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Trade versus time series based volatility forecasts : evidence from the Austrian stock market

Lehar, Alfred; Scheicher, Martin; Strobl, Günter - In: Financial markets and portfolio management 15 (2001) 4, pp. 500-515

Persistent link: https://www.econbiz.de/10001866059

Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations

Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87

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Score driven exponentially weighted moving average and value-at-risk forecasting

Lucas, André; Zhang, Xin - 2014

dynamics adapts to the non-normal nature of financial data, which helps to robustify the volatility estimates. The new model … volatility forecasting of stock returns and exchange rates. …

Persistent link: https://www.econbiz.de/10010384110

Selecting volatility forecasting models for portfolio allocation purposes

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Correlation shrinkage : implications for risk forecasting

Menchero, Jose; Li, Peng - In: Journal of investment management : JOIM 18 (2020) 3, pp. 92-108

Persistent link: https://www.econbiz.de/10012589102

Multi-asset pair-trading strategy : a statistical learning approach

Lin, Tsai-Yu; Chen, Cathy W. S.; Syu, Fong-Yi - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10012667381

Modeling the dependence of conditional correlations on market volatility

Bauwens, Luc; Otranto, Edoardo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 254-268

Persistent link: https://www.econbiz.de/10011691329

Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models

Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 205 (2018) 2, pp. 381-401

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Volatility prediction comparison via robust volatility proxies : an empirical deviation perspective

Wang, Weichen; An, Ran; Zhu, Ziwei - In: Journal of econometrics 239 (2024) 2, pp. 1-29

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Forecasting value-at-risk with time-varying variance, skewnessn and kurtosis in an exponential weighted moving average framework

Gabrielsen, Alexandros; Zagaglia, Paolo; Kirchner, Axel; … - 2012 - This version: June 6, 2012

by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over …

Persistent link: https://www.econbiz.de/10011731521

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