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Volatility forecasting using financial statement information
Sridharan, Suhas A. - In: The accounting review : a publication of the American … 90 (2015) 5, pp. 2079-2106
Persistent link: https://www.econbiz.de/10011375882
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Volatility forecasting : intra-day versus inter-day models
Angelidis, Timotheos; Degiannakis, Stavros - In: Journal of international financial markets, … 18 (2008) 5, pp. 449-465
Persistent link: https://www.econbiz.de/10003775710
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Modelling financial time series
Taylor, Stephen - 2007 - 2. edition
Persistent link: https://www.econbiz.de/10003553502
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Forecasting volatilities in equity, bond and money markets : a market-based approach
Wang, Kent - In: Australian journal of management 35 (2010) 2, pp. 165-180
Persistent link: https://www.econbiz.de/10008656214
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Modelling financial time series with SEMIFAR-GARCH model
Feng, Yuanhua; Beran, Jan; Yu, Keming - 2007
A class of semiparametric fractional autoregressive GARCH models (SEMIFAR-GARCH), which includes deterministic trends, difference stationarity and stationarity with short-and long-range dependence, and heteroskedastic model errors, is very powerful for modelling financial time series. This paper...
Persistent link: https://www.econbiz.de/10003876744
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Can derivative information predict stock price jumps?
Kwark, Noe-Keol; Kang, Hyoung Goo; Jun, Sang-Gyung - In: The journal of applied business research 31 (2015) 3, pp. 845-860
Persistent link: https://www.econbiz.de/10011304812
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Exploring forecast error and the informational content of implied volatility in the Taiwan market
Lee, Yen-Hsien; Lin, Chi-tai; Chiang, Shu-mei - In: Asia-Pacific journal of financial studies 41 (2012) 5, pp. 590-609
Persistent link: https://www.econbiz.de/10009665556
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The value of multivariate model sophistication : an application to pricing Dow Jones Industrial Average options
Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Franceso - In: International journal of forecasting 30 (2013) 1, pp. 78-98
Persistent link: https://www.econbiz.de/10010247010
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The information content of option-based forecasts of volatility : evidence from the Italian stock market
Muzzioli, Silvia - In: The quarterly journal of finance 3 (2013) 1, pp. 13500051-135000546
Persistent link: https://www.econbiz.de/10010198265
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Volatility concepts and risk management tools
Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten - 2015
Persistent link: https://www.econbiz.de/10011547074