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Stock market volatility forecasting : do we need high-frequency data?
Lyócsa, Štefan; Molnár, Peter; Výrost, Tomáš - In: International journal of forecasting 37 (2021) 3, pp. 1092-1110
Persistent link: https://www.econbiz.de/10012794812
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Range-based DCC models for covariance and value-at-risk forecasting
Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Journal of empirical finance 54 (2019), pp. 58-76
Persistent link: https://www.econbiz.de/10012174846
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Attention to oil prices and its impact on the oil, gold and stock markets and their covariance
Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Energy economics 120 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014285888
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Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Journal of empirical finance 70 (2023), pp. 308-321
Persistent link: https://www.econbiz.de/10014423712
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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
Persistent link: https://www.econbiz.de/10012304092
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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
Persistent link: https://www.econbiz.de/10012110287
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A dynamic conditional approach to portfolio weights forecasting
Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - 2020 - This version: May 12, 2020
Persistent link: https://www.econbiz.de/10012418423
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Smooth and abrupt dynamics in financial volatility : the MS-MEM-MIDAS
Scaffidi Domianello, Luca; Gallo, Giampiero M.; … - 2022 - Prima edizione
Persistent link: https://www.econbiz.de/10014261237