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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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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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Asymmetric effects and long memory in the volatility of Dow Jones stocks
Scharth, Marcel; Medeiros, Marcelo C. - In: International journal of forecasting 25 (2009) 2, pp. 304-327
Persistent link: https://www.econbiz.de/10003870060
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Multivariate volatility forecasts for stock market indices
Wilms, Ines; Rombouts, Jeroen V. K.; Croux, Christophe - In: International journal of forecasting 37 (2021) 2, pp. 484-499
Persistent link: https://www.econbiz.de/10012792845
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The impact of sentiment and attention measures on stock market volatility
Audrino, Francesco; Sigrist, Fabio Roman Albert; … - In: International journal of forecasting 36 (2020) 2, pp. 334-357
Persistent link: https://www.econbiz.de/10012414802
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A Model Confidence Set approach to the combination of multivariate volatility forecasts
Amendola, Alessandra; Braione, Manuela; Candila, Vincenzo; … - In: International journal of forecasting 36 (2020) 3, pp. 873-891
Persistent link: https://www.econbiz.de/10012496876
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Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world
Lleo, Sébastien; Ziemba, William T. - In: International journal of forecasting 31 (2015) 2, pp. 399-425
Persistent link: https://www.econbiz.de/10011474134
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Stock return prediction under GARCH : an empirical assessment
Herwartz, Helmut - In: International journal of forecasting 33 (2017) 3, pp. 569-580
Persistent link: https://www.econbiz.de/10011746190
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Dependence in credit default swap and equity markets : dynamic copula with Markov-switching
Fei, Fei; Fuertes, Ana María; Kalotychou, Elena - In: International journal of forecasting 33 (2017) 3, pp. 662-678
Persistent link: https://www.econbiz.de/10011746197
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Predictability of bull and bear markets : a new look at forecasting stock market regimes (and returns) in the US
Haase, Felix; Neuenkirch, Matthias - In: International journal of forecasting 39 (2023) 2, pp. 587-605
Persistent link: https://www.econbiz.de/10014465071