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A nonparametric approach to forecasting realized volatility
Clements, Adam; Becker, Ralf - 2009
Persistent link: https://www.econbiz.de/10003880632
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Forecast performance of implied volatility and the impact of the volatility risk premium
Becker, Ralf; Clements, Adam; Coleman-Fenn, Christopher - 2009
Persistent link: https://www.econbiz.de/10003880636
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Testing for nonlinearity in mean in the presence of heteroskedasticity
Becker, Ralf; Hurn, Stan - In: Economic analysis and policy 39 (2009) 2, pp. 311-326
Persistent link: https://www.econbiz.de/10003900320
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A kernel technique for forecasting the variance-covariance matrix
Becker, Ralf; Clements, Adam; O'Neill, Robert - 2010
Persistent link: https://www.econbiz.de/10008668667
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Volatility and the role of order book structure
Becker, Ralf; Clements, Adam - 2010
Persistent link: https://www.econbiz.de/10008668670
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A Cholesky-MIDAS model for predicting stock portfolio volatility
Becker, Ralf; Clements, Adam; O'Neill, Robert - 2010
Persistent link: https://www.econbiz.de/10008668675
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A cholesky-MIDAS model for predicting stock portfolio volatility
Becker, Ralf; Clements, Adam; O'Neill, Robert - 2010
Persistent link: https://www.econbiz.de/10008648672
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Modelling spikes in electricity prices
Becker, Ralf; Hurn, Stan; Pavlov, Vlad - In: The economic record : er 83 (2007), pp. 371-382
Persistent link: https://www.econbiz.de/10003607968
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Does implied volatility provide any information beyond that captured in model-based volatility forecasts?
Becker, Ralf; Clements, Adam; White, Scott I. - In: Journal of banking & finance 31 (2007) 8, pp. 2535-2549
Persistent link: https://www.econbiz.de/10003522977
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Selecting forecasting models for portfolio allocation
Clements, Adam; Doolan, Mark; Hurn, Stan; Becker, Ralf - 2012
Persistent link: https://www.econbiz.de/10009575265