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Do high-frequency measures of volatility improve forecasts of return distributions?

Maheu, John M.; McCurdy, Thomas H. - In: Journal of econometrics 160 (2011) 1, pp. 69-76

Persistent link: https://www.econbiz.de/10009242544

A Markov-switching multifractal approach to forecasting realized volatility

Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - 2011

The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism … for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by … volatility models of asset returns. An intra-day data set for five major international stock market indices is used to evaluate …

Persistent link: https://www.econbiz.de/10009314521

Intraday volatility patterns in the Taiwan stock market and the impact on volatility forecasting

Wang, Yaw-huei; Wang, Yun-Yi - In: Asia-Pacific journal of financial studies 39 (2010) 1, pp. 70-89

Persistent link: https://www.econbiz.de/10009315274

Empirical asset pricing with nonlinear risk premia

Mijatovi´c, Aleksandar; Schneider, Paul - 2009

Persistent link: https://www.econbiz.de/10009428004

Forecasting return volatility : level shifts with varying jump probability and mean reversion

Xu, Jiawen; Perron, Pierre - In: International journal of forecasting 30 (2014) 3, pp. 449-463

Persistent link: https://www.econbiz.de/10010511565

Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models

Zhou, Xiaocong; Nakajima, Jouchi; West, Mike - In: International journal of forecasting 30 (2014) 4, pp. 963-980

Persistent link: https://www.econbiz.de/10010517774

Forecasting daily return densities from intraday data : a multifractal approach

Hallam, Mark; Olmo, Jose - In: International journal of forecasting 30 (2014) 4, pp. 863-881

Persistent link: https://www.econbiz.de/10010517781

Predicting stock returns and volatility using consumption-aggregate wealth ratios : a nonlinear approach

Bekiros, Stelios; Gupta, Rangan - In: Economics letters 131 (2015), pp. 83-85

Persistent link: https://www.econbiz.de/10011422667

Comparing predictive accuracy under long memory : with an application to volatility forecasting

Kruse, Robinson; Leschinski, Christian; Will, Michael - 2016

volatility of the Standard and Poors 500 index among recent extensions of the heterogeneous autoregressive model. While we find …, improvements achieved by the inclusion of implied volatility turn out to be insignificant. …

Persistent link: https://www.econbiz.de/10011430242

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

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