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Range-based volatility estimation and forecasting

Benčík, Daniel - 2014

prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …

Persistent link: https://www.econbiz.de/10010461231

Predictable dynamics in the implied volatility surface based on weighted least squares : evidence from soybean meal futures options in China

Sui, Cong; Lung, Peter P.; Yang, Mo - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 11, pp. 2625-2638

Persistent link: https://www.econbiz.de/10012262896

Volatility forecasting and time-varying variance risk premiums in grains commodity markets

Triantafyllou, Athanasios; Dotsis, George; Sarris, … - In: Journal of agricultural economics 66 (2015) 2, pp. 329-357

Persistent link: https://www.econbiz.de/10011299547

Forecasting the daily dynamic hedge ratios in emerging European stock futures markets : evidence from GARCH models

Choudhry, Taufiq; Hasan, Mohammad S.; Zhang, Yuanyuan - In: International journal of banking, accounting and finance 10 (2019) 1, pp. 67-100

Persistent link: https://www.econbiz.de/10012051118

Options-based forecasts of futures prices in the presence of limit moves

Egelkraut, Thorsten Michael; García, Philip; Sherrick, … - In: Applied economics 39 (2007) 1/3, pp. 145-152

Persistent link: https://www.econbiz.de/10003427270

The role of the U.S. exchange-rate equity market volatility on agricultural exports and forecasts

Addey, Kwame Asiam; Nganje, William - In: Canadian journal of agricultural economics : CJAE 71 (2023) 1, pp. 25-47

Persistent link: https://www.econbiz.de/10014310629

Liquidity-induced dynamics in futures markets

Fagan, Stephen; Gençay, Ramazan - 2007

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …

Persistent link: https://www.econbiz.de/10011523414

Nonlinear dynamics of realized minimum-variance hedge ratios : a two-regime self-exciting threshold autoregressive approach

Lai, Yu-Sheng - In: The empirical economics letters : a monthly … 14 (2015) 9, pp. 899-905

Persistent link: https://www.econbiz.de/10011459137

Use of high-frequency data to evaluate the performance of dynamic hedging strategies

Lai, Yu-Sheng - In: The journal of futures markets 42 (2022) 1, pp. 104-124

Persistent link: https://www.econbiz.de/10012796298

Evaluating the performance of futures hedging using factors-driven realized volatility

Yu, Xing; Li, Yanyan; Gong, Xue; Zhang, Nan - In: International review of financial analysis 84 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013472972

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