Concepedia

Heteroscedastic Forecasting

Heteroscedastic Forecasting is a forecasting framework that explicitly models and predicts time-varying uncertainty in forecast errors, distinguishing itself by accommodating non-constant variance structures in predictive distributions over time.

161

Publications

8K

Citations

341

Authors

223

Institutions

Publications per year

2017–2026

35

Parents

Publications

161

Forecasting stock market volatility using (non-linear) Garch models

Philip Hans Franses, Dick van Dijk · Journal of Forecasting · 1996 · 394 citations · Full text

, , +17

Forecasting carbon futures volatility using GARCH models with energy volatilities

Suk Joon Byun, Hangjun Cho · Energy Economics · 2013 · 333 citations

, , +15

A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models

Luc Bauwens, Sébastien Laurent · Journal of Business and Economic Statistics · 2005 · 297 citations

, , +16

Additive outliers, GARCH and forecasting volatility

Philip Hans Franses, Hendrik Ghijsels · International Journal of Forecasting · 1999 · 273 citations

, , +14

Filtering and Forecasting With Misspecified Arch Models I: Getting The Right Variance With The Wrong Model*

Daniel B. Nelson · Elsevier eBooks · 1996 · 260 citations

, , +14

1–5 of 161

Authors

341

  1. CW
    Cathy W. S. Chen

    Feng Chia University, Taiwan

    4 publications · 140 citations

    4

    h-index

  2. CC
    Christian Conrad

    Heidelberg University, Germany

    3 publications · 105 citations

    3

    h-index

  3. AD
    Allan D. Brunner

    Federal Reserve Board of Governors, United States

    3 publications · 249 citations

    3

    h-index

  4. PH
    Philip Hans Franses

    Erasmus University Rotterdam, Netherlands

    3 publications · 720 citations

    3

    h-index

  5. YL
    Yu‐Sheng Lai

    National Chi Nan University, Taiwan

    2 publications · 28 citations

    2

    h-index

1–5 of 341

Institutions

223

  1. Erasmus University Rotterdam

    Rotterdam, The Netherlands

    5 h-index

    8 publications

    1.7K citations

  2. Feng Chia University

    Taichung, Taiwan

    4 h-index

    8 publications

    280 citations

  3. UCLouvain

    Louvain-la-Neuve, Belgium

    4 h-index

    6 publications

    774 citations

  4. Universidad Carlos III de Madrid

    Madrid, Spain

    3 h-index

    4 publications

    141 citations

  5. University of Manchester

    Manchester, United Kingdom

    3 h-index

    4 publications

    247 citations

  6. The University of Sydney

    Sydney, Australia

    3 h-index

    4 publications

    173 citations

  7. Heidelberg University

    Heidelberg, Germany

    3 h-index

    3 publications

    105 citations

  8. Tinbergen Institute

    Rotterdam, The Netherlands

    3 h-index

    6 publications

    623 citations

1–8 of 223

Venues

  1. Journal of Forecasting

    15 publications · 1K citations

    14

    h-index

  2. International Journal of Forecasting

    8 publications · 477 citations

    8

    h-index

  3. SSRN Electronic Journal

    Repository · 7 publications · 150 citations

    7

    h-index

  4. Journal of Business and Economic Statistics

    JBES · 5 publications · 623 citations

    5

    h-index

  5. Applied Economics Letters

    5 publications · 183 citations

    5

    h-index

1–5