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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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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
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Forecasting daily return densities from intraday data : a multifractal approach
Hallam, Mark; Olmo, Jose - In: International journal of forecasting 30 (2014) 4, pp. 863-881
Persistent link: https://www.econbiz.de/10010517781
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Time series modeling of histogram-valued data : the daily histogram time series of S&P500 intradaily returns
González-Rivera, Gloria; Arroyo, Javier - In: International journal of forecasting 28 (2012) 1, pp. 20-33
Persistent link: https://www.econbiz.de/10009580813
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Predicting stock volatility using after-hours information : evidence from the NASDAQ actively traded stocks
Chen, Chun-Hung; Yu, Wei-choun; Zivot, Eric - In: International journal of forecasting 28 (2012) 2, pp. 366-383
Persistent link: https://www.econbiz.de/10009581923
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Volatility forecasting : the role of lunch-break returns, overnight returns, trading volume and leverage effects
Wang, Xunxiao; Wu, Chongfeng; Xu, Weidong - In: International journal of forecasting 31 (2015) 3, pp. 609-619
Persistent link: https://www.econbiz.de/10011474428
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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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Forecasting global equity market volatilities
Zhang, Yaojie; Ma, Feng; Liao, Yin - In: International journal of forecasting 36 (2020) 4, pp. 1454-1475
Persistent link: https://www.econbiz.de/10012546804
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Realized volatility forecasting : Robustness to measurement errors
Cipollini, Fabrizio; Gallo, Giampiero M.; Otranto, Edoardo - In: International journal of forecasting 37 (2021) 1, pp. 44-57
Persistent link: https://www.econbiz.de/10012692572