Similar Search Results

The economic value of volatility timing with realized jumps

Nolte, Ingmar; Xu, Qi - In: Journal of empirical finance 34 (2015), pp. 45-59

Persistent link: https://www.econbiz.de/10011556992

Volatility modeling and Value-at-Risk (VaR) forecasting of emerging stock markets in the presence of long memory, asymmetry, and skewed heavy tails

Gencer, Hatice Gaye; Demiralay, Sercan - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 639-657

Persistent link: https://www.econbiz.de/10011562539

Forecasting stock return volatility at the quarterly frequency : an evaluation of time series approaches

Reeves, Jonathan J.; Xie, Xuan - In: Applied financial economics 24 (2014) 4/6, pp. 347-356

Persistent link: https://www.econbiz.de/10010399705

Realized volatility models and alternative Value-at-Risk prediction strategies

Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - In: Economic modelling 40 (2014), pp. 101-116

Persistent link: https://www.econbiz.de/10010425716

The Black-Litterman model : the definition of views based on volatility forecasts

Duqi, Andi; Franci, Leonardo; Torluccio, Giuseppe - In: Applied financial economics 24 (2014) 19/21, pp. 1285-1296

Persistent link: https://www.econbiz.de/10010460181

Asymmetric information and volatility forecasting in commodity futures markets

Liu, Qingfu; Wong, Ieokhou; An, Yunbi; Zhang, Jinqing - In: Pacific-Basin finance journal 26 (2014), pp. 79-97

Persistent link: https://www.econbiz.de/10010498758

Bringing an elementary agent-based model to the data : estimation via GMM and an application to forecasting of asset price volatility

Ghonghadze, Jaba; Lux, Thomas - 2015

form the best linear forecasts for future volatility we find that the behavioral model generates sensible forecasts that …

Persistent link: https://www.econbiz.de/10010501932

Comparing forecast performances of stock market and macro economic volatilities in Asian markets

Tokmakcioglu, Kaya - In: International economics & finance journal : (IEFJ) 9 (2014) 1, pp. 39-57

Persistent link: https://www.econbiz.de/10010478701

Modeling autoregressive processes with moving-quantiles-implied nonlinearity

Ishida, Isao; Kvedaras, Virmantas - In: Econometrics : open access journal 3 (2015) 1, pp. 2-54

daily realized volatility data of Standard & Poor's 500 (S&P 500) and several other indices, we obtained good performance … heterogeneous autoregressive and other models of realized volatility. …

Persistent link: https://www.econbiz.de/10010478989

Extreme value statistics and recurrence intervals of NYMEX energy futures volatility

Xie, Wen-jie; Jiang, Zhi-qiang; Zhou, Wei-xing - In: Economic modelling 36 (2014), pp. 8-17

Persistent link: https://www.econbiz.de/10010412098

A service of the

zbw