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Asymmetry with respect to the memory in stock market volatilities
Lönnbark, Carl - In: Empirical economics : a journal of the Institute for … 50 (2016) 4, pp. 1409-1419
Persistent link: https://www.econbiz.de/10011481716
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Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep; Swanson, Norman R. - In: Journal of econometrics 187 (2015) 2, pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
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Forecasting exchange rate volatility : GARCH models versus implied volatility forecasts
Pilbeam, Keith; Langeland, Kjell Noralf - In: International economics and economic policy : IEEP 12 (2015) 1, pp. 127-142
Persistent link: https://www.econbiz.de/10011375830
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On the relationship of ex-ante and ex-post volatility : a sub-period analysis of S&P CNX Nifty Index options
Shaikh, Imlak; Padhi, Puja - In: Journal of emerging market finance 14 (2015) 2, pp. 140-175
Persistent link: https://www.econbiz.de/10011378502
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Quantile forecast combinations in realised volatility prediction
Meligkotsidou, Loukia; Panopulu, Aikaterinē; Vrontos, … - 2015
Persistent link: https://www.econbiz.de/10011453994
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Modeling time-varying skewness via decomposition for out-of-sample forecast
Liu, Xiaochun - In: International journal of forecasting 31 (2015) 2, pp. 296-311
Persistent link: https://www.econbiz.de/10011474059
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Volatility forecasting : the role of lunch-break returns, overnight returns, trading volume and leverage effects
Wang, Xunxiao; Wu, Chongfeng; Xu, Weidong - In: International journal of forecasting 31 (2015) 3, pp. 609-619
Persistent link: https://www.econbiz.de/10011474428
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Is there an ideal in-sample length for forecasting volatility?
Kambouroudis, Dimos S.; McMillan, David G. - In: Journal of international financial markets, … 37 (2015), pp. 114-137
Persistent link: https://www.econbiz.de/10011475043
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Direct versus iterated multi-period volatility forecasts : why MIDAS is king
Ghysels, Eric; Plazzi, Alberto; Valkanov, Rossen I.; … - 2019 - This draft: January 11, 2019
broadly, our study dispels the notion that volatility is not forecastable at long horizons and offers an approach that …
Persistent link: https://www.econbiz.de/10011976983
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Volatility forecasting
Mozes, Haim A.; Steffens, John Launny - In: The journal of trading 13 (2018) 4, pp. 10-13
Persistent link: https://www.econbiz.de/10012016568