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Forecasting REIT volatility with high-frequency data : a comparison of alternative methods
Zhou, Jian - In: Applied economics 49 (2017) 26, pp. 2590-2605
Persistent link: https://www.econbiz.de/10011819614
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Modelling exchange rate volatility with random level shifts
Li, Ye; Perron, Pierre; Xu, Jiawen - In: Applied economics 49 (2017) 26, pp. 2579-2589
Persistent link: https://www.econbiz.de/10011819611
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Options-based forecasts of futures prices in the presence of limit moves
Egelkraut, Thorsten Michael; García, Philip; Sherrick, … - In: Applied economics 39 (2007) 1/3, pp. 145-152
Persistent link: https://www.econbiz.de/10003427270
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Stock index realized volatility forecasting in the presence of heterogeneous leverage effects and long range dependence in the volatility of realized volatility
Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - In: Applied economics 44 (2012) 25/27, pp. 3533-3550
Persistent link: https://www.econbiz.de/10009619742
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Value at risk estimation by threshold stochastic volatility model
Huang, Alex - In: Applied economics 47 (2015) 43/45, pp. 4884-4900
Persistent link: https://www.econbiz.de/10011380922
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Does mixed-frequency investor sentiment impact stock returns? : based on the empirical study of MIDAS regression model
Yang, Chunpeng; Zhang, Rengui - In: Applied economics 46 (2014) 7/9, pp. 966-972
Persistent link: https://www.econbiz.de/10010399534
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Do market prices aggregate information about macroeconomic uncertainty (or risk)?
Cover, James Peery; Lee, Hye-Jin - In: Applied economics 47 (2015) 40/42, pp. 4511-4534
Persistent link: https://www.econbiz.de/10011295329
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Out-of-sample realized volatility forecasting : does the support vector regression compete combination methods
Zhang, Gaoxun; Qiao, Gaoxiu - In: Applied economics 53 (2021) 19, pp. 2192-2205
Persistent link: https://www.econbiz.de/10012501131
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Estimating multi-period value at risk of oil futures prices
Zhou, Chunyang; Qin, Xiao; Diao, Xundi; He, Yingchen - In: Applied economics 48 (2016) 31/33, pp. 2994-3004
Persistent link: https://www.econbiz.de/10011615344
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Bad volatility is not always bad : evidence from the commodity markets
Indriawan, Ivan; Lien, Da-hsiang Donald; Roh, Tai-Yong; … - In: Applied economics 52 (2020) 40, pp. 4384-4402
Persistent link: https://www.econbiz.de/10012259062