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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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Trading and non-trading period realized market volatility : does it matter for forecasting the volatility of US stocks?
Lyócsa, Štefan; Todorova, Neda - In: International journal of forecasting 36 (2020) 2, pp. 628-645
Persistent link: https://www.econbiz.de/10012415313
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Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities
Sattarhoff, Cristina; Lux, Thomas - In: International journal of forecasting 39 (2023) 4, pp. 1678-1697
Persistent link: https://www.econbiz.de/10014465344
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Forecasting crude oil price volatility
Herrera, Ana María; Hu, Liang; Pastor, Daniel - In: International journal of forecasting 34 (2018) 4, pp. 622-635
Persistent link: https://www.econbiz.de/10012031060
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Forecasting crude oil market volatility : a Markov switching multifractal volatility approach
Wang, Yudong; Wu, Chongfeng; Li, Yang - In: International journal of forecasting 32 (2016) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10011596312
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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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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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Volatility analysis for the GARCH-Itô-Jumps model based on high-frequency and low-frequency financial data
Fu, Jin-Yu; Lin, Jin-Guan; Hao, Hong-Xia - In: International journal of forecasting 39 (2023) 4, pp. 1698-1712
Persistent link: https://www.econbiz.de/10014465345
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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
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A novel cluster HAR-type model for forecasting realized volatility
Yao, Xingzhi; Izzeldin, Marwan; Li, Zhenxiong - In: International journal of forecasting 35 (2019) 4, pp. 1318-1331
Persistent link: https://www.econbiz.de/10012305326