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Why is it so difficult to outperform the random walk? : an application of the Meese-Rogoff puzzle to stock prices
Moosa, Imad A.; Vaz, John - In: Applied economics 47 (2015) 4/6, pp. 398-407
Persistent link: https://www.econbiz.de/10010463372
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Conditional heteroskedasticity in the volatility of asset returns
Ding, Yashuang - 2021
Persistent link: https://www.econbiz.de/10013262866
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Forecasting and trading high frequency volatility on large indices
Liu, Fei; Pantelous, Athanasios A.; Mettenheim, … - In: Quantitative finance 18 (2018) 5, pp. 737-748
Persistent link: https://www.econbiz.de/10011907914
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Financial markets and the theory of chaos
Gilmore, Claire Gilbert - 1992
Persistent link: https://www.econbiz.de/10000896128
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Parameter estimation and forecasting for multiplicative lognormal cascades
Leövey, Andrés E.; Lux, Thomas - 2011
that estimated parameters can be used for forecasting the evolution of the turbulent flow. We compare forecasting results … by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …
Persistent link: https://www.econbiz.de/10009389845
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Special issue on non-linear forecasting of financial time series
Mills, Terence C. (contributor) - In: Journal of forecasting 15 (1996) 3, pp. 127-270
Persistent link: https://www.econbiz.de/10001198528
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Cointegration and predictability of asset prices
Caporale, Guglielmo Maria - In: Journal of international money and finance 17 (1998) 3, pp. 441-453
Persistent link: https://www.econbiz.de/10001246598
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Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
Engle, Robert F.; Russell, Jeffrey R. - 1995
Persistent link: https://www.econbiz.de/10000929607
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Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures
Herrmann, Klaus; Teis, Stefan; Yu, Weijun - 2014
The adjusted measure of realized volatility suggested in [20] is applied to high- frequency orderbook and transaction data of DAX and BUND futures from EU- REX in order to identify the drivers of intraday volatility. Four components are identified to have predictive power: an auto-regressive...
Persistent link: https://www.econbiz.de/10010442584
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Forecasting in the presence of instabilities : how we know whether models predict well and how to improve them
Rossi, Barbara - In: Journal of economic literature 59 (2021) 4, pp. 1135-1190
Persistent link: https://www.econbiz.de/10012704749