Narrow search
Showing 1 - 10 of 1,633
Cover Image
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
Cover Image
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc; Xu, Yongdeng - In: International journal of forecasting 39 (2023) 2, pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Cover Image
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
Cover Image
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
Cover Image
Stock market volatility forecasting : do we need high-frequency data?
Lyócsa, Štefan; Molnár, Peter; Výrost, Tomáš - In: International journal of forecasting 37 (2021) 3, pp. 1092-1110
Persistent link: https://www.econbiz.de/10012794812
Cover Image
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
Cover Image
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
Cover Image
Outlier-robust methods for forecasting realized covariance matrices
Li, Dan; Drovandi, Christopher; Clements, Adam - In: International journal of forecasting 40 (2024) 1, pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
Cover Image
The value of multivariate model sophistication : an application to pricing Dow Jones Industrial Average options
Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Franceso - In: International journal of forecasting 30 (2013) 1, pp. 78-98
Persistent link: https://www.econbiz.de/10010247010
Cover Image
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