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DEA models incorporating uncertain future performance

Chang, Tsung-Sheng; Tone, Kaoru; Wu, Chen-Hui - In: European journal of operational research : EJOR 254 (2016) 2, pp. 532-549

Persistent link: https://www.econbiz.de/10011508965

Cross-market information transmission and stock market volatility prediction

Wang, Yide; Chen, Zan; Ji, Xiaodong - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014485465

Forecasting latent volatility through a Markov chain approximation filter

Lo, Chia Chun; Skindilias, Konstantinos; … - In: Journal of forecasting 35 (2016) 1, pp. 54-69

Persistent link: https://www.econbiz.de/10011417712

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

Modeling and forecasting return jumps using realized variation measures

Liu, Yi; Liu, Huifang; Zhang, Lei - In: Economic modelling 76 (2019), pp. 63-80

Persistent link: https://www.econbiz.de/10012198262

Volatility Speciﬁcations Versus Probability Distributions in VAR Forecasting

Novales Cinca, Alfonso - 2017

We provide evidence suggesting that the assumption on the probability distribution for return innovations is more inﬂuential for Value at Risk (VaR) performance than the conditional volatility speciﬁcation. We also show that some recently proposed asymmetric probability distributions and the...

Persistent link: https://www.econbiz.de/10012949316