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Three essays on volatility forecasting and forecast evaluation

Kleen, Onno - 2020

Persistent link: https://www.econbiz.de/10012436127

Portfolio analysis of intraday covariance matrix in the Greek equity market

Vortelinos, Dimitrios I. - In: Research in international business and finance 27 (2013), pp. 66-79

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Dynamic correlation between crude oil and agricultural futures markets

Chen, Zhuo; Yan, Bo; Kang, Hanwen - In: Review of development economics : an essential resource … 26 (2022) 3, pp. 1798-1849

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Return and volatility connectedness between agricultural tokens and us equity sectors

Ali, Shoaib; Yousfi, Mohamed; Chughtai, Sumayya; Min … - In: Research in international business and finance 72 (2024) 2, pp. 1-16

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NFTs, DeFi, and other assets efficiency and volatility dynamics : an asymmetric multifractality analysis

Chowdhury, Mohammad Ashraful Ferdous; Abdullah, Mohammad; … - In: International review of financial analysis 87 (2023), pp. 1-19

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Volatility as an asset class : obvious benefits and hidden risks

Jabłecki, Juliusz; Kokoszczyński, Ryszard; Sakowski, … - 2015 - 1. ed.

Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no options at all -- Volatility derivatives in portfolio optimization -- Benefits of using volatility futures in investment strategies -- Predictive properties of the volatility term...