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Forecasting volatility with support vector machine-based GARCH model
Shiyi, Chen; Härdle, Wolfgang; Jeong, Kiho - In: Journal of forecasting 29 (2010) 4, pp. 406-433
Persistent link: https://www.econbiz.de/10003989791
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A multiplicative error model with heterogeneous components for forecasting realized volatility
Han, Heejoon; Park, Myung D.; Zhang, Shen - In: Journal of forecasting 34 (2015) 3, pp. 209-219
Persistent link: https://www.econbiz.de/10011305259
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Estimating and forecasting large panels of volatilities with approximate dynamic factor models
Luciani, Matteo; Veredas, David - In: Journal of forecasting 34 (2015) 3, pp. 163-176
Persistent link: https://www.econbiz.de/10011305278
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Realized volatility forecast of stock index under structural breaks
Yang, Ke; Chen, Langnan; Tian, Fengping - In: Journal of forecasting 34 (2015) 1, pp. 57-82
Persistent link: https://www.econbiz.de/10011305343
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Cross-section stock return and implied covariance between jump and diffusive volatility
Ze-To, Samuel Yau Man - In: Journal of forecasting 34 (2015) 5, pp. 379-390
Persistent link: https://www.econbiz.de/10011318319
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Beating the VAR : improving Swedish GDP forecasts using error and intercept corrections
Lyhagen, Johan; Ekberg, Stefan; Eidestedt, Richard - In: Journal of forecasting 34 (2015) 5, pp. 354-363
Persistent link: https://www.econbiz.de/10011318328
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The role of high-frequency intra-daily data, daily range and implied volatility in multi-period value-at-risk forecasting
Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - In: Journal of forecasting 32 (2013) 6, pp. 561-576
Persistent link: https://www.econbiz.de/10009789559
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Predicting bid-ask spreads using long-memory autoregressive conditional poisson models
Groß-Klußmann, Axel; Hautsch, Nikolaus - In: Journal of forecasting 32 (2013) 8, pp. 724-742
Persistent link: https://www.econbiz.de/10010344462
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Estimating and predicting the general random effects model
Kouassi, Eugène; Kamdem, Alain Constant; Mougoué, Mbodja - In: Journal of forecasting 33 (2014) 4, pp. 270-283
Persistent link: https://www.econbiz.de/10010425747
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Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components
Man, Kasing; Wu, Chunchi - In: Journal of forecasting 29 (2010) 7, pp. 595-616
Persistent link: https://www.econbiz.de/10008935450