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Evaluating monthly volatility forecasts using proxies at different frequencies
Ñíguez, Trino-Manuel - In: Finance research letters 17 (2016), pp. 41-47
Persistent link: https://www.econbiz.de/10011596208
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Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures
Ewald, Christian; Hadina, Jelena; Haugom, Erik; Lien, … - In: Finance research letters 58 (2023) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10014582226
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Bitcoin volatility predictability : the role of jumps and regimes
Qian, Lihua; Wang, Jiqian; Ma, Feng; Li, Ziyang - In: Finance research letters 47 (2022) 2, pp. 1-8
Persistent link: https://www.econbiz.de/10013553653
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A bootstrap test for predictability of asset returns
Kim, Jae H.; Shamsuddin, Abul - In: Finance research letters 35 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012438374
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Forecasting realized variance using asymmetric HAR model with time-varying coefficients
Wu, Xinyu; Hou, Xinmeng - In: Finance research letters 30 (2019), pp. 89-95
Persistent link: https://www.econbiz.de/10012420297
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A Bayesian estimation approach of random switching exponential smoothing with application to credit forecast
Wang, Renhe; Wang, Tong; Qian, Zhiyong; Hu, Shulan - In: Finance research letters 58 (2023) 3, pp. 1-9
Persistent link: https://www.econbiz.de/10014631562
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Shrinkage and thresholding approaches for expected utility portfolios : an analysis in terms of predictive ability
Dutta, Sumanjay; Jain, Shashi - In: Finance research letters 64 (2024), pp. 1-8
Persistent link: https://www.econbiz.de/10014531731
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Confidence intervals for stress test predictions
Kopeliovich, Yaacov; Shea, Kevin - In: Finance research letters 55 (2023) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10014472996
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Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data
Lee, Kyungsub - In: Finance research letters 55 (2023) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10014473319
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Do extreme range estimators improve realized volatility forecasts? : evidence from G7 Stock Markets
Korkusuz, Burak; Kambouroudis, Dimos; McMillan, David G. - In: Finance research letters 55 (2023) 2, pp. 1-7
Persistent link: https://www.econbiz.de/10014473523