Concepedia
Transactions of Nonferrous Metals Society of China · 2014 · 16 citations · 26 references
Volatility ModelingMultivariate Stochastic VolatilityFinancial EconomicsAsset PricingEngineeringMarket TrendQuantitative FinanceBusinessStock Market PredictionForecastingStock MarketFinanceHigh-frequency Financial Econometrics
26
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 16.8K citations
Empirical Finance, Volatility Modeling, Economics +13
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
Ivo Welch, Amit Goyal · Review of Financial Studies · 2007 · 4K citations
Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
John Y. Campbell, Samuel B. Thompson · Review of Financial Studies · 2007 · 2.9K citations
Approximately normal tests for equal predictive accuracy in nested models
Todd E. Clark, Kenneth D. West · Journal of Econometrics · 2006 · 2.4K citations
Backtesting, Predictive Analytics, Biostatistics +4
Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy
David E. Rapach, Jack Strauss, Guofu Zhou · Review of Financial Studies · 2009 · 1.6K citations