Search Results - subject:"heterogeneous autoregression"

Averaging heterogeneous autoregression models with heteroskedastic errors : theory and an application to cryptocurrency volatility forecasting

Gao, Ziwen; Lehrer, Steven F.; Xie, Tian; Zhang, Xinyu - In: Essays in honor of Subal Kumbhakar, (pp. 99-131). 2024

Persistent link: https://www.econbiz.de/10014559151

A machine learning approach to volatility forecasting

Christensen, Kim; Siggaard, Mathias Voldum; Veliyev, … - In: Journal of financial econometrics 21 (2023) 5, pp. 1680-1727

Persistent link: https://www.econbiz.de/10014444717

Forecasting equity index volatility by measuring the linkage among component stocks

Qiu, Yue; Xie, Tian; Yu, Jun; Zhou, Qiankun - In: Journal of financial econometrics 20 (2022) 1, pp. 160-186

Persistent link: https://www.econbiz.de/10012878191

Forecasting Bitcoin realized volatility by measuring the spillover effect among cryptocurrencies

Qiu, Yue; Wang, Yifan; Xie, Tian - In: Economics letters 208 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10013207252

Modeling realized volatility with implied volatility for the EUR/GBP exchange rate

Rokicka, Anna; Kudła, Janusz - In: Journal of risk 23 (2021) 4, pp. 51-79

Persistent link: https://www.econbiz.de/10012593441

Modelling and trading the U.S. implied volatility indices : evidence from the VIX, VXN and VXD indices

Psaradellis, Ioannis; Sermpinis, Georgios - In: International journal of forecasting 32 (2016) 4, pp. 1268-1283

Persistent link: https://www.econbiz.de/10011622149

Modeling and predicting the CBOE market volatility index

Fernandes, Marcelo; Medeiros, Marcelo C.; Scharth, Marcel - In: Journal of banking & finance 40 (2014), pp. 1-10

Persistent link: https://www.econbiz.de/10010402334

Modeling and predicting the CBOE market volatility index

Fernandes, Marcelo; Medeiros, Marcelo C.; Scharth, Marcel - In: Journal of Banking & Finance 40 (2014) C, pp. 1-10

This paper performs a thorough statistical examination of the time-series properties of the daily market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies not only on the widespread consensus that the VIX is a barometer of the overall market sentiment as...

Persistent link: https://www.econbiz.de/10010738276

A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries

McAleer, Michael; Medeiros, Marcelo C. - 2007

In this paper we propose a flexible model to capture nonlinearities and long-range dependence in time series dynamics. The new model is a multiple regime smooth transition extension of the Heterogenous Autoregressive (HAR) model, which is specifically designed to model the behavior of the...

Persistent link: https://www.econbiz.de/10011807368

Modeling and predicting the CBOE market volatility index

Fernandes, Marcelo; Medeiros, Marcelo C.; Scharth, Marcel - 2007

This paper performs a thorough statistical examination of the time-series properties of the market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies on the widespread consensus that the VIX is a barometer to the overall market sentiment as to what...

Persistent link: https://www.econbiz.de/10011807372