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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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Trading and non-trading period realized market volatility : does it matter for forecasting the volatility of US stocks?
Lyócsa, Štefan; Todorova, Neda - In: International journal of forecasting 36 (2020) 2, pp. 628-645
Persistent link: https://www.econbiz.de/10012415313
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An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns
Ojeda Cunya, Junior Alex; Rodriguez, Gabriel - In: Macroeconomics and finance in emerging market economies 9 (2016) 1/3, pp. 34-55
Persistent link: https://www.econbiz.de/10011583531
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Forecast evaluation of explanatory models of financial return variability
Sucarrat, Genaro (contributor) - 2008
basis in the simulation results a simple framework is proposed and illustrated. -- Return variability forecasting …
Persistent link: https://www.econbiz.de/10003694144
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Modeling and forecasting realized volatilities of Korean financial assets featuring long memory and asymmetry
Park, Soyoung; Shin, Dong-wan - In: Asia-Pacific journal of financial studies 43 (2014) 1, pp. 31-58
Persistent link: https://www.econbiz.de/10010348459
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Modeling and forecasting realized volatility : evidence from Brazil
Wink Junior, Marcos Vinício; Pereira, Pedro L. Valls - In: Brazilian review of econometrics : BRE ; the review of … 31 (2011) 2, pp. 315-337
Persistent link: https://www.econbiz.de/10010402885
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Volatility forecasting performance of two-scale realized volatility
Garg, S.; Vipul - In: Applied financial economics 24 (2014) 16/18, pp. 1111-1121
Persistent link: https://www.econbiz.de/10010418949
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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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Forecast evaluation of explanatory models of financial variability
Sucarrat, Genaro - 2009
; financial volatility ; forecasting ; explanatory modelling ; exchange rates …
Persistent link: https://www.econbiz.de/10003829997
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Forecast Evaluation of Explanatory Models of Financial Return Variability
Sucarrat, Genaro - 2011
A practice that has become widespread is that of comparing forecasts of financial return variability obtained from discrete time models against high frequency estimates based on continuous time theory. In explanatory financial return variability modelling this raises several methodological and...
Persistent link: https://www.econbiz.de/10013132293