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Can idiosyncratic volatility help forecast stock market volatility?
Taylor, Nicholas - In: International journal of forecasting 24 (2008) 3, pp. 462-479
Persistent link: https://www.econbiz.de/10003764116
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A vector heterogeneous autoregressive index model for realized volatility measures
Cubadda, Gianluca; Guardabascio, Barbara; Hecq, Alain W. J. - In: International journal of forecasting 33 (2017) 2, pp. 337-344
Persistent link: https://www.econbiz.de/10011921023
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Realised variance forecasting under Box-Cox transformations
Taylor, Nicholas - In: International journal of forecasting 33 (2017) 4, pp. 770-785
Persistent link: https://www.econbiz.de/10011746906
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Forecasting with VAR models : fat tails and stochastic volatility
Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pintér, Gábor - In: International journal of forecasting 33 (2017) 4, pp. 1124-1143
Persistent link: https://www.econbiz.de/10011746951