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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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Heterogeneous information arrivals and return volatility dynamics : uncovering the long-run in high frequency returns
Andersen, Torben; Bollerslev, Tim - 1996
Persistent link: https://www.econbiz.de/10000603372
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A recursive modelling appoach to predicting UK stock returns
Pesaran, M. Hashem; Timmermann, Allan - 1996
Persistent link: https://www.econbiz.de/10000614563
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The statistical and economic significance of the predictability of excess returns of common stocks
Pesaran, M. Hashem; Timmermann, Alan G. - 1990
Persistent link: https://www.econbiz.de/10000130935
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Persistence of shocks and their sources in a multisectoral model of UK output-growth
Lee, Kevin C.; Pesaran, M. Hashem; Pierse, Richard G. - 1991
Persistent link: https://www.econbiz.de/10000130950
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Forecasting stock returns
Pesaran, M. Hashem; Timmermann, Allan - 1992
Persistent link: https://www.econbiz.de/10000137149
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The use of recursive model selection strategies in forecasting stock returns
Pesaran, M. Hashem; Timmermann, Allan - 1994
Persistent link: https://www.econbiz.de/10000147745
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Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange
Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - 1998
Persistent link: https://www.econbiz.de/10000682409
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Stock returns and expected business conditions : half a century of direct evidence
Campbell, Sean D. (contributor);  … - 2005 - Rev.
Persistent link: https://www.econbiz.de/10003726399
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Measuring financial asset return and volatility spillovers, with application to global equity markets
Diebold, Francis X. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003726982