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  • Search: subject:"volatility forecasts"
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Year of publication
Subject
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Volatility 28 Volatilität 28 Forecasting model 27 Prognoseverfahren 27 Volatility forecasts 24 ARCH model 21 ARCH-Modell 21 volatility forecasts 20 Implied volatility 12 VIX 10 Theorie 9 Theory 9 Volatility Forecasts 8 Börsenkurs 7 Share price 7 Time series analysis 7 Zeitreihenanalyse 7 Capital income 6 GARCH models 6 Kapitaleinkommen 6 Anonymity 5 Estimation 5 Estimation theory 5 Limit Order Trading 5 Liquidity 5 Market Microstructure 5 Schätztheorie 5 Schätzung 5 Transparency 5 Aktienmarkt 4 Option pricing theory 4 Optionspreistheorie 4 Stock market 4 realized volatility 4 Analysis of variance 3 Commodity derivative 3 Empirical similarity 3 Jumps 3 Market microstructure 3 Markov chain 3
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Online availability
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Free 30 Undetermined 21
Type of publication
All
Article 31 Book / Working Paper 28
Type of publication (narrower categories)
All
Article in journal 23 Aufsatz in Zeitschrift 23 Working Paper 7 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4 Aufsatz im Buch 1 Book section 1 Thesis 1 research-article 1
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Language
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English 43 Undetermined 16
Author
All
Becker, Ralf 7 Clements, Adam 6 Chkili, Walid 5 Foucault, Thierry 5 Hammoudeh, Shawkat 5 Moinas, Sophie 5 Nguyen, Duc Khuong 5 Theissen, Erik 5 Hamid, Alain 3 Caporin, Massimiliano 2 Charles, Amélie 2 Dempsey, Michael 2 Dutta, Anupam 2 Golosnoy, Vasyl 2 Gupta, Rangan 2 Hou, Chenghan 2 Ji, Qiang 2 Karyampas, Dimitrios 2 Klein, Tony 2 Luo, Jiawen 2 Martin, Gael M. 2 McClelland, Andrew 2 Okhrin, Yarema 2 Ranaldo, Angelo 2 Reidy, Andrew 2 Segnon, Mawuli 2 Tanha, Hassan 2 Wright, Jill 2 Bentes, Sonia R 1 Blazsek, Szabolcs 1 Bonato, M. 1 Bonato, Matteo 1 Campani, Carlos Heitor 1 Cao, Xiangye 1 Cartea, Alvaro 1 Cartea, Álvaro 1 Chan, Kam C. 1 Chan, Leo H. 1 Chen, Peimin 1 Clements, Adam E 1
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Institution
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National Centre for Econometric Research (NCER) 5 Institut de Préparation à l'Administration et à la Gestion (IPAG) 3 Department of Econometrics and Business Statistics, Monash Business School 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Departamento de Economía de la Empresa, Universidad Carlos III de Madrid 1 Department Volkswirtschaftlehre, Universität Bern 1 Départment d'économétrie et d'économie politique (DEEP), Faculté des Hautes Études Commerciales (HEC) 1 Econometric Society 1 Erasmus University Rotterdam, Econometric Institute 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 HAL 1 Institut für Finanzmarktforschung, Wirtschafts- und Sozialwissenschaftliche Fakultät 1
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Published in...
All
NCER Working Paper Series 5 Working Papers / Institut de Préparation à l'Administration et à la Gestion (IPAG) 3 International journal of forecasting 2 Monash Econometrics and Business Statistics Working Papers 2 Review of Pacific Basin financial markets and policies 2 Applied economics 1 Applied economics letters 1 Business Economics Working Papers 1 CFR Working Paper 1 CFR Working Papers 1 Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 1 Department of Economics working paper series 1 Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 1 Discussion papers / Governance and the Efficiency of Economic Systems 1 Diskussionsschriften 1 Econometric Institute Report 1 Econometric Institute Research Papers 1 Econometric Society 2004 Australasian Meetings 1 Econometric reviews 1 Energy 1 Energy Economics 1 Energy economics 1 Estudos econômicos : publicação trimestral do Departamento de Economia da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo 1 European Journal of Operational Research 1 FRB of Dallas Working Paper 1 Finance research letters 1 Global business review 1 International journal of finance & economics : IJFE 1 International review of economics & finance : IREF 1 Journal of Applied Economic Sciences Quarterly 1 Journal of Banking & Finance 1 Journal of banking & finance 1 Journal of econometrics 1 Journal of international financial markets, institutions & money 1 MPRA Paper 1 Managerial Finance 1 Post-Print / HAL 1 QMS Research Paper 1 Review of managerial science 1 Revisiting Electricity Market Reforms : Lessons for ASEAN and East Asia 1
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Source
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ECONIS (ZBW) 28 RePEc 25 EconStor 3 BASE 2 Other ZBW resources 1
Showing 1 - 10 of 59
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Forecasting stock market volatility with regime-switching GARCH-MIDAS : the role of geopolitical risks
Segnon, Mawuli; Gupta, Rangan - 2022
Persistent link: https://www.econbiz.de/10012800652
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Forecasting realized volatility : new evidence from time-varying jumps in VIX
Dutta, Anupam; Das, Debojyoti - In: The journal of futures markets 42 (2022) 12, pp. 2165-2189
Persistent link: https://www.econbiz.de/10013465875
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Forecasting stock market volatility with regime-switching GARCH-MIDAS : the role of geopolitical risks
Segnon, Mawuli; Gupta, Rangan; Wilfling, Bernd - In: International journal of forecasting 40 (2024) 1, pp. 29-43
Persistent link: https://www.econbiz.de/10014450235
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Is the prediction of precious metal market volatility influenced by internet searches regarding uncertainty?
Li, Wei; Zhang, Junchao; Cao, Xiangye; Han, Wei - In: Finance research letters 62 (2024) 2, pp. 1-10
Persistent link: https://www.econbiz.de/10014531194
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Volatility forecasts by clustering : applications for VaR estimation
Wang, Zijin; Chen, Peimin; Liu, Peng; Wu, Chunchi - In: International review of economics & finance : IREF 94 (2024), pp. 1-17
Persistent link: https://www.econbiz.de/10014582647
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New evidence on the information content of implied volatility of S&P 500 : model-free versus model-based
Zhang, Weiwei; Sun, Tiezhu; Ma, Yechi; Wang, Zilong - In: Romanian journal of economic forecasting 24 (2021) 1, pp. 109-121
Persistent link: https://www.econbiz.de/10012587118
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High frequency volatility forecasting : a new approach using a hybrid ANN-MC-GARCH model
Jumoorty, Aneessa Firdaus; Thoplan, Ruben; Narsoo, Jason - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 4156-4175
Persistent link: https://www.econbiz.de/10014429300
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Prediction accuracy of volatility using the score-driven Meixner distribution : an application to the Dow Jones
Blazsek, Szabolcs; Licht, Adrian - In: Applied economics letters 29 (2022) 2, pp. 111-117
Persistent link: https://www.econbiz.de/10012803390
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Rank-invariance conditions for the comparison of volatility forecasts
Palandri, Alessandro - In: The econometrics journal 25 (2022) 1, pp. 155-175
Persistent link: https://www.econbiz.de/10012878903
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Modelling and forecasting the volatility of the Nordic power market : an application of the GARCH-jump process
Dutta, Anupam - In: Revisiting Electricity Market Reforms : Lessons for …, (pp. 143-158). 2022
Persistent link: https://www.econbiz.de/10013447658
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