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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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Dynamics of financial returns densities : a functional approach applied to the Bovespa intraday index
Horta, Eduardo; Ziegelmann, Flávio A. - In: International journal of forecasting 34 (2018) 1, pp. 75-88
Persistent link: https://www.econbiz.de/10012030843
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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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The two-sided Weibull distribution and forecasting financial tail risk
Chen, Qian; Gerlach, Richard H. - In: International journal of forecasting 29 (2013) 4, pp. 541-547
Persistent link: https://www.econbiz.de/10010212495
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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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Forecasting in GARCH models with polynomially modified innovations
Vacca, Gianmarco; Zoia, Maria Grazia; Bagnato, Luca - In: International journal of forecasting 38 (2022) 1, pp. 117-141
Persistent link: https://www.econbiz.de/10013347743
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Volatility measures and Value-at-Risk
Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten - In: International journal of forecasting 33 (2017) 4, pp. 848-863
Persistent link: https://www.econbiz.de/10011746918
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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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Forecasting volatility : a reality check based on option pricing, utility function, value-at-risk, and predictive likelihood
González-Rivera, Gloria; Lee, Tae-hwy; Mishra, Santosh - In: International journal of forecasting 20 (2004) 4, pp. 629-645
Persistent link: https://www.econbiz.de/10002434305
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Forecasting the volatility of asset returns : the informational gains from option prices
Martin, Vance; Tang, Chrismin; Yao, Wenying - In: International journal of forecasting 37 (2021) 2, pp. 862-880
Persistent link: https://www.econbiz.de/10012792874