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Volatility and VAR forecasting for the IBEX-35 stock-return index using FIGARCH-type processes and different evaluation criteria

Ñíguez, Trino-Manuel (contributor) - 2003 - 1. ed. [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002115963

Model-free volatility prediction

Politis, Dimitris N. - 2003

Persistent link: https://www.econbiz.de/10002118468

Volatility forecasting

Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005

Persistent link: https://www.econbiz.de/10003350800

Volatility and correlation forecasting

Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2006

Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …

Persistent link: https://www.econbiz.de/10003338446

Combination of multivariate volatility forecasts

Amendola, Alessandra; Storti, Giuseppe - 2009

volatility predictor, the results of an application to tactical asset allocation are presented. -- Multivariate GARCH ; forecast …

Persistent link: https://www.econbiz.de/10003796201

Volatility and time series econometrics : essays in honor of Robert Engle

Bollerslev, Tim (ed.); Engle, Robert F. (honouree); … - 2010 - 1. publ.

Persistent link: https://www.econbiz.de/10003861657

The factor-spline-GARCH model for high and low frequency correlations

Rangel, Jose Gonzalo; Engle, Robert F. - 2009

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

Persistent link: https://www.econbiz.de/10003821063

Modeling and forecasting the volatility of the Nikkei 225 realized volatility using the ARFIMA-GARCH model

Ishida, Isao; Watanabe, Toshiaki - 2009

Persistent link: https://www.econbiz.de/10003854412

Are RiskMetrics forecasts good enough? : evidence from 31 stock markets

McMillan, David G.; Kambouroudis, Dimos - In: International review of financial analysis 18 (2009) 3, pp. 117-124

Persistent link: https://www.econbiz.de/10003880020

On the efficacy of techniques for evaluating multivariate volatility forecasts

Clements, Adam; Doolan, Mark; Hurn, Stan; Becker, Ralf - 2009

Persistent link: https://www.econbiz.de/10003880627

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