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High-frequency data and stock-bond investing

Lai, Yu-Sheng - In: Journal of forecasting 41 (2022) 8, pp. 1623-1638

Persistent link: https://www.econbiz.de/10013465728

Sluggish news reactions: a combinatorial approach for synchronizing stock jumps

Bouamara, Nabil; Boudt, Kris; Laurent, Sébastien; … - 2024

Persistent link: https://www.econbiz.de/10014521306

Non-linearity and exchange rates

Fernandes, Marcelo - In: Journal of forecasting 17 (1998) 7, pp. 497-514

Persistent link: https://www.econbiz.de/10001363622

A simple expected volatility (SEV) index : application to SET50 Index Options

McAleer, Michael; Wiphatthanananthakul, Chatayan - 2010

Persistent link: https://www.econbiz.de/10008670007

Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...

Persistent link: https://www.econbiz.de/10011389735

Augmented half-life estimation based on high-frequency data

Huang, Mao-Lung; Liao, Shu-Yi; Lin, Kuo-Chin - In: Journal of forecasting 34 (2015) 7, pp. 523-532

Persistent link: https://www.econbiz.de/10011390442

A multiplicative error model with heterogeneous components for forecasting realized volatility

Han, Heejoon; Park, Myung D.; Zhang, Shen - In: Journal of forecasting 34 (2015) 3, pp. 209-219

Persistent link: https://www.econbiz.de/10011305259

Realized volatility forecast of stock index under structural breaks

Yang, Ke; Chen, Langnan; Tian, Fengping - In: Journal of forecasting 34 (2015) 1, pp. 57-82

Persistent link: https://www.econbiz.de/10011305343

Predicting bid-ask spreads using long-memory autoregressive conditional poisson models

Groß-Klußmann, Axel; Hautsch, Nikolaus - In: Journal of forecasting 32 (2013) 8, pp. 724-742

Persistent link: https://www.econbiz.de/10010344462

Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets

Bardgett, Chris; Gourier, Elise; Leippold, Markus - 2016

This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We … risk-neutral distributions as well as the term structure of volatility smiles and of variance risk premia. We find that the …

Persistent link: https://www.econbiz.de/10011410916