Search Results - "Preve, Daniel"

A Practical Guide to harnessing the HAR volatility model by Clements, Adam, Preve, Daniel P.A.

“…•Considers forecasting benefits from the HAR model looking at alternatives to OLS on raw RV.•Moving to WLS is useful with Robust Regression often the…”
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Linear programming-based estimators in simple linear regression by Preve, Daniel, Medeiros, Marcelo C.

“…In this paper we introduce a linear programming estimator (LPE) for the slope parameter in a constrained linear regression model with a single regressor. The…”
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Linear programming-based estimators in nonnegative autoregression by Preve, Daniel

“…This note studies robust estimation of the autoregressive (AR) parameter in a nonlinear, nonnegative AR model driven by nonnegative errors. It is shown that a…”
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A mixture autoregressive model based on Student's t-distribution by Meitz, Mika, Preve, Daniel, Saikkonen, Pentti

“…A new mixture autoregressive model based on Student's t-distribution is proposed. A key feature of our model is that the conditional t-distributions of the…”
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Measure of location-based estimators in simple linear regression by Liu, Xijia, Preve, Daniel

“…In this note we consider certain measure of location-based estimators (MLBEs) for the slope parameter in a linear regression model with a single stochastic…”
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Statistical tests for multiple forecast comparison by Mariano, Roberto S., Preve, Daniel

“…We consider a multivariate version of the Diebold–Mariano test for equal predictive ability of three or more forecasting models. The Wald-type test, S, which…”
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Linear programming-based estimators in simple linear regression: Moment Restriction-Based Econometric Methods by PREVE, Daniel, MEDEIROS, Marcelo C

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Controles de proteção de dados pessoais dos povos indígenas implementados na FUNAI: uma análise do Acórdão n. 1.384/2022 do Tribunal de Contas da União by Prestes, Felipe Pinheiro, Ribeiro Preve, Daniel, Teza de Bona, Marcio

“…O foco desta pesquisa está na proteção dos dados pessoais tratados pela Fundação Nacional dos Povos Indígenas (FUNAI) sob a ótica do Acórdão n. 1.384/2022 do…”
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ESTIMATION OF TIME-VARYING ADJUSTED PROBABILITY OF INFORMED TRADING AND PROBABILITY OF SYMMETRIC ORDER-FLOW SHOCK by Preve, Daniel, Tse, Yiu-Kuen

“…Recently, Duarte and Young (2009) studied the probability of informed trading (PIN) proposed by Easley et al. (2002) and decomposed it into two parts: the…”
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A mixture autoregressive model based on Student's $t$-distribution by Meitz, Mika, Preve, Daniel, Saikkonen, Pentti

“…A new mixture autoregressive model based on Student's $t$-distribution is proposed. A key feature of our model is that the conditional $t$-distributions of the…”
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