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On a threshold heteroscedastic model
Chen, Cathy W. S.; So, Mike Ka-pui - In: International journal of forecasting 22 (2006) 1, pp. 73-89
Persistent link: https://www.econbiz.de/10003283952
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MCMC methods for comparing stochastic volatility and GARCH models
Gerlach, Richard; Tuyl, Frank - In: International journal of forecasting 22 (2006) 1, pp. 91-107
Persistent link: https://www.econbiz.de/10003283955
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Do high-frequency financial data help forcast oil prices? : the MIDAS touch at work
Baumeister, Christiane; Guérin, Pierre; Kilian, Lutz - In: International journal of forecasting 31 (2015) 2, pp. 238-252
Persistent link: https://www.econbiz.de/10011474035
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Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD
Feng, Yuanhua; Chen Zhou - In: International journal of forecasting 31 (2015) 2, pp. 349-363
Persistent link: https://www.econbiz.de/10011474104
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Forecasting volatility with time-varying leverage and volatility of volatility effects
Catania, Leopoldo; Proietti, Tommaso - In: International journal of forecasting 36 (2020) 4, pp. 1301-1317
Persistent link: https://www.econbiz.de/10012546666
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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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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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Do asset price drops foreshadow recessions?
Bluedorn, John Christopher; Decressin, Jörg; Terrones, … - In: International journal of forecasting 32 (2016) 2, pp. 518-526
Persistent link: https://www.econbiz.de/10011597180
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Volatility analysis for the GARCH-Itô-Jumps model based on high-frequency and low-frequency financial data
Fu, Jin-Yu; Lin, Jin-Guan; Hao, Hong-Xia - In: International journal of forecasting 39 (2023) 4, pp. 1698-1712
Persistent link: https://www.econbiz.de/10014465345