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Forecasting the volatility of Nikkei 225 futures

Asai, Manabu; McAleer, Michael - 2017 - Revised: January 2017

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … the stochastic volatility model with asymmetry and long memory, using high frequency data for the underlying asset …

Persistent link: https://www.econbiz.de/10011590424

Long run returns predictability and volatility with moving averages

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...

Persistent link: https://www.econbiz.de/10011906234

Realized volatility uncertainty

Allen, David E. (contributor); McAleer, Michael (contributor) - 2008

Persistent link: https://www.econbiz.de/10003760022

A simple expected volatility (SEV) index : application to SET50 index options

Wiphatthanananthakul, Chatayan; McAleer, Michael - 2008

Persistent link: https://www.econbiz.de/10003893426

Forecasting realized volatility with linear and nonlinear models

McAleer, Michael; Medeiros, Marcelo C. - 2009

Persistent link: https://www.econbiz.de/10003910296

It pays to violate : how effective are the Basel accord penalties?

Da Veiga, Bernardo; Chan, Felix; McAleer, Michael - 2009

Persistent link: https://www.econbiz.de/10003910300

Asymmetry and long memory in volatility modelling

Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2010

Persistent link: https://www.econbiz.de/10008664039

GFC-robust risk management strategies under the basel accord

McAleer, Michael; Jiménez-Martín, Juan-Ángel; Pérez … - 2010

Persistent link: https://www.econbiz.de/10008664042

Model selection and testing of conditional and stochastic volatility models

Caporin, Massimiliano; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008664052

Modelling and forecasting noisy realized volatility

Asai, Manuabu; McAleer, Michael; Medeiros, Marcelo C. - 2010

Persistent link: https://www.econbiz.de/10008669930

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