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A MIDAS approach to modeling first and second moment dynamics

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of econometrics 193 (2016) 2, pp. 315-334

Persistent link: https://www.econbiz.de/10011704952

A hybrid model for forecasting realized volatility based on heterogeneous autoregressive model and support vector regression

Zhuo, Yue; Morimoto, Takayuki - In: Risks : open access journal 12 (2024) 1, pp. 1-16

vector regression (SVR) model to forecast realized volatility (RV). The first model is a residual-type model, where the RV is …

Persistent link: https://www.econbiz.de/10014480965

Can CBOE gold and silver implied volatility help to forecast gold futures volatility in China? : evidence based on HAR and Ridge regression models

Wei, Yu; Liang, Chao; Li, Yan; Zhang, Xunhui; Wei, Guiwu - In: Finance research letters 35 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012438364

"Déjà vol" revisited : survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios

Conrad, Christian; Glas, Alexander - 2018

We investigate the question of whether macroeconomic variables contain information about future stock volatility beyond that contained in past volatility. We show that forecasts of GDP growth from the Federal Reserve's Survey of Professional Forecasters predict volatility in a cross-section of...

Persistent link: https://www.econbiz.de/10011914124

On the economic significance of stock return predictability

Cederburg, Scott; Johnson, Travis L.; O'Doherty, Michael - In: Review of finance : journal of the European Finance … 27 (2023) 2, pp. 619-657

Persistent link: https://www.econbiz.de/10014317955

Forecasting the conditional distribution of realized volatility of oil price returns : the role of skewness over 1859 to 2023

Gupta, Rangan; Ji, Qiang; Pierdzioch, Christian; … - 2023

Persistent link: https://www.econbiz.de/10014304985

Extended switiching regression models with time-varying probabilities for combining forecasts

Preminger, Arie; Ben-Zion, Uri; Wettstein, David - In: The European journal of finance 12 (2006) 6/7, pp. 455-472

Persistent link: https://www.econbiz.de/10003382811

Volatility forecasting of exchange rate by quantile regression

Huang, Alex; Peng, Sheng-pen; Li, Fangjhy; Ke, Ching-jie - In: International review of economics & finance : IREF 20 (2011) 4, pp. 591-606

Persistent link: https://www.econbiz.de/10009303959

Volatility forecasting using support vector regression and a hybrid genetic algorithm

Santamaría-Bonfil, Guillermo; Frausto-Solís, Juan; … - In: Computational economics 45 (2015) 1, pp. 111-133

Persistent link: https://www.econbiz.de/10010511334

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

forecast evaluation framework as a simple alternative to other approaches. In simulation experiments and an empirical …

Persistent link: https://www.econbiz.de/10011431370

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