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Portfolio allocation : getting the most out of realised volatility
Clements, Adam; Silvennoinen, Annastiina - 2010 - Rev.
Persistent link: https://www.econbiz.de/10003978951
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Forecasting volatility using long memory and comovements : an application to option valuation under SFAS 123R
Jiang, George J.; Tian, Yisong Sam - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 2, pp. 503-533
Persistent link: https://www.econbiz.de/10003990715
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Roughing it up : including jump components in the measurement, modeling and forecasting of return volatility
Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2005
Persistent link: https://www.econbiz.de/10003586300
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Volatility forecasts : the role of asymmetric and long-memory dynamics and regional evidence
Evans, Twm; McMillan, David G. - In: Applied financial economics 17 (2007) 16/18, pp. 1421-1430
Persistent link: https://www.econbiz.de/10003605849
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Forecast evaluation of explanatory models of financial return variability
Sucarrat, Genaro (contributor) - 2008
; financial volatility ; explanatory modelling …
Persistent link: https://www.econbiz.de/10003694144
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The Markov-switching multifractal model of asset returns : GMM estimation and linear forecasting of volatility
Lux, Thomas - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 2, pp. 194-210
Persistent link: https://www.econbiz.de/10003675695
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Special issue on forecasting financial markets
Dunis, Christian (contributor); Kanioura, Athina (contributor) - 2006
Persistent link: https://www.econbiz.de/10003382881
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Risk and return on technology stocks and the aggregate stock market
Khatchatrian, Varoujan - 2004
Persistent link: https://www.econbiz.de/10003384712
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Modeling and forecasting stock return volatility and the term structure of interest rates
Pooter, Michiel de - 2007
Persistent link: https://www.econbiz.de/10003539428
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A comparison of the runs test for volatility forecastability and the LM test for GARCH using aggregated returns
Ulu, Yasemin - In: Econometric reviews 26 (2007) 5, pp. 557-566
Persistent link: https://www.econbiz.de/10003549312