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Time-varying autoregressive distributed lag model with changing volatility for stress test

Zhou, Leilei; Zhu, Wei - In: Journal of risk management in financial institutions 14 (2020/2021) 2, pp. 195-208

Persistent link: https://www.econbiz.de/10012613982

Measuring return and volatility spillovers among sectoral stocks in Nigeria

Fasanya, Ismail Olaleke; Oyewole, Oluwatomisin; … - In: Zagreb international review of economics & business 22 (2019) 2, pp. 71-93

Persistent link: https://www.econbiz.de/10012174084

Comparing predictive accuracy under long memory : with an application to volatility forecasting

Kruse, Robinson; Leschinski, Christian; Will, Michael - 2016

This paper extends the popular Diebold-Mariano test to situations when the forecast error loss differential exhibits long memory. It is shown that this situation can arise frequently, since long memory can be transmitted from forecasts and the forecast objective to forecast error loss...

Persistent link: https://www.econbiz.de/10011430242

Forecasting daily variations of stock index returns with a multifractal model of realized volatility

Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - In: Journal of forecasting 33 (2014) 7, pp. 532-541

Persistent link: https://www.econbiz.de/10011282864

A frequency-domain alternative to long-horizon regressions with application to return predictability

Sizova, Natalia - In: Journal of empirical finance 28 (2014), pp. 261-272

Persistent link: https://www.econbiz.de/10011285632

Bandwidth selection by cross-validation for forecasting long memory financial time series

Baillie, Richard; Kapetanios, George; Papailias, Fotis - In: Journal of empirical finance 29 (2014), pp. 129-143

Persistent link: https://www.econbiz.de/10011300500

Estimating and forecasting large panels of volatilities with approximate dynamic factor models

Luciani, Matteo; Veredas, David - In: Journal of forecasting 34 (2015) 3, pp. 163-176

Persistent link: https://www.econbiz.de/10011305278

Modeling and forecasting S&P 500 volatility : long memory, structural breaks and nonlinearity

Martens, Martin; Dijk, Dick van; Pooter, Michiel de - 2004

to realized volatilities of the S&P 500 stock index and three exchange rates produces forecasts that clearly improve upon …

Persistent link: https://www.econbiz.de/10011335205

Modeling and forecasting the volatility of petroleum futures prices

Kang, Sang Hoon; Yoon, Seong-min - In: Energy economics 36 (2013), pp. 354-362

Persistent link: https://www.econbiz.de/10009724686

Modeling CAC40 volatility using ultra-high frequency data

Degiannakis, Stavros; Floros, Christos - In: Research in international business and finance 28 (2013), pp. 68-81

Persistent link: https://www.econbiz.de/10009725156

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