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Point and density prediction of intra-day volume using Bayesian linear ACV models : evidence from the Polish stock market
Huptas, Roman - In: Quantitative finance 18 (2018) 5, pp. 749-760
Persistent link: https://www.econbiz.de/10011907915
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A nonparametric approach to forecasting realized volatility
Clements, Adam; Becker, Ralf - 2009
Persistent link: https://www.econbiz.de/10003880632
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Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models
Ng, Jason; Forbes, Catherine Scipione; Martin, Gael M.; … - In: International journal of forecasting 29 (2013) 3, pp. 411-430
Persistent link: https://www.econbiz.de/10009787038
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Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016
Persistent link: https://www.econbiz.de/10011518800
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A Bayesian semiparametric realized stochastic volatility model
Liu, Jia - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-22
returns and logarithmic realized volatility but also enables flexible adjustments for estimation bias in realized volatility …
Persistent link: https://www.econbiz.de/10012800257
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Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Dobrev, Dobrislav; Schaumburg, Ernst - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 388-409
Persistent link: https://www.econbiz.de/10011987513
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Forecasting value at risk and expected shortfall using a semiparametric approach based on the asymmetric laplace distribution
Taylor, James W. - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 1, pp. 121-133
Persistent link: https://www.econbiz.de/10012176554
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Forecasting Realized Volatility Using a Nonnegative Semiparametric Model
Eriksson, Anders - 2019
its error component is partially unspecified. The statistical properties of the model are discussed and a novel estimation …
Persistent link: https://www.econbiz.de/10012863889
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A multiplicative error model with heterogeneous components for forecasting realized volatility
Han, Heejoon; Park, Myung D.; Zhang, Shen - In: Journal of forecasting 34 (2015) 3, pp. 209-219
Persistent link: https://www.econbiz.de/10011305259
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A bootstrap approach for Generalized Autocontour testing Implications for VIX forecast densities
Mazzeu, João Henrique Gonçalves; González-Rivera, Gloria - In: Econometric reviews 39 (2020) 10, pp. 971-990
Persistent link: https://www.econbiz.de/10012406197