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The predictive power of implied volatility : evidence from 35 futures markets

Szakmary, Andrew; Örs, Evren; Kim, Jin Kyoung; … - In: Journal of banking & finance 27 (2003) 11, pp. 2151-2175

Persistent link: https://www.econbiz.de/10001798814

The power of weather : some empirical evidence on predicting day-ahead power prices through weather forecasts

Huurman, Christian; Ravazzolo, Francesco; Zhou, Chen - 2007

Persistent link: https://www.econbiz.de/10003482711

Modeling asset returns under time-varying semi-nonparametric distributions

León Valle, Ángel Manuel; Ñíguez, Trino-Manuel - In: Journal of banking & finance 118 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012520880

Accelerating GARCH and score-driven models : optimality, estimation and forecasting

Blasques, Francisco F.; Gorgi, Paolo; Koopman, Siem Jan S.J. - 2017

We first consider an extension of the generalized autoregressive conditional heteroskedasticity (GARCH) model that allows for a more flexible weighting of financial squared-returns for the filtering of volatility. The parameter for the squared-return in the GARCH model is time- varying with an...

Persistent link: https://www.econbiz.de/10011688512