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Forecasting stock market volatility under parameter and model uncertainty
Li, Zhao-Chen; Chi, Xie; Wang, Gang-Jin; Zhu, You; … - In: Research in international business and finance 66 (2023), pp. 1-29
Persistent link: https://www.econbiz.de/10014463139
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Quantifying time-varying forecast uncertainty and risk for the real price of oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 523-537
Persistent link: https://www.econbiz.de/10014448307
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Realized volatility forecasting based on dynamic quantile model averaging
Cai, Zongwu; Ma, Chaoqun; Mi, Xianhua - 2020
Persistent link: https://www.econbiz.de/10012312856
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Fluctuations in global macro volatility
Leiva-Leon, Danilo; Ductor, Lorenzo - 2019
Persistent link: https://www.econbiz.de/10012116822
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Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction
Liao, Yin - 2012
Recent literature has focuses on realized volatility models to predict financial risk. This paper studies the benefit … of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized …
Persistent link: https://www.econbiz.de/10013105658
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Multiple days ahead realized volatility forecasting : single, combined and average forecasts
Degiannakis, Stavros - In: Global finance journal 36 (2018), pp. 41-61
Persistent link: https://www.econbiz.de/10012125013
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Model complexity and out-of-sample performance : evidence from S&P 500 index returns
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of economic dynamics & control 90 (2018), pp. 1-29
Persistent link: https://www.econbiz.de/10011974016
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Tail risk forecasting of realized volatility CAViaR models
Chen, Cathy W. S.; Hsu, Hsiao-Yun; Watanabe, Toshiaki - In: Finance research letters 51 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014304842
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Liquidity and realized covariance forecasting : a hybrid method with model uncertainty
Qiao, Gaoxiu; Cao, Yangli; Ma, Feng; Li, Weiping - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 437-463
Persistent link: https://www.econbiz.de/10014226295
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Long term forecasts of volatility in the market for crude oil : do futures prices offer any clues?
Brochu, Stephen M. - 2002
Persistent link: https://www.econbiz.de/10001875427