Forecasting the Volatility of Nikkei 225 Futures
Year of publication: |
2017
|
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Authors: | Asai, Manabu ; McAleer, Michael |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Forecasting | Volatility | Futures | Realized Volatility | Realized Kernel | Leverage Effects | Long Memory. |
Series: | Tinbergen Institute Discussion Paper ; 17-017/III |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 878187871 [GVK] hdl:10419/162283 [Handle] RePEc:tin:wpaper:20170017 [RePEc] |
Classification: | C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; c58 ; G17 - Financial Forecasting |
Source: |
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Forecasting the volatility of Nikkei 225 futures
Asai, Manabu, (2017)
-
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu, (2014)
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The impact of jumps and leverage in forecasting co-volatility
Asai, Manabu, (2015)
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Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Asai, Manabu, (2013)
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A Fractionally Integrated Wishart Stochastic Volatility Model
Asai, Manabu, (2013)
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Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
Asai, Manabu, (2013)
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