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A GARCH model of the implied volatility of the Swiss market index from option prices
Sabbatini, Michael - In: International journal of forecasting 14 (1998) 2, pp. 199-213
Persistent link: https://www.econbiz.de/10001338711
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Distinguishing between stochastic and deterministic behavior in high frequency foreign exchange rate returns : can non-linear dynamics help forecasting
Cecen, A. A. - In: International journal of forecasting 12 (1996) 4, pp. 465-473
Persistent link: https://www.econbiz.de/10001214771
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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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Modeling time-varying skewness via decomposition for out-of-sample forecast
Liu, Xiaochun - In: International journal of forecasting 31 (2015) 2, pp. 296-311
Persistent link: https://www.econbiz.de/10011474059
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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 zero-inflated price changes with a Markov switching mixture model for autoregressive and heteroscedastic time series
Kömm, Holger; Küsters, Ulrich - In: International journal of forecasting 31 (2015) 3, pp. 598-608
Persistent link: https://www.econbiz.de/10011474425
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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 realized volatility with changing average levels
Gallo, Giampiero M.; Otranto, Edoardo - In: International journal of forecasting 31 (2015) 3, pp. 620-634
Persistent link: https://www.econbiz.de/10011474431
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Selecting volatility forecasting models for portfolio allocation purposes
Becker, Ralf; Clements, Adam; Doolan, M. B.; Hurn, Stan - In: International journal of forecasting 31 (2015) 3, pp. 849-861
Persistent link: https://www.econbiz.de/10011474597
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Testing causality between two vectors in multivariate GARCH models
Woźniak, Tomasz - In: International journal of forecasting 31 (2015) 3, pp. 876-894
Persistent link: https://www.econbiz.de/10011474616