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Forecasting realized volatility : The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility
Kambouroudis, Dimos S.; McMillan, David G.; Tsakou, Katerina - In: Journal of Futures Markets 41 (2021) 10, pp. 1618-1639
Persistent link: https://www.econbiz.de/10012632620
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Does VIX or volume improve GARCH volatility forecasts?
Kambouroudis, Dimos S.; McMillan, David G. - In: Applied economics 48 (2016) 13/15, pp. 1210-1228
Persistent link: https://www.econbiz.de/10011433080
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Is there an ideal in-sample length for forecasting volatility?
Kambouroudis, Dimos S.; McMillan, David G. - In: Journal of international financial markets, … 37 (2015), pp. 114-137
Persistent link: https://www.econbiz.de/10011475043
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Forecasting stock return volatility : a comparison of GARCH, implied volatility, and realized volatility models
Kambouroudis, Dimos S.; McMillan, David G.; Tsakou, Katerina - In: The journal of futures markets 36 (2016) 12, pp. 1127-1163
Persistent link: https://www.econbiz.de/10011665507