    See citations under working paper version above.
  4. Mariano, Roberto S. & Preve, Daniel, 2012. "Statistical tests for multiple forecast comparison," Journal of Econometrics, Elsevier, vol. 169(1), pages 123-130.

    Cited by:

    1. Kuang-Liang Chang & Charles Ka Yui Leung, 2021. "How did the asset markets change after the Global Financial Crisis?," GRU Working Paper Series GRU_2021_004, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    2. Robinson Kruse & Christian Leschinski & Michael Will, 2016. "Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting," CREATES Research Papers 2016-17, Department of Economics and Business Economics, Aarhus University.
    3. Roberto S. Mariano & Suleyman Ozmucur, 2021. "Predictive Performance of Mixed-Frequency Nowcasting and Forecasting Models (with Application to Philippine Inflation and GDP Growth)," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 383-400, December.
    4. Daniel Preve, "undated". "Linear programming-based estimators in nonnegative autoregression," GRU Working Paper Series GRU_2016_001, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    5. Wilmer Osvaldo Martínez-Rivera & Manuel Dario Hernández-Bejarano & Juan Manuel Julio-Román, 2014. "On Forecast Evaluation," Borradores de Economia 11604, Banco de la Republica.
    6. Drachal, Krzysztof, 2019. "Forecasting prices of selected metals with Bayesian data-rich models," Resources Policy, Elsevier, vol. 64(C).
    7. Nathan Goldstein & Ben‐Zion Zilberfarb, 2023. "The closer we get, the better we are?," Economic Inquiry, Western Economic Association International, vol. 61(2), pages 364-376, April.
    8. Marian Vavra, 2015. "On a Bootstrap Test for Forecast Evaluations," Working and Discussion Papers WP 5/2015, Research Department, National Bank of Slovakia.
    9. Kuang-Liang Chang & Nan-Kuang Chen & Charles Ka Yui Leung, 2016. "Losing Track of the Asset Markets: the Case of Housing and Stock," International Real Estate Review, Global Social Science Institute, vol. 19(4), pages 435-492.
    10. Håvard Hungnes, 2020. "Equal predictability test for multi-step-ahead system forecasts invariant to linear transformations," Discussion Papers 931, Statistics Norway, Research Department.
    11. Nuri Hacıevliyagil & Krzysztof Drachal & Ibrahim Halil Eksi, 2022. "Predicting House Prices Using DMA Method: Evidence from Turkey," Economies, MDPI, vol. 10(3), pages 1-27, March.
    12. Krzysztof Drachal, 2019. "Analysis of Agricultural Commodities Prices with New Bayesian Model Combination Schemes," Sustainability, MDPI, vol. 11(19), pages 1-23, September.
    13. Cheung, Yin-Wong & Hui, Cho-Hoi & Tsang, Andrew, 2018. "The RMB central parity formation mechanism: August 2015 to December 2016," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 223-243.
    14. Drachal, Krzysztof, 2021. "Forecasting crude oil real prices with averaging time-varying VAR models," Resources Policy, Elsevier, vol. 74(C).
    15. Drachal, Krzysztof, 2021. "Forecasting selected energy commodities prices with Bayesian dynamic finite mixtures," Energy Economics, Elsevier, vol. 99(C).
    16. E. Otranto, 2024. "A Vector Multiplicative Error Model with Spillover Effects and Co-movements," Working Paper CRENoS 202404, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    17. Guzman, Giselle C., 2010. "An inflation expectations horserace," MPRA Paper 36511, University Library of Munich, Germany.
    18. Kwan, Yum K. & Leung, Charles Ka Yui & Dong, Jinyue, 2015. "Comparing consumption-based asset pricing models: The case of an Asian city," Journal of Housing Economics, Elsevier, vol. 28(C), pages 18-41.
    19. Xia, Yufei & Sang, Chong & He, Lingyun & Wang, Ziyao, 2023. "The role of uncertainty index in forecasting volatility of Bitcoin: Fresh evidence from GARCH-MIDAS approach," Finance Research Letters, Elsevier, vol. 52(C).
    20. Fawad, Muhammad & Yan, Ting & Chen, Lu & Huang, Kangdi & Singh, Vijay P., 2019. "Multiparameter probability distributions for at-site frequency analysis of annual maximum wind speed with L-Moments for parameter estimation," Energy, Elsevier, vol. 181(C), pages 724-737.
    21. Konstantin Kuck & Karsten Schweikert, 2021. "Forecasting Baden‐Württemberg's GDP growth: MIDAS regressions versus dynamic mixed‐frequency factor models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 861-882, August.
    22. Rehman, Mobeen Ur & Owusu Junior, Peterson & Ahmad, Nasir & Vo, Xuan Vinh, 2022. "Time-varying risk analysis for commodity futures," Resources Policy, Elsevier, vol. 78(C).
    23. Daniel Borup & Martin Thyrsgaard, 2017. "Statistical tests for equal predictive ability across multiple forecasting methods," CREATES Research Papers 2017-19, Department of Economics and Business Economics, Aarhus University.
    24. Owusu Junior, Peterson & Alagidede, Imhotep, 2020. "Risks in emerging markets equities: Time-varying versus spatial risk analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
    25. Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2020. "Predicting bond return predictability," CREATES Research Papers 2020-09, Department of Economics and Business Economics, Aarhus University.
    26. Guzman, Giselle C., 2011. "The case for higher frequency inflation expectations," MPRA Paper 36656, University Library of Munich, Germany.

  5. Preve, Daniel & Medeiros, Marcelo C., 2011. "Linear programming-based estimators in simple linear regression," Journal of Econometrics, Elsevier, vol. 165(1), pages 128-136.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (6) 2010-02-27 2010-04-17 2013-10-05 2018-05-21 2019-05-06 2019-07-22. Author is listed
  2. NEP-ETS: Econometric Time Series (3) 2010-02-27 2018-05-21 2019-05-06
  3. NEP-FOR: Forecasting (3) 2010-02-27 2018-05-21 2019-05-06
  4. NEP-SEA: South East Asia (2) 2010-02-27 2010-04-17
  5. NEP-ORE: Operations Research (1) 2019-05-06
  6. NEP-RMG: Risk Management (1) 2019-05-06

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