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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
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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
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Projected Dynamic Conditional Correlations
Llorens-Terrazas, Jordi; Brownlees, Christian - In: International journal of forecasting 39 (2023) 4, pp. 1761-1776
Persistent link: https://www.econbiz.de/10014465352
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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
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On the predictability of model-free implied correlation
Markopoulou, Chryssa; Skintzi, Vasiliki; Refenes, … - In: International journal of forecasting 32 (2016) 2, pp. 527-547
Persistent link: https://www.econbiz.de/10011597186
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Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
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Threshold stochastic volatility : properties and forecasting
Mao, Xiuping; Ruiz, Esther; Veiga, Helena - In: International journal of forecasting 33 (2017) 4, pp. 1105-1123
Persistent link: https://www.econbiz.de/10011746949
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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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Realized volatility forecast with the Bayesian random compressed multivariate HAR model
Luo, Jiawen; Chen, Langnan - In: International journal of forecasting 36 (2020) 3, pp. 781-799
Persistent link: https://www.econbiz.de/10012496859
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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