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A latent factor model for forecasting realized variances
Calzolari, Giorgio; Halbleib, Roxana; Zagidullina, Aygul - In: Journal of financial econometrics 19 (2021) 5, pp. 860-909
Persistent link: https://www.econbiz.de/10012799052
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Exact inference in long-horizon predictive quantile regressions with an application to stock returns
Gungor, Sermin; Luger, Richard - In: Journal of financial econometrics 19 (2021) 4, pp. 746-788
Persistent link: https://www.econbiz.de/10012654991
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Realized semi(co)variation : signs that all volatilities are not created equal
Bollerslev, Tim - In: Journal of financial econometrics 20 (2022) 2, pp. 219-252
Persistent link: https://www.econbiz.de/10013187965
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Realized peaks over threshold : a time-varying extreme value approach with high-frequency-based measures
Bee, Marco; Dupuis, Debbie J.; Trapin, Luca - In: Journal of financial econometrics 17 (2019) 2, pp. 254-283
Persistent link: https://www.econbiz.de/10012054440
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The VIX, the variance premium, and expected returns
Osterrieder, Daniela; Ventosa-Santaulària, Daniel; … - In: Journal of financial econometrics 17 (2019) 4, pp. 517-558
Persistent link: https://www.econbiz.de/10012149836
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Volatility estimation and forecasts based on price durations
Hong, Seok Young; Nolte, Ingmar; Taylor, Stephen; Zhao, … - In: Journal of financial econometrics 21 (2023) 1, pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
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Forecasting under long memory
Hassler, Uwe; Pohle, Marc-Oliver - In: Journal of financial econometrics 21 (2023) 3, pp. 742-778
Persistent link: https://www.econbiz.de/10014314818
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Modeling and forecasting volatilities of financial assets with an asymmetric zero-drift GARCH model
Shi, Yanlin - In: Journal of financial econometrics 21 (2023) 4, pp. 1308-1345
Persistent link: https://www.econbiz.de/10014391461
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Time variation in cash flows and discount rates
Cenesizoglu, Tolga; Ibrushi, Denada - In: Journal of financial econometrics 21 (2023) 5, pp. 1557-1589
Persistent link: https://www.econbiz.de/10014444702
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Intraday end-of-day volume prediction
Sancetta, Alessio - In: Journal of financial econometrics 19 (2021) 3, pp. 472-495
Persistent link: https://www.econbiz.de/10012654952