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Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns
Gonçalves, Sílvia; Hounyo, Ulrich; Meddahi, Nour - In: Journal of financial econometrics : official journal of … 12 (2014) 4, pp. 679-707
Persistent link: https://www.econbiz.de/10010512286
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Variance targeting estimation of multivariate GARCH models
Francq, Christian; Horváth, Lajos; Zakoïan, Jean-Michel - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
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A False Discovery Rate approach to optimal volatility forecasting model selection
Hassanniakalager, Arman; Baker, Paul L.; Platanakis, … - In: International journal of forecasting 40 (2024) 3, pp. 881-902
Persistent link: https://www.econbiz.de/10014547223
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Leverage and volatility feedback effects in high-frequency data
Bollerslev, Tim; Litvinova, Julia; Tauchen, George Eugene - In: Journal of financial econometrics : official journal of … 4 (2006) 3, pp. 353-384
Persistent link: https://www.econbiz.de/10003354051
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Joint modeling of call and put implied volatility
Ahoniemi, Katja; Lanne, Markku - In: International journal of forecasting 25 (2009) 2, pp. 239-258
Persistent link: https://www.econbiz.de/10003870046
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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; Dijk, Dick van; Pooter, Michiel de - In: International journal of forecasting 25 (2009) 2, pp. 282-303
Persistent link: https://www.econbiz.de/10003870055
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Shifts in individual parameters of a GARCH model
Galeano, Pedro; Tsay, Ruey S. - In: Journal of financial econometrics : official journal of … 8 (2010) 1, pp. 122-153
Persistent link: https://www.econbiz.de/10003997359
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General-to-specific modelling of exchange rate volatility : a forecast evaluation
Bauwens, Luc; Sucarrat, Genaro - In: International journal of forecasting 26 (2010) 4, pp. 885-907
Persistent link: https://www.econbiz.de/10008807690
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Forecasting return volatility : level shifts with varying jump probability and mean reversion
Xu, Jiawen; Perron, Pierre - In: International journal of forecasting 30 (2014) 3, pp. 449-463
Persistent link: https://www.econbiz.de/10010511565
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Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models
Zhou, Xiaocong; Nakajima, Jouchi; West, Mike - In: International journal of forecasting 30 (2014) 4, pp. 963-980
Persistent link: https://www.econbiz.de/10010517774