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Faculty of Economics


Financial Forecasting and Simulation

Title AuthorsYearJEL Codes
Nonparametric Predictive Regressions for Stock Return PredictionCheng, T., Gao, J., Linton, O.[2019]C14 C22 G17
Two EGARCH models and one fat tailCaivano, M. and Harvey, A. C.[2013]C22 G17
Time series models with an EGB2 conditional distributionCaivano, M. and Harvey, A. C.[2013]C22 G17
Mean-Variance versus 1/N: What if we can forecast? (Updated 22nd December 2013)Allen, D., Lizieri, C. and Satchell, S.[2012]G11 G17
EGARCH models with fat tails, skewness and leverageHarvey, A. C. and Sucarrat, G.[2012]C22 G17
Exponential Conditional Volatility ModelsHarvey, A. C.[2010]C22 G17
On the Difficulty of Measuring Forecasting Skill in Financial MarketsSatchell, S. and J. Williams , O.[2010]D53 D82 D84 G11 G17
Social Welfare Issues of Financial LiteracySatchell, S. and J. Williams , O.[2010]D14 D53 D60 D82 D84 G01 G17 G18 G28

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