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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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Stochastic volatility models with ARMA innovations : an application to G7 inflation forecasts
Zhang, Bo; Chan, Joshua; Cross, Jamie - In: International journal of forecasting 36 (2020) 4, pp. 1318-1328
Persistent link: https://www.econbiz.de/10012546706
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Identification of volatility proxies as expectations of squared financial returns
Sucarrat, Genaro - In: International journal of forecasting 37 (2021) 4, pp. 1677-1690
Persistent link: https://www.econbiz.de/10013274330
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Observation-driven models for realized variances and overnight returns applied to value-at-risk and expected shortfall forecasting
Opschoor, Anne; Lucas, André - In: International journal of forecasting 37 (2021) 2, pp. 622-633
Persistent link: https://www.econbiz.de/10012792858
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Macroeconomic forecasting with large Bayesian VARs : global-local priors and the illusion of sparsity
Cross, Jamie; Hou, Chenghan; Poon, Aubrey - In: International journal of forecasting 36 (2020) 3, pp. 899-915
Persistent link: https://www.econbiz.de/10012497058
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Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
Lucas, André; Zhang, Xin - In: International journal of forecasting 32 (2016) 2, pp. 293-302
Persistent link: https://www.econbiz.de/10011596763
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Time-varying variance and skewness in realized volatility measures
Opschoor, Anne; Lucas, André - In: International journal of forecasting 39 (2023) 2, pp. 827-840
Persistent link: https://www.econbiz.de/10014465151