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Covariance forecasting in equity markets
Symitsi, Efthymia; Symeonidis, Lazaros; Kourtis, Apostolos - In: Journal of banking & finance 96 (2018), pp. 153-168
Persistent link: https://www.econbiz.de/10011967197
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Improving asset price prediction when all models are false
Durham, Garland; Geweke, John - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 278-306
Persistent link: https://www.econbiz.de/10010351546
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Forecasting stock return volatility : the role of shrinkage approaches in a data-rich environment
Dai, Zhifeng; Li, Tingyu; Yang, Mi - In: Journal of forecasting 41 (2022) 5, pp. 980-996
Persistent link: https://www.econbiz.de/10013287893
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Portfolio management with targeted constant market volatility
Bao Doan; Papageorgiou, Nicolas A.; Reeves, Jonathan J.; … - In: Insurance / Mathematics & economics 83 (2018), pp. 134-147
Persistent link: https://www.econbiz.de/10011944110
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On equity risk prediction and tail spillovers
Pouliasis, Panos; Kyriakou, Ioannis; Papapostolou, Nikos - In: International journal of finance & economics : IJFE 22 (2017) 4, pp. 379-393
Persistent link: https://www.econbiz.de/10011960379
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Forecasting Stock Market Volatility and Application to Volatility Timing Portfolios
Ryu, Doojin - 2022
This study predicts stock market volatility and applies them to the standard problem in finance, namely, asset … predictive performance relative to the standard volatility models. Furthermore, we construct volatility timing portfolios and …
Persistent link: https://www.econbiz.de/10014238092
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Forecasting stock return volatility in data-rich environment : a new powerful predictor
Dai, Zhifeng; Zhang, Xiaotong; Li, Tingyu - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014246821
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Forecasting Stock Market Volatility and Application to Volatility Timing Portfolios
Chun, Dohyun; Cho, Hoon; Ryu, Doojin - 2022
This study predicts stock market volatility and applies them to the standard problem in finance, namely, asset … predictive performance relative to the standard volatility models. Furthermore, we construct volatility timing portfolios and …
Persistent link: https://www.econbiz.de/10013404229
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Investors' uncertainty and forecasting stock market volatility
Liu, Ruipeng; Gupta, Rangan - In: The journal of behavioral finance : a publication of … 23 (2022) 3, pp. 327-337
Persistent link: https://www.econbiz.de/10013353013