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Using conditional asymmetry to predict commodity futures prices
Dias, Fabio S. - In: International Journal of Financial Markets and … 8 (2021) 2, pp. 185-203
Persistent link: https://www.econbiz.de/10012598664
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Improving the accuracy: volatility modeling and forecasting using high-frequency data and the variational component
Kumar, Manish - In: Journal of industrial engineering and management : JIEM 3 (2010) 1, pp. 199-220
In this study, we predict the daily volatility of the S&P CNX NIFTY market index of India using the basic "heterogeneous autoregressive" (HAR) and its variant. In doing so, we estimated several HAR and Log form of HAR models using different regressor. The different regressors were obtained by...
Persistent link: https://www.econbiz.de/10011899155
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The predictive ability of several models of exchange rate volatility
West, Kenneth D.; Cho, Dongchul - 1994
Persistent link: https://www.econbiz.de/10000884768
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The predictive ability of several models of exchange rate volatility
West, Kenneth D.; Cho, Dongchul - 1994 - Rev
Persistent link: https://www.econbiz.de/10000892226
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The forecasting ability of correlations implied in foreign exchange options
Campa, José Manuel; Chang, P. H. Kevin - 1997
Persistent link: https://www.econbiz.de/10000623860
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Answering the critics : yes, arch models do provide good volatility forecasts
Andersen, Torben; Bollerslev, Tim - 1997
Persistent link: https://www.econbiz.de/10000627888
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Forecasting volatility in commodity markets
Kroner, Kenneth F.; Kneafsey, Devin P.; Claessens, Stijn - 1993
Persistent link: https://www.econbiz.de/10000143388
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Creating and using volatility forecasts
Kroner, Kenneth F. - 1996
Persistent link: https://www.econbiz.de/10000168062
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Long swings in exchange rates : are they really in the data
Klaassen, Franc - 1999
Persistent link: https://www.econbiz.de/10000168295
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Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, M. Hashem (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003641741