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Forecasting model
Volatility
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Volatilität
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Schätztheorie
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Gupta, Rangan
152
Ma, Feng
83
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78
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73
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71
Marcellino, Massimiliano
70
Swanson, Norman R.
68
Ravazzolo, Francesco
62
Koop, Gary
55
Pesaran, M. Hashem
54
Diebold, Francis X.
53
Pierdzioch, Christian
53
Koopman, Siem Jan
52
Bollerslev, Tim
48
Clark, Todd E.
47
Timmermann, Allan
46
Hendry, David F.
44
Dijk, Dick van
42
Clements, Michael P.
41
Zhang, Yaojie
41
Athanasopoulos, George
40
Kapetanios, George
40
Wang, Yudong
39
Medeiros, Marcelo C.
36
Caporin, Massimiliano
35
Huber, Florian
35
Ghysels, Eric
34
McMillan, David G.
34
Liang, Chao
33
Lux, Thomas
32
Bouri, Elie
31
Rossi, Barbara
31
Schorfheide, Frank
31
Dijk, Herman K. van
30
Wei, Yu
30
Christoffersen, Peter F.
29
Clements, Adam
29
Engle, Robert F.
28
Korobilis, Dimitris
28
Kunst, Robert M.
28
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Christian-Albrechts-Universität zu Kiel
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Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
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Escola de Pós-Graduação em Economia <Rio de Janeiro>
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European University Institute / Department of Economics
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Federal Reserve Bank of San Francisco
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HFDF <1, 1995, Zürich>
2
Institute of Finance and Accounting <London>
2
OECD
2
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Svenska Handelshögskolan <Helsinki>
2
The Wharton Financial Institutions Center
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Zentrum für Europäische Wirtschaftsforschung
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Air Force Project Rand
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Australasian Economic Modelling Conference <1992, Cairns>
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Bayerische Hypotheken- und Wechsel-Bank
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Centre for Analytical Finance <Århus>
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Chambre de commerce et d'industrie de Paris
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
Department of Agricultural Economics, Cornell University Agricultural Experiment Station
1
Deutschland / Bundesministerium der Finanzen
1
Eric Cuvillier <Firma>
1
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International journal of forecasting
598
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368
Journal of econometrics
170
Energy economics
159
Finance research letters
139
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
109
Economic modelling
103
Applied economics
99
Working paper / Department of Econometrics and Business Statistics, Monash University
92
Discussion paper / Tinbergen Institute
89
International review of financial analysis
87
Journal of empirical finance
80
Working paper
80
Computational economics
70
Economics letters
70
International review of economics & finance : IREF
70
The North American journal of economics and finance : a journal of financial economics studies
69
Journal of banking & finance
64
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
61
Applied economics letters
57
European journal of operational research : EJOR
51
Journal of applied econometrics
51
Quantitative finance
51
CREATES research paper
49
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
44
Department of Economics working paper series
43
Applied financial economics
41
Econometric reviews
41
International Journal of Energy Economics and Policy : IJEEP
41
NBER working paper series
41
The journal of futures markets
41
Journal of risk and financial management : JRFM
40
The European journal of finance
40
Working paper series / European Central Bank
40
Risks : open access journal
39
Journal of financial econometrics : official journal of the Society for Financial Econometrics
38
CESifo working papers
37
Journal of international financial markets, institutions & money
37
NBER Working Paper
37
Econometric Institute research papers
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ECONIS (ZBW)
10,079
RePEc
1
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1
Volatility
estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
2
Volatility
measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
3
Realized
volatility
forecasting in the presence of time-varying noise
Bandi, Federico M.
;
Russell, Jeffrey R.
;
Yang, Chen
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
3
,
pp. 331-345
Persistent link: https://www.econbiz.de/10009785979
Saved in:
4
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
5
Forecasting
volatility
with the realized range in the presence of noise and non-trading
Bannouh, Karim
;
Martens, Martin
;
Dijk, Dick van
- In:
The North American journal of economics and finance : a …
26
(
2013
),
pp. 535-551
Persistent link: https://www.econbiz.de/10010370495
Saved in:
6
The relationship between the
volatility
of returns and the number of
jumps
in financial markets
Cartea, Álvaro
;
Karyampas, Dimitrios
- In:
Econometric reviews
35
(
2016
)
5/7
,
pp. 929-950
Persistent link: https://www.econbiz.de/10011590735
Saved in:
7
Weighted least squares realized covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
Saved in:
8
Realized semicovariances : looking for signs of direction inside the covariance matrix
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
-
2017
-
This version: September 5, 2017
components and the mixed-sign component load differently on economic information concerning stochastic
correlation
and
jumps
. The …
Persistent link: https://www.econbiz.de/10012116691
Saved in:
9
Forecasting stock return
volatility
: realized
volatility
-type or duration-based estimators
Fei, Tianlun
;
Liu, Xiaoquan
;
Wen, Conghua
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
Saved in:
10
The contribution of jump signs and activity to forecasting stock price
volatility
Bu, Ruijun
;
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Murphy, …
- In:
Journal of empirical finance
70
(
2023
),
pp. 144-164
Persistent link: https://www.econbiz.de/10014423623
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