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Forecasting Realized Volatilit...
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Volatility
333
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333
Forecasting model
296
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296
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243
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243
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192
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Bollerslev, Tim
21
Todorov, Viktor
19
Tauchen, George Eugene
15
Timmermann, Allan
15
Andersen, Torben
14
Patton, Andrew J.
13
Aït-Sahalia, Yacine
12
Diebold, Francis X.
12
Swanson, Norman R.
12
Taylor, Robert
11
Xiu, Dacheng
11
Ghysels, Eric
10
Mykland, Per A.
10
Clark, Todd E.
9
Corradi, Valentina
9
Linton, Oliver
9
McAleer, Michael
9
Li, Jia
8
Meddahi, Nour
8
Dijk, Herman K. van
7
Schorfheide, Frank
7
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7
Cavaliere, Giuseppe
6
Elliott, Graham
6
Kim, Donggyu
6
Li, Yingying
6
Maheu, John M.
6
Marcellino, Massimiliano
6
McCracken, Michael W.
6
Zhang, Lan
6
Asai, Manabu
5
Carriero, Andrea
5
Fan, Jianqing
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Hong, Yongmiao
5
Koopman, Siem Jan
5
Lee, Ji Hyung
5
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5
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Conference on Realized Volatility <2006, Montréal>
1
National Bureau of Economic Research
1
National Science Foundation
1
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance <1999, Cambridge, Mass.>
1
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Journal of econometrics
MPRA Paper
2,294
International journal of forecasting
1,674
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1,606
Studies on Russian economic development : the official journal of the Institute of Economic Forecasting, Russian Academy of Sciences
1,428
Problems of economic transition
1,181
NBER working paper series
1,002
Ėkonomist : ežemesjačnyj naučno-praktičeskij žurnal
985
Journal of forecasting
920
Energy economics
911
Working paper / National Bureau of Economic Research, Inc.
870
Finance research letters
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ECB Working Paper
842
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789
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Obščestvo i ėkonomika : meždunarodnyj naučnyj i obščestvenno-političeskij žurnal ; žurnal učrežden akademijami nauk - učastnikam Meždunarodnaja Associacija Akademij Nauk
597
CEPR Discussion Papers
592
International review of financial analysis
589
Discussion paper / Centre for Economic Policy Research
580
Discussion paper / Tinbergen Institute
560
Journal of banking & finance
551
Economic modelling
542
Applied economics letters
483
Higher School of Economics Research Paper
478
International review of economics & finance : IREF
475
Economics letters
474
Mirovaja ėkonomika i meždunarodnye otnošenija : MĖMO
456
IZA Discussion Papers
454
Working paper series / European Central Bank
450
CESifo Working Paper Series
443
NBER Working Papers
442
Technological forecasting & social change : an international journal
431
Tinbergen Institute Discussion Paper
431
The journal of futures markets
430
The North American journal of economics and finance : a journal of financial economics studies
421
ĖKO : vserossijskij ėkonomičeskij žurnal
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ECONIS (ZBW)
586
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1
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
Saved in:
2
A MIDAS approach to modeling first and second moment dynamics
Pettenuzzo, Davide
;
Timmermann, Allan
;
Valkanov, Rossen I.
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 315-334
Persistent link: https://www.econbiz.de/10011704952
Saved in:
3
Properties of optimal forecasts under asymmetric loss and nonlinearity
Patton, Andrew J.
;
Timmermann, Allan
- In:
Journal of econometrics
140
(
2007
)
2
,
pp. 884-918
Persistent link: https://www.econbiz.de/10003570041
Saved in:
4
Determining the MSE-optimal cross section to
forecast
Arbués, Ignacio
- In:
Journal of econometrics
175
(
2013
)
2
,
pp. 61-70
Persistent link: https://www.econbiz.de/10009764428
Saved in:
5
Forecasting inflation using commodity price aggregates
Chen, Yu-chin
;
Turnovsky, Stephen J.
;
Zivot, Eric
- In:
Journal of econometrics
183
(
2014
)
1
,
pp. 117-134
Persistent link: https://www.econbiz.de/10010506079
Saved in:
6
Unpredictability in economic analysis, econometric modeling and forecasting
Hendry, David F.
;
Mizon, Grayham E.
- In:
Journal of econometrics
182
(
2014
)
1
,
pp. 186-195
Persistent link: https://www.econbiz.de/10010497091
Saved in:
7
Theory-coherent forecasting
Giacomini, Raffaella
;
Ragusa, Giuseppe
- In:
Journal of econometrics
182
(
2014
)
1
,
pp. 145-155
Persistent link: https://www.econbiz.de/10010497096
Saved in:
8
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing
;
Ke, Yuan
;
Liao, Yuan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
Saved in:
9
The wisdom of the crowd and prediction markets
Dai, Min
;
Jia, Yanwei
;
Kou, Steven
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 561-578
Persistent link: https://www.econbiz.de/10012619744
Saved in:
10
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
207
(
2018
)
1
,
pp. 71-91
Persistent link: https://www.econbiz.de/10012116125
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