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Range-based volatility estimation and forecasting
Benčík, Daniel - 2014
In this paper, we analyze new possibilities in predicting daily ranges, i.e. differences between daily high and low 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...
Persistent link: https://www.econbiz.de/10010461231
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Variational Bayes approximation of factor stochastic volatility models
Gunawan, David; Kohn, Robert; Nott, David - In: International journal of forecasting 37 (2021) 4, pp. 1355-1375
Persistent link: https://www.econbiz.de/10013274279
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Conditional variance forecasts for long-term stock returns
Mammen, Enno; Nielsen, Jens Perch; Scholz, Michael; … - In: Risks : open access journal 7 (2019) 4/113, pp. 1-22
squared return prediction errors gives an adequate approximation of the unobserved realised conditional variance for both the …
Persistent link: https://www.econbiz.de/10012127861
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Common drifting volatility in large Bayesian VARs
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 375-390
Persistent link: https://www.econbiz.de/10011691646
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Conditional variance forecasts for long-term stock returns : a preprint
Mammen, Enno; Nielsen, Jens Perch; Scholz, Michael; … - 2019
Persistent link: https://www.econbiz.de/10012138047
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Forecasting under long memory
Hassler, Uwe; Pohle, Marc-Oliver - In: Journal of financial econometrics 21 (2023) 3, pp. 742-778
Persistent link: https://www.econbiz.de/10014314818
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Asymmetric impact of COVID-19 induced uncertainty on inbound Chinese tourists in Australia: insights from nonlinear ARDL model
Ghosh, Sudeshna - In: Quantitative finance and economics 4 (2020) 2, pp. 343-364
Persistent link: https://www.econbiz.de/10012271406
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Reconsidering the import demand function of China : evidence from asymmetric cointegration
Ghosh, Sudeshna - In: International journal of economics and business … 19 (2020) 3, pp. 245-265
Persistent link: https://www.econbiz.de/10012205603
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Long memory in the volatility of China stock returns
Zhu, Shiyou; Lee, Seo-Hyeong; Hwang, Kyu Sun - In: China economic journal : the official journal of the … 2 (2009) 3, pp. 313-323
Persistent link: https://www.econbiz.de/10003991161
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Forecasting trading volume in the Chinese stock market based on the dynamic VWAP
Ye, Xunyu; Yan, Rui; Li, Handong - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 2, pp. 125-144
Persistent link: https://www.econbiz.de/10010347331