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Volatility forecasting : the role of lunch-break returns, overnight returns, trading volume and leverage effects
Wang, Xunxiao; Wu, Chongfeng; Xu, Weidong - In: International journal of forecasting 31 (2015) 3, pp. 609-619
Persistent link: https://www.econbiz.de/10011474428
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The term structure of judgement : interpreting survey disagreement
Brenna, Federica; Budrys, Žymantas - 2024
Persistent link: https://www.econbiz.de/10014553879
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Understanding cryptocurrencies : editorial
Härdle, Wolfgang; Harvey, Campbell R.; Reule, Raphael C. G. - In: Journal of financial econometrics 18 (2020) 2, pp. 181-208
Persistent link: https://www.econbiz.de/10012232695
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The effects of Dollar/Sterling exchange rate volatility of futures markets for coffee and cocoa
Jumah, Adusei; Kunst, Robert M. - 1999
shown to be specific for commodity and market. A forecasting comparison on the basis of the identified models suggests that …
Persistent link: https://www.econbiz.de/10010291928
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The effects of exchange-rate exposures on equity asset markets
Jumah, Adusei; Kunst, Robert M. - 2001
in forecasting from using bivariate models remained small otherwise. …
Persistent link: https://www.econbiz.de/10010292735
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Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
Lux, Thomas; Kaizoji, Taisei - 2006
-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions …
Persistent link: https://www.econbiz.de/10010294979
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The multi-fractal model of asset returns: Its estimation via GMM and its use for volatility forecasting
Lux, Thomas - 2003
forecasting financial volatility. We use the auto-covariances of log increments of the multi-fractal process in order to estimate … ?scaling? approach. Our empirical estimates are used in out-of-sample forecasting of volatility for a number of important …
Persistent link: https://www.econbiz.de/10010295056
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The Markov-switching multi-fractal model of asset returns: GMM estimation and linear forecasting of volatility
Lux, Thomas - 2004
Bayesian forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of … leads to gains in forecasting accuracy for some time series. …
Persistent link: https://www.econbiz.de/10010295106
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Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models
Lux, Thomas; Kaizoji, Taisei - 2004
-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions …
Persistent link: https://www.econbiz.de/10010295136
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The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility
Lux, Thomas - 2006
forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of volatility … leads to gains in forecasting accuracy for some time series. …
Persistent link: https://www.econbiz.de/10010295151