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Stock market volatility forecasting : do we need high-frequency data?

Lyócsa, Štefan; Molnár, Peter; Výrost, Tomáš - In: International journal of forecasting 37 (2021) 3, pp. 1092-1110

Persistent link: https://www.econbiz.de/10012794812

Central bank announcements and realized volatility of stock markets in G7 countries

Lyócsa, Štefan; Molnár, Peter; Plíhal, Tomáš - In: Journal of international financial markets, … 58 (2019), pp. 117-135

Persistent link: https://www.econbiz.de/10012127844

The effect of non-trading days on volatility forecasts in equity markets

Lyócsa, Štefan; Molnár, Peter - In: Finance research letters 23 (2017), pp. 39-49

Persistent link: https://www.econbiz.de/10011808350

Asymmetric volatility in equity markets around the world

Horpestad, Jone B.; Lyócsa, Štefan; Molnár, Peter; … - In: The North American journal of economics and finance : a … 48 (2019), pp. 540-554

Persistent link: https://www.econbiz.de/10012120304

Modeling realized volatility of the EUR/USD exchange rate : does implied volatility really matter?

Plíhal, Tomáš; Lyócsa, Štefan - In: International review of economics & finance : IREF 71 (2021), pp. 811-829

Persistent link: https://www.econbiz.de/10012630769

Trading and non-trading period realized market volatility : does it matter for forecasting the volatility of US stocks?

Lyócsa, Štefan; Todorova, Neda - In: International journal of forecasting 36 (2020) 2, pp. 628-645

Persistent link: https://www.econbiz.de/10012415313

What drives U.S. financial sector volatility? : A Bayesian model averaging perspective

Gernát, Peter; Košťálová, Zuzana; Lyócsa, Štefan - In: Research in international business and finance 51 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012208218

A comparison of implied and realized volatility in the Nordic power forward market

Birkelund, Ole Henrik; Haugom, Erik; Molnár, Peter; … - In: Energy economics 48 (2015), pp. 288-294

Persistent link: https://www.econbiz.de/10011533819

Forecasting volatility of the US oil market

Haugom, Erik; Langeland, Henrik; Molnár, Peter; … - In: Journal of banking & finance 47 (2014), pp. 1-14

Persistent link: https://www.econbiz.de/10010506517

Forecasting volatility of the U.S. oil market

Haugom, Erik; Langeland, Henrik; Molnár, Peter; … - In: Journal of Banking & Finance 47 (2014) C, pp. 1-14

We examine the information content of the CBOE Crude Oil Volatility Index (OVX) when forecasting realized volatility in the WTI futures market. Additionally, we study whether other market variables, such as volume, open interest, daily returns, bid-ask spread and the slope of the futures curve,...

Persistent link: https://www.econbiz.de/10011065575