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Realising the future: forecasting with high frequency based volatility (HEAVY) models

Shephard, Neil G.; Sheppard, Kevin - 2009

Persistent link: https://www.econbiz.de/10003875073

Realising the future: forecasting with high frequency based volatility (HEAVY) models

Shephard, Neil G.; Sheppard, Kevin - 2009

Persistent link: https://www.econbiz.de/10003875108

Realized volatility

Meddahi, Nour; Mykland, Per A.; Shephard, Neil G. - In: Journal of econometrics 160 (2011) 1, pp. 1

Persistent link: https://www.econbiz.de/10009242567

Realized volatility : [most of the papers ... were presented at the CIRANO/CIREQ Conference on "Realized volatility", April 2006]

Meddahi, Nour (contributor); Mykland, Per A. (contributor); … - 2010

Persistent link: https://www.econbiz.de/10009244600

Multivariate rotated ARCH models

Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - In: Journal of econometrics 179 (2014) 1, pp. 16-30

Persistent link: https://www.econbiz.de/10010258286

Estimation of an asymmetric stochastic volatility model for asset returns

Harvey, Andrew C. - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 4, pp. 429-434

Persistent link: https://www.econbiz.de/10001209347

Volatility Scaling's Impact on the Sharpe Ratio

Hoyle, Edward - 2018

We study the econometric properties of dynamic risk parity, which volatility scales to equalise risk through time using the precision process, the inverse of the time-varying volatility. A particular focus is on the impact of the Sharpe ratio. We give necessary and suffcient conditions that...

Persistent link: https://www.econbiz.de/10012908418

Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice

Lunde, Asger; Shephard, Neil G.; Sheppard, Kevin - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 504-518

Persistent link: https://www.econbiz.de/10011692391

Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading

Shephard, Neil G.; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 1, pp. 19-42

Persistent link: https://www.econbiz.de/10011917413

Answering the critics : yes, arch models do provide good volatility forecasts

Andersen, Torben; Bollerslev, Tim - 1997

Persistent link: https://www.econbiz.de/10000627888