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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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Robustness of alternative non-linearity tests for SETAR models
Chan, Wai-Sum; Ng, Man-wai - In: Journal of forecasting 23 (2004) 3, pp. 215-231
Persistent link: https://www.econbiz.de/10002027376
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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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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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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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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