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Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements

Martens, Martin; van Dijk, Dick; de Pooter, Michiel - In: International Journal of Forecasting 25 (2009) 2, pp. 282-303

We evaluate the forecasting performance of time series models for realized volatility, which accommodate long memory, level shifts, leverage effects, day-of-the-week and holiday effects, as well as macroeconomic news announcements. Applying the models to daily realized volatility for the S&P 500...

Persistent link: https://www.econbiz.de/10005428820

The relationships between sentiment, returns and volatility

Wang, Yaw-Huei; Keswani, Aneel; Taylor, Stephen J. - In: International Journal of Forecasting 22 (2006) 1, pp. 109-123

Persistent link: https://www.econbiz.de/10005418521

Comparing forecasts in finance

Taylor, Stephen J. - In: International Journal of Forecasting 8 (1992) 1, pp. 102-103

Persistent link: https://www.econbiz.de/10005418681

Forecasting the volatility of currency exchange rates

Taylor, Stephen J. - In: International Journal of Forecasting 3 (1987) 1, pp. 159-170

Persistent link: https://www.econbiz.de/10005428711

Commodity models for forecasting and policy analysis : Walter C. Labys and Peter K. Pollak, (Croom Helm, London and Nichols, New York, 1984) [UK pound]19.95/$38.50, pp. 209

Taylor, Stephen J. - In: International Journal of Forecasting 2 (1986) 2, pp. 252-253

Persistent link: https://www.econbiz.de/10005428853

Forecasting market prices

Taylor, Stephen J. - In: International Journal of Forecasting 4 (1988) 3, pp. 421-426

Persistent link: https://www.econbiz.de/10005428888

Parameter variability in the single factor market model: An empirical comparison of tests and estimation procedures using data from the Helsinki stock exchange : Johan Knif, (The F...

Taylor, Stephen J. - In: International Journal of Forecasting 6 (1990) 4, pp. 571-572

Persistent link: https://www.econbiz.de/10005429476