Rank-invariance conditions for the comparison of volatility forecasts
Year of publication: |
2022
|
---|---|
Authors: | Palandri, Alessandro |
Subject: | Volatility forecasts | forecast comparison | consistent rankings | Minkowski metric | quadratic variation | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Theorie | Theory | Vergleich | Comparison | Börsenkurs | Share price |
-
Forecasting realized volatility : new evidence from time-varying jumps in VIX
Dutta, Anupam, (2022)
-
Trading VIX on volatility forecasts : another volatility puzzle?
Degiannakis, Stavros, (2025)
-
Prediction power of high-frequency based volatility measures : a model based approach
Hamid, Alain, (2015)
- More ...
-
Risk-free rate effects on conditional variances and conditional correlations of stock returns
Palandri, Alessandro, (2014)
-
The Effects of Interest Rate Movements on Assets’ Conditional Second Moments
Palandri, Alessandro, (2009)
-
Sequential conditional correlations: Inference and evaluation
Palandri, Alessandro, (2009)
- More ...