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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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Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, Fulvio; Pirino, Davide; Renò, Roberto - In: Journal of econometrics 159 (2010) 2, pp. 276-288
Persistent link: https://www.econbiz.de/10008840480
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Volatility forecasting and microstructure noise
Ghysels, Eric; Sinko, Arthur - In: Journal of econometrics 160 (2011) 1, pp. 257-271
Persistent link: https://www.econbiz.de/10009242520
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Volatillity forecast comparison using imperfect volatility proxies
Patton, Andrew J. - In: Journal of econometrics 160 (2011) 1, pp. 246-256
Persistent link: https://www.econbiz.de/10009242521
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Realized volatility forecasting and market microstructure noise
Andersen, Torben; Bollerslev, Tim; Meddahi, Nour - In: Journal of econometrics 160 (2011) 1, pp. 220-234
Persistent link: https://www.econbiz.de/10009242523
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Realized jumps on financial markets and predicting credit spreads
Tauchen, George Eugene; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 102-118
Persistent link: https://www.econbiz.de/10009242533
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Forecasting multivariate realized stock market volatility
Bauer, Gregory H.; Vorkink, Keith - In: Journal of econometrics 160 (2011) 1, pp. 93-101
Persistent link: https://www.econbiz.de/10009242535
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Do high-frequency measures of volatility improve forecasts of return distributions?
Maheu, John M.; McCurdy, Thomas H. - In: Journal of econometrics 160 (2011) 1, pp. 69-76
Persistent link: https://www.econbiz.de/10009242544
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The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - In: Journal of econometrics 160 (2011) 1, pp. 48-57
Persistent link: https://www.econbiz.de/10009242554