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Spillovers and directional predictability between international energy commodities and their implications for optimal portfolio and hedging
Trabelsi, Nader; Tiwari, Aviral Kumar; Hammoudeh, Shawkat - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-35
Persistent link: https://www.econbiz.de/10013534076
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A quantile-boosting approach to forecasting gold returns
Pierdzioch, Christian; Risse, Marian - In: The North American journal of economics and finance : a … 35 (2016), pp. 38-55
Persistent link: https://www.econbiz.de/10011672283
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Estimating and predicting multivariate volatility thresholds in global stock markets
Audrino, Francesco; Trojani, Fabio - In: Journal of applied econometrics 21 (2006) 3, pp. 345-369
Persistent link: https://www.econbiz.de/10003316303
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Does the option market produce superior forecasts of noise-corrected volatility measures?
Martin, Gael M.; Reidy, Andrew; Wright, Jill - In: Journal of applied econometrics 24 (2009) 1, pp. 77-104
Persistent link: https://www.econbiz.de/10003807531
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Realising the future : forecasting with high-frequency-based volatility (heavy) models
Shephard, Neil G.; Sheppard, Kevin - In: Journal of applied econometrics 25 (2010) 2, pp. 197-231
Persistent link: https://www.econbiz.de/10008667609
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Forecasting realized volatility : a Bayesian model-averaging approach
Liu, Chun; Maheu, John M. - In: Journal of applied econometrics 24 (2009) 5, pp. 709-733
Persistent link: https://www.econbiz.de/10003931571
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Anticipating long-term stock market volatility
Conrad, Christian; Stürmer, Karin - In: Journal of applied econometrics 30 (2015) 7, pp. 1090-1114
Persistent link: https://www.econbiz.de/10011431726
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Macroeconomic forecasting performance under alternative specifications of time-varying volatility
Clark, Todd E.; Ravazzolo, Francesco - In: Journal of applied econometrics 30 (2015) 4, pp. 551-575
Persistent link: https://www.econbiz.de/10011332869
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Do high-frequency data improve high-dimensional portfolio allocations?
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - In: Journal of applied econometrics 30 (2015) 2, pp. 263-290
Persistent link: https://www.econbiz.de/10011327609
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Modelling and forecasting multivariate realized volatility
Halbleib, Roxana; Voev, Valeri - In: Journal of applied econometrics 26 (2011) 6, pp. 922-947
Persistent link: https://www.econbiz.de/10009408883