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Answering the critics : yes, arch models do provide good volatility forecasts
Andersen, Torben; Bollerslev, Tim - 1997
Persistent link: https://www.econbiz.de/10000627888
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On portfolio optimization : forecasting covariances and choosing the risk model
Chan, Louis K. C.; Karceski, Jason; Lakonishok, Josef - 1999
Persistent link: https://www.econbiz.de/10001378371
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q5
Hou, Kewei; Mo, Haitao; Xue, Chen; Zhang, Lu - 2018
Persistent link: https://www.econbiz.de/10011888412
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Factor model forecasts of exchange rates
Engel, Charles; Mark, Nelson C.; West, Kenneth D. - 2012
Persistent link: https://www.econbiz.de/10009631321
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How crashes develop : intradaily volatility and crash evolution
Bates, David S. - 2016
Persistent link: https://www.econbiz.de/10011451109
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On the relationship between the conditional mean and volatility of stock returns : a latent VAR approach
Brandt, Michael W.; Kang, Qiang - 2002
Persistent link: https://www.econbiz.de/10001683143
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Multifrequency news and stock returns
Calvet, Laurent E.; Fisher, Adlai J. - 2005
Persistent link: https://www.econbiz.de/10002978255
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Financial asset returns, direction-of-change forecasting, and volatility dynamics
Christoffersen, Peter F.; Diebold, Francis X. - 2003
Persistent link: https://www.econbiz.de/10001806479
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Roughing it up : including jump components in the measurement, modeling and forecasting of return volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2005
Persistent link: https://www.econbiz.de/10003217674
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The cross-section of volatility and expected returns
Ang, Andrew; Hodrick, Robert J.; Xing, Yuhang; Zhang, … - 2004
Persistent link: https://www.econbiz.de/10002418876