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A Comprehensive Look at Financial Volatility Prediction by Economic Variables
Christiansen, Charlotte; Schmeling, Maik; Schrimpf, Andreas - School of Economics and Management, University of Aarhus - 2010
market volatility by macroeconomic and financial variables. We go beyond forecasting stock market volatility (by large the …
Persistent link: https://www.econbiz.de/10008534434
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Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - School of Economics and Management, University of Aarhus - 2015
We propose a new family of easy-to-implement realized volatility based forecasting models. The models exploit the …
Persistent link: https://www.econbiz.de/10011207425
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A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory
Nonejad, Nima - School of Economics and Management, University of Aarhus - 2013
. Results show that the proposed model is viable and flexible for purposes of forecasting volatility. Model uncertainty is …
Persistent link: https://www.econbiz.de/10010851263