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Stock market volatility forecasting : do we need high-frequency data?

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Persistent link: https://www.econbiz.de/10012794812

Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment

Christensen, Kim; Hounyo, Ulrich; Podolskij, Mark - In: Journal of econometrics 205 (2018) 2, pp. 336-362

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Stylized facts and dynamic modeling of high-frequency data on precious metals

Caporin, Massimiliano; Ranaldo, Angelo; Velo, Gebriel G. - 2013

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The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing

Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - In: Journal of econometrics 212 (2019) 2, pp. 556-583

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The role of jumps in realized volatility modeling and forecasting

Caporin, Massimiliano - In: Journal of financial econometrics 21 (2023) 4, pp. 1143-1168

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A dynamic conditional approach to portfolio weights forecasting

Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - 2020 - This version: May 12, 2020

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Financial time series: methods and models

Caporin, Massimiliano; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 5/86, pp. 1-3

The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...

Persistent link: https://www.econbiz.de/10012304649

Realized range volatility forecasting : dynamic features and predictive variables

Caporin, Massimiliano; Velo, Gabriel G. - In: International review of economics & finance : IREF 40 (2015), pp. 98-112

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Smooth and abrupt dynamics in financial volatility : the MS-MEM-MIDAS

Scaffidi Domianello, Luca; Gallo, Giampiero M.; … - 2022 - Prima edizione

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