Daniel P. A. Preve

Singapore Management University

Associate Professor of Economics (Education)

90 Stamford Road

Singapore, 178903

Singapore

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 54,110

SSRN RANKINGS

Top 54,110

in Total Papers Downloads

1,185

SSRN CITATIONS
Rank 49,360

SSRN RANKINGS

Top 49,360

in Total Papers Citations

5

CROSSREF CITATIONS

8

Scholarly Papers (9)

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 576 (67,290)
Citation 3

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.

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 213 (199,717)
Citation 3

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

3.

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 Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics
Downloads 113 (334,097)

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

4.

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 71 (444,034)

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

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 67 (457,774)

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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

Number of pages: 23 Posted: 24 May 2018 Last Revised: 11 Aug 2021
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 63 (472,145)
Citation 1

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

7.

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 34 (605,788)
Citation 1

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

8.

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 25 (664,274)

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

9.

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
University of Umea - Department of Mathematics and Mathematical Statistics and Singapore Management University
Downloads 23 (679,082)

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