Daniel P. A. Preve

Singapore Management University

Associate Professor of Economics (Education)

90 Stamford Road

Singapore, 178903

Singapore

SCHOLARLY PAPERS

11

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2,376

SSRN CITATIONS
Rank 34,077

SSRN RANKINGS

Top 34,077

in Total Papers Citations

24

CROSSREF CITATIONS

8

Scholarly Papers (11)

1.

A Practical Guide to Harnessing the HAR Volatility Model

Journal of Banking and Finance, Forthcoming
Number of pages: 57 Posted: 08 May 2019 Last Revised: 11 Aug 2021
Adam Clements and Daniel P. A. Preve
Queensland University of Technology - School of Economics and Finance and Singapore Management University
Downloads 1,196 (33,824)
Citation 17

Abstract:

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Volatility forecasting, realized variance, HAR, HARQ, robust regression, weighted least squares, Box-Cox transformation, forecast comparisons, QLIKE, MSE, VaR, model confidence set

2.

Harvesting the HAR-X Volatility Model

Number of pages: 46 Posted: 28 Feb 2024
Adam Clements, Daniel P. A. Preve and Clarence Tee
Queensland University of Technology - School of Economics and Finance, Singapore Management University and Singapore Management University
Downloads 271 (211,778)

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Volatility forecasting, Realized volatility, Garman-Klass volatility, Parkinson volatility, HAR model, HAR-X model, Penalized least squares

3.

Statistical Tests for Multiple Forecast Comparison

Journal of Econometrics, Vol. 169, 2012
Number of pages: 16 Posted: 15 Aug 2012
Roberto S. Mariano and Daniel P. A. Preve
Singapore Management University and Singapore Management University
Downloads 249 (230,363)
Citation 6

Abstract:

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forecast comparison, multivariate tests of equal predictive ability, Diebold–Mariano test, finite-sample correction

4.

Linear Programming-Based Estimators in Simple Linear Regression

Journal of Econometrics, Vol. 165, 2011
Number of pages: 15 Posted: 15 Aug 2012
Daniel P. A. Preve and Marcelo C. Medeiros
Singapore Management University and The University of Illinois at Urbana-Champaign
Downloads 139 (386,376)

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linear regression, endogeneity, linear programming estimator, quasi-maximum likelihood estimator, exact distribution

5.

StMAR Toolbox: A MATLAB Toolbox for Student's t Mixture Autoregressive Models

Number of pages: 18 Posted: 31 Aug 2018
Mika Meitz, Daniel P. A. Preve and Pentti Saikkonen
University of Helsinki - Department of Political and Economic Studies, Singapore Management University and University of Helsinki - Department of Statistics
Downloads 112 (455,339)

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Mixture Model, Regime Switching, Conditional Heteroskedasticity, Student’s t Distribution, Financial Econometrics, Numerical Optimization, Parallel Computing, MATLAB

6.

A Mixture Autoregressive Model Based on Student's t-Distribution

Communications in Statistics - Theory and Methods
Number of pages: 23 Posted: 24 May 2018 Last Revised: 22 Feb 2024
Mika Meitz, Daniel P. A. Preve and Pentti Saikkonen
University of Helsinki - Department of Political and Economic Studies, Singapore Management University and University of Helsinki - Department of Statistics
Downloads 92 (520,877)
Citation 1

Abstract:

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Conditional heteroskedasticity, mixture model, regime switching, Student’s t-distribution

7.

Estimation of Time Varying Adjusted Probability of Informed Trading and Probability of Symmetric Order-Flow Shock

Journal of Applied Econometrics, Vol. 28, 2013
Number of pages: 18 Posted: 14 Aug 2012 Last Revised: 11 Aug 2015
Daniel P. A. Preve and Yiu Kuen Tse
Singapore Management University and Singapore Management University - School of Social Sciences
Downloads 86 (543,288)

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autoregressive conditional duration, market microstructure, probability of informed trading, probability of symmetric order-flow shock, transaction data

8.

Modeling and Forecasting Intraday Spot Volatility

Number of pages: 18 Posted: 22 May 2024
Adam Clements and Daniel P. A. Preve
Queensland University of Technology - School of Economics and Finance and Singapore Management University
Downloads 78 (580,096)

Abstract:

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Volatility forecasting, OK volatility, Intraday volatility, Spot volatility

9.

Linear Programming-Based Estimators in Nonnegative Autoregression

Journal of Banking & Finance, Vol. 61, 2015
Number of pages: 18 Posted: 01 Sep 2015 Last Revised: 18 Dec 2015
Daniel P. A. Preve
Singapore Management University
Downloads 61 (656,518)
Citation 1

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robust estimation, linear programming estimator, strong convergence, nonlinear nonnegative autoregression, dependent non-identically distributed errors, heavy-tailed errors

10.

Forecasting Realized Volatility Using a Nonnegative Semiparametric Model

Journal of Risk and Financial Management, 2019
Number of pages: 30 Posted: 06 Sep 2019
Anders Eriksson, Daniel P. A. Preve and Jun Yu
J.P. Morgan Chase & Co., Singapore Management University and Singapore Management University - School of Economics
Downloads 50 (720,006)

Abstract:

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Volatility forecasting, Realized volatility, Linear programming estimator, Tukey’s power transformation, Nonlinear nonnegative autoregression, Forecast comparisons

11.

Measure of Location-Based Estimators in Simple Linear Regression

Journal of Statistical Computation and Simulation, Vol. 86, 2016.
Number of pages: 14 Posted: 25 Aug 2015 Last Revised: 11 Jun 2018
Xijia Liu and Daniel P. A. Preve
Umeå University - Department of Mathematics and Mathematical Statistics and Singapore Management University
Downloads 42 (773,596)

Abstract:

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simple linear regression, robust estimators, measure of location, stable distribution, contaminated error, finite-sample, exact distribution, special functions