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The studentś t dynamic linear regression : re-examining volatility modeling

Heracleous, Maria S.; Spanos, Aris - 2006

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Sampling frequency and window length trade-offs in data-driven volatility estimation : appraising the accuracy of asymptotic approximations

Andreou, Elena; Ghysels, Eric - 2006

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Nonparametric predictive regression

Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. - In: Journal of econometrics 185 (2015) 2, pp. 468-494

Persistent link: https://www.econbiz.de/10011348962

Predicting the VIX and the Volatility Risk Premium : What's Credit and Commodity Volatility Risk Got to Do with It?

Andreou, Elena - 2014

This paper presents an innovative approach to extracting factors which are shown to predict the VIX, the S&P 500 Realized Volatility and the Variance Risk Premium. The approach is innovative along two different dimensions, namely: (1) we extract factors from panels of filtered volatilities - in...

Persistent link: https://www.econbiz.de/10013045628

Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors

Andreou, Elena; Ghysels, Eric - In: Journal of econometrics 220 (2021) 2, pp. 366-398

Persistent link: https://www.econbiz.de/10012618520

Predicting the VIX and the volatility risk premium : what's credit and commodity volatility risk got to do with it? Elena Andreou and Eric Ghysels

Andreou, Elena; Ghysels, Eric - 2014

Persistent link: https://www.econbiz.de/10010440191

Predicting the VIX and the volatility risk premium : the role of short-run funding spreads volatility factors

Andreou, Elena; Ghysels, Eric - 2020

Persistent link: https://www.econbiz.de/10014336139