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Risk-neutral moments and return predictability : international evidence
Zhang, Junyu; Ruan, Xinfeng; Zhang, Jin E. - In: Journal of forecasting 42 (2023) 5, pp. 1086-1111
Persistent link: https://www.econbiz.de/10014338814
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Default return spread : a powerful predictor of crude oil price returns
Han, Qingxiang; He, Mengxi; Zhang, Yaojie; Umar, Muhammad - In: Journal of forecasting 42 (2023) 7, pp. 1786-1804
Persistent link: https://www.econbiz.de/10014432770
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Predicting stock return volatility : can we benefit from regression models for return intervals?
Fischer, Henning; Blanco-Fernández, Ángela; Winker, Peter - In: Journal of forecasting 35 (2016) 2, pp. 113-146
Persistent link: https://www.econbiz.de/10011580244
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Affine term structure model with macroeconomic factors : do no-arbitrage restriction and macroeconomic factors imply better out-of-sample forecasts?
Ullah, Wali - In: Journal of forecasting 35 (2016) 4, pp. 329-346
Persistent link: https://www.econbiz.de/10011580766
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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
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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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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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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
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Forecasting VaR and ES in emerging markets : the role of time-varying higher moments
Trung Hai Le - In: Journal of forecasting 43 (2024) 2, pp. 402-414
Persistent link: https://www.econbiz.de/10014475347
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Business applications and state-level stock market realized volatility : a forecasting experiment
Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; … - In: Journal of forecasting 43 (2024) 2, pp. 456-472
Persistent link: https://www.econbiz.de/10014475351