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Forecasting S&P 500 volatility : long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements

Martens, Martin; Dijk, Dick van; Pooter, Michiel de - In: International journal of forecasting 25 (2009) 2, pp. 282-303

Persistent link: https://www.econbiz.de/10003870055

Stochastic Seasonality, Contemporaneous Inference, and Forecasting in the Presence of Volatile Weather

Nickelsburg, Jerry - 2017

Contemporaneous inference from economic data releases for policy and business decisions has become increasingly relevant in the high pace of the information age. The released data are typically filtered to eliminate seasonal patterns to reveal underlying trends and cycles. The nature of economic...

Persistent link: https://www.econbiz.de/10012972987

Holidays, weekends and range-based volatility

Díaz-Mendoza, Ana-Carmen; Alañón Pardo, Ángel - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012656917

Hedging electricity price volatility applying seasonal and trend decomposition

Ramírez-García, Alfredo; Saucedo, Eduardo - In: Análisis económico 37 (2022) 94, pp. 143-166

Persistent link: https://www.econbiz.de/10013257186

Modelling the dynamics of stock market in the Gulf Cooperation Council countries : evidence on persistence to shocks

Boubaker, Heni; Saidane, Bassem; Zorgati, Mouna Ben Saad - In: Financial innovation : FIN 8 (2022), pp. 1-22

This study examines the statistical properties required to model the dynamics of both the returns and volatility series … adequately estimate long-memory dynamics in returns and volatility. The in-sample diagnostic tests as well as out … conditional volatility and strongly support the estimation of dynamic returns that allow for time-varying correlations. A …

Persistent link: https://www.econbiz.de/10013272684

On the importance of the long-term seasonal component in day-ahead electricity price forecasting

Nowotarski, Jakub; Weron, Rafał - In: Energy economics 57 (2016), pp. 228-235

Persistent link: https://www.econbiz.de/10011698464

Examination of seasonal volatility in HICP for baltic region countries : non-parametric test versus forecasting experiment

Lenart, Łukas - In: Central European journal of economic modelling and … 9 (2017) 1, pp. 29-67

Persistent link: https://www.econbiz.de/10011780589

Estimating and forecasting volatility of financial markets using asymmetric GARCH models : an application on Turkish financial markets

Gökbulut, Rasim lker; Pekkaya, Mehmet - In: International journal of economics and finance 6 (2014) 4, pp. 23-35

Persistent link: https://www.econbiz.de/10010347758

Extreme value volatility estimators and realized volatility of Istanbul stock exchange : evidence from emerging market

Öztürk, Hakkı; Erol, Umit; Yüksel, Aslı - In: International journal of economics and finance 8 (2016) 8, pp. 71-83

Persistent link: https://www.econbiz.de/10011556036

Forecasting fluctuations in exchange rates

Alkan, A. Levent - In: Yapı Kredı economic review : quarterly publ. of … 15 (2004) 1, pp. 3-19

Persistent link: https://www.econbiz.de/10002805924

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