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Factor models of stock returns : GARCH errors versus time-varying betas
Koundouri, Phoebe; Kourogenis, Nikolaos; Pittis, Nikitas; … - In: Journal of forecasting 35 (2016) 5, pp. 445-461
Persistent link: https://www.econbiz.de/10011580985
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Forecasting value-at-risk with a parsimonious Portfolio Spillover GARCH (PS-GARCH) model
McAleer, Michael; Da Veiga, Bernardo - In: Journal of forecasting 27 (2008) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10003738381
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Forecasting volatility with outliers in GARCH models
Charles, Amélie - In: Journal of forecasting 27 (2008) 7, pp. 551-565
Persistent link: https://www.econbiz.de/10003779588
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Power transformation models and volatility forecasting
Sadorsky, Perry A.; McKenzie, Michael D. - In: Journal of forecasting 27 (2008) 7, pp. 587-606
Persistent link: https://www.econbiz.de/10003779597
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Gamma stochastic volatility models
Abraham, Bovas; Balakrishna, N.; Sivakumar, Ranjini - In: Journal of forecasting 25 (2006) 3, pp. 153-171
Persistent link: https://www.econbiz.de/10003318072
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Estimation and forecasting in first-order vector autoregressions with near to unit roots and conditional heteroscedasticity
Pantelidis, Theologos; Pittis, Nikitas - In: Journal of forecasting 28 (2009) 7, pp. 612-630
Persistent link: https://www.econbiz.de/10003902230
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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
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Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence
Ñíguez, Trino-Manuel; Rubia, Antonio - In: Journal of forecasting 25 (2006) 6, pp. 439-458
Persistent link: https://www.econbiz.de/10003378446
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Volatility forecasting with double Markov switching GARCH models
Chen, Cathy W. S.; So, Mike Ka-pui; Lin, Edward M. H. - In: Journal of forecasting 28 (2009) 8, pp. 681-697
Persistent link: https://www.econbiz.de/10003918204
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Forecasting volatility with support vector machine-based GARCH model
Shiyi, Chen; Härdle, Wolfgang; Jeong, Kiho - In: Journal of forecasting 29 (2010) 4, pp. 406-433
Persistent link: https://www.econbiz.de/10003989791