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Gamma stochastic volatility models
Abraham, Bovas; Balakrishna, N.; Sivakumar, Ranjini - In: Journal of forecasting 25 (2006) 3, pp. 153-171
Persistent link: https://www.econbiz.de/10003318072
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Bias in the estimation of non-linear transformations of the integrated variance of returns
Harris, Richard D. F.; Guermat, Cherif - In: Journal of forecasting 25 (2006) 7, pp. 481-494
Persistent link: https://www.econbiz.de/10003394896
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Daily FX volatility forecasts : can the GARCH (1,1) model be beaten using high-frequency data?
McMillan, David G.; Speight, Alan E. H. - In: Journal of forecasting 31 (2012) 4, pp. 330-343
Persistent link: https://www.econbiz.de/10009576375
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Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis; Spungin, Giles E.; Tzavalis, Elias - In: Journal of forecasting 33 (2014) 7, pp. 515-531
Persistent link: https://www.econbiz.de/10011282095
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How predictable are equity covariance matrices? : evidence from high-frequency data for four markets
Buckle, Michael J.; Chen, Jing; Williams, Julian - In: Journal of forecasting 33 (2014) 7, pp. 542-557
Persistent link: https://www.econbiz.de/10011282861
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Forecasting daily variations of stock index returns with a multifractal model of realized volatility
Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - In: Journal of forecasting 33 (2014) 7, pp. 532-541
Persistent link: https://www.econbiz.de/10011282864
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Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction
Amendola, Alessandra; Storti, Giuseppe - In: Journal of forecasting 34 (2015) 2, pp. 83-91
Persistent link: https://www.econbiz.de/10011305317
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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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A neuro-walvet model for the short-term forecasting of high-frequency time series of stock returns
Ortega, Luis F.; Khashanah, Khaldoun - In: Journal of forecasting 33 (2014) 2, pp. 134-146
Persistent link: https://www.econbiz.de/10010424852
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Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes
Chen, Bei; Gel, Yulia R.; Balakrishna, N.; Abraham, Bovas - In: Journal of forecasting 30 (2011) 1, pp. 51-71
Persistent link: https://www.econbiz.de/10009233916