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Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction

Amendola, Alessandra; Storti, Giuseppe - In: Journal of forecasting 34 (2015) 2, pp. 83-91

Persistent link: https://www.econbiz.de/10011305317

Conditional heteroskedasticity in the volatility of asset returns

Ding, Yashuang - 2021

Persistent link: https://www.econbiz.de/10013262866

An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns

Ojeda Cunya, Junior Alex; Rodriguez, Gabriel - In: Macroeconomics and finance in emerging market economies 9 (2016) 1/3, pp. 34-55

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Bivariate volatility modeling with high-frequency data

Matei, Marius; Rovira, Xari; Agell, Núria - In: Econometrics : open access journal 7 (2019) 3/41, pp. 1-15

We propose a methodology to include night volatility estimates in the day volatility modeling problem with high … the natural relationship between the realized measure and the conditional variance. This improves volatility modeling by … leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that …

Persistent link: https://www.econbiz.de/10012160811