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Performance of GARCH models in forecasting stock market volatility
Chong, Choo Wei; Ahmad, Muhammad Idrees; Abdullah, Mat … - In: Journal of forecasting 18 (1999) 5, pp. 333-343
Persistent link: https://www.econbiz.de/10001433977
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Modelling the absolute returns of different stock indices : exploring the forecastability of an alternative measure of risk
Granger, C. W. J.; Sin, Chor-yiu - In: Journal of forecasting 19 (2000) 4, pp. 277-298
Persistent link: https://www.econbiz.de/10001504616
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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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Predicting returns and volatility with macroeconomic variables : evidence from tests of encompassing
Sollis, Robert - In: Journal of forecasting 24 (2005) 3, pp. 221-231
Persistent link: https://www.econbiz.de/10002749178
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Special issue: Forecasting financial markets
Breitner, Michael H. (contributor) - 2014
Persistent link: https://www.econbiz.de/10010426236
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Forecasting realized volatility of international REITs : the role of realized skewness and realized kurtosis
Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; … - In: Journal of forecasting 41 (2022) 2, pp. 303-315
Persistent link: https://www.econbiz.de/10012817752
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Prediction of α‐stable GARCH and ARMA‐GARCH‐M models
Mohammadi, Mohammad - In: Journal of forecasting 36 (2017) 7, pp. 859-866
Persistent link: https://www.econbiz.de/10011860776
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Long memory of financial time series and hidden Markov models with time‐varying parameters
Nystrup, Peter; Madsen, Henrik; Lindström, Erik - In: Journal of forecasting 36 (2017) 8, pp. 989-1002
Persistent link: https://www.econbiz.de/10011860941
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Modeling and forecasting realized volatility in German-Austrian continuous intraday electricity prices
Ciarreta, Aitor; Muniain, Peru; Zarraga, Ainhoa - In: Journal of forecasting 36 (2017) 6, pp. 680-690
Persistent link: https://www.econbiz.de/10011861404