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Which component of air quality index drives stock price volatility in China : a decomposition-based forecasting method
Yu, Jize; Zhang, Li; Peng, Lijuan; Wu, Rui - In: Finance research letters 51 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014286581
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Tests of excess forecast volatility in the foreign exchange and stock markets
Froot, Kenneth - 1987
Persistent link: https://www.econbiz.de/10009571466
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Volatility modeling and Value-at-Risk (VaR) forecasting of emerging stock markets in the presence of long memory, asymmetry, and skewed heavy tails
Gencer, Hatice Gaye; Demiralay, Sercan - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 639-657
Persistent link: https://www.econbiz.de/10011562539
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Is there an ideal in-sample length for forecasting volatility?
Kambouroudis, Dimos S.; McMillan, David G. - In: Journal of international financial markets, … 37 (2015), pp. 114-137
Persistent link: https://www.econbiz.de/10011475043
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Forecasting crude oil and refined products volatilities and correlations : new evidence from fractionally integrated multivariate GARCH models
Marchese, Malvina; Kyriakou, Ioannis; Tamvakis, Michael; … - In: Energy economics 88 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012516745
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Forecasting stock return volatility : the role of shrinkage approaches in a data-rich environment
Dai, Zhifeng; Li, Tingyu; Yang, Mi - In: Journal of forecasting 41 (2022) 5, pp. 980-996
Persistent link: https://www.econbiz.de/10013287893
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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
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A Model Confidence Set approach to the combination of multivariate volatility forecasts
Amendola, Alessandra; Braione, Manuela; Candila, Vincenzo; … - In: International journal of forecasting 36 (2020) 3, pp. 873-891
Persistent link: https://www.econbiz.de/10012496876
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Factor-augmented HAR model improves realized volatility forecasting
Kim, Dongwoo; Baek, Changryong - In: Applied economics letters 27 (2020) 12, pp. 1002-1009
Persistent link: https://www.econbiz.de/10012267030
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Forecasting global stock market implied volatility indices
Degiannakis, Stavros; Filis, George; Hassani, Hossein - In: Journal of empirical finance 46 (2018), pp. 111-129
Persistent link: https://www.econbiz.de/10012103431