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A new model for forecasting VaR and ES using intraday returns aggregation
Song, Shijia, (2023)
Forecasting VAR Models in the Presence of Regime Shifts in Variance and Egarch Effects
Dendramis, Yiannis, (2012)
Forecasting volatility via stock return, range, trading volume and spillover effects : the case of Brazil
Asai, Manabu, (2013)
25 years of IIF time series forecasting : a selective review
Gooijer, Jan G. de, (2005)