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Index-option pricing with stochastic volatility and the value of accurate variance forecasts

Engle, Robert F.; Kane, Alex; Noh, Jaesun - 1993

Persistent link: https://www.econbiz.de/10000886028

Answering the critics : yes, arch models do provide good volatility forecasts

Andersen, Torben; Bollerslev, Tim - 1997

Persistent link: https://www.econbiz.de/10000627888

Tests of excess forecast volatility in the foreign exchange and stock markets

Froot, Kenneth - 1987

Persistent link: https://www.econbiz.de/10009571466

Taylor rule exchange rate forecasting during the financial crisis

Molodtsova, Tanya; Papell, David H. - 2012

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Monetary policy and asset valuation : evidence from a Markov-switching cay

Bianchi, Francesco; Lettau, Martin; Ludvigson, Sydney C. - 2016

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External imbalances and financial crises

Taylor, Alan M. - 2012

Persistent link: https://www.econbiz.de/10009683350

Predicting volatility : getting the most out of return data sampled at different frequencies

Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen - 2004

"We consider various MIDAS (Mixed Data Sampling) regression models to predict volatility. The models differ in the specification of regressors (squared returns, absolute returns, realized volatility, realized power, and return ranges), in the use of daily or intra-daily (5-minute) data, and in...

Persistent link: https://www.econbiz.de/10002482290

A multiple indicators model for volatility using intra-daily data

Engle, Robert F.; Gallo, Giampiero M. - 2003

Persistent link: https://www.econbiz.de/10001852358

Robust bond risk premia

Bauer, Michael D.; Hamilton, James D. - 2017

Persistent link: https://www.econbiz.de/10011684596

Monetary policy and the predictability of nominal exchange rates

Eichenbaum, Martin S.; Johannsen, Benjamin K.; Rebelo, … - 2017

Persistent link: https://www.econbiz.de/10011618959

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