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Stock market volatility Business & Economics
Coefficients Business & Economics
Predictors Business & Economics
Innovation Business & Economics
Bayesian model averaging Business & Economics
Parameter instability Business & Economics
Time-varying Business & Economics
Macroeconomics Business & Economics

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Research Output 2015 2018

  • 9 Journal article
3 Citations (Scopus)

Déjà vol oil? Predicting S&P 500 equity premium using crude oil price volatility: Evidence from old and recent time-series data

Nonejad, N., 1 Jul 2018, In : International Review of Financial Analysis. 58, p. 260-270 10 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Oil price volatility
Crude oil price
Oil
Equity premium
Time series data
17 Citations (Scopus)

Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why

Nonejad, N., 1 Jun 2017, In : Journal of Empirical Finance. 42, p. 131-154 24 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Time-varying
Coefficients
Macroeconomics
Predictors
Stock market volatility

Modeling and forecasting aggregate stock market volatility in unstable environments using mixture innovation regressions

Nonejad, N., Sep 2017, In : Journal of Forecasting. 36, 6, p. 718-740 23 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Modeling
Stock market volatility
Innovation
Coefficients
Realized volatility

Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market

Nonejad, N., 1 Feb 2017, In : Economic Modelling. 61, p. 388-408 21 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Crude oil
Simulated likelihood
Oil markets
Parameter instability
Stochastic volatility

Forecasting with the standardized self-perturbed Kalman filter

Grassi, S., Nonejad, N. & Santucci de Magistris, P., 2016, In : Journal of Applied Econometrics. 32, 2, p. 318-341

Research output: Contribution to journalJournal articleResearchpeer-review