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Chang, Woo-Jin; Monahan, Steven J.; Ouazad, Amine; … - In: The accounting review : a publication of the American … 96 (2021) 1, pp. 91-116

Persistent link: https://www.econbiz.de/10012439364

Volatility forecasting revisited using Markov-switching with time-varying probability transition

Wang, Jiqian; Ma, Feng; Liang, Chao; Chen, Zhonglu - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 1387-1400

Persistent link: https://www.econbiz.de/10012815077

Forecasting and trading high frequency volatility on large indices

Liu, Fei; Pantelous, Athanasios A.; Mettenheim, … - In: Quantitative finance 18 (2018) 5, pp. 737-748

Persistent link: https://www.econbiz.de/10011907914

A hybrid model for forecasting realized volatility based on heterogeneous autoregressive model and support vector regression

Zhuo, Yue; Morimoto, Takayuki - In: Risks : open access journal 12 (2024) 1, pp. 1-16

vector regression (SVR) model to forecast realized volatility (RV). The first model is a residual-type model, where the RV is … giving different weights to each model. In particular, four volatility models are used in RV forecasting as basic models. For …

Persistent link: https://www.econbiz.de/10014480965