“...In this work we present a large scale comparison study for the major machine learning models for time series forecasting. Specifically, we apply the models on...”

“...We explore mixed data sampling (henceforth MIDAS) regression models. The regressions involve time series data sampled at different frequencies. Volatility and...”

“...This article reviews the exciting and rapidly expanding literature on realized volatility. After presenting a general univariate framework for estimating...”

“...A correction on the optimal block size algorithms of Politis and White ( 2004 ) is given following a correction of Lahiri's (Lahiri 1999 ) theoretical results...”

“...Various univariate and multivariate models of volatility have been used to evaluate market risk, asymmetric shocks, thresholds, leverage effects, and...”

“...It is widely known that significant in-sample evidence of predictability does not guarantee significant out-of-sample predictability. This is often interpreted...”

“...The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last few years. This paper reviews the substantial...”

“...In this article, a parametric framework for estimation and inference in cointegrated panel data models is considered that is based on a cointegrated VAR(p)...”

“...The maximum likelihood estimator (MLE) in nonlinear panel data models with fixed effects is widely understood (with a few exceptions) to be biased and...”