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The contribution of jump signs and activity to forecasting stock price volatility

Hizmeri, Rodrigo; Izzeldin, Marwan; Murphy, Anthony; … - 2019

We document the forecasting gains achieved by incorporating measures of signed, finite and infinite jumps in forecasting the volatility of equity prices, using high-frequency data from 2000 to 2016. We consider the SPY and 20 stocks that vary by sector, volume and degree of jump activity. We use...

Persistent link: https://www.econbiz.de/10012030057

Dynamics of financial returns densities : a functional approach applied to the Bovespa intraday index

Horta, Eduardo; Ziegelmann, Flávio A. - In: International journal of forecasting 34 (2018) 1, pp. 75-88

Persistent link: https://www.econbiz.de/10012030843

Mixture periodic GARCH models : theory and applications

Hamdi, Fayçal; Souam, Saïd - In: Empirical economics : a journal of the Institute for … 55 (2018) 4, pp. 1925-1956

Persistent link: https://www.econbiz.de/10011950345

Permanent shocks and forecasting with moving averages

Lee, Yoonsuk; Brorsen, B. Wade - In: Applied economics 49 (2017) 12, pp. 1213-1225

Persistent link: https://www.econbiz.de/10011811267

Combining long memory and level shifts in modelling and forecasting the volatility of asset returns

Varneskov, Rasmus Tangsgaard; Perron, Pierre - In: Quantitative finance 18 (2018) 3, pp. 371-393

Persistent link: https://www.econbiz.de/10011906384

Electricity consumption forecasting in Thailand using hybrid model SARIMA and Gaussian process with combine Kernel Function technique

Poonpong Suksawang; Sukonthip Suphachan; Kanokkarn Kaewnuch - In: International Journal of Energy Economics and Policy : IJEEP 8 (2018) 4, pp. 98-109

Persistent link: https://www.econbiz.de/10011881420

Efficient modelling and forecasting with range based volatility models and its application

Kok Haur Ng; Peiris, Shelton; Chan, Jennifer So-kuen; … - In: The North American journal of economics and finance : a … 42 (2017), pp. 448-460

Persistent link: https://www.econbiz.de/10011938162

Composite likelihood methods for large Bayesian VARs with stochastic volatility

Chan, Joshua; Eisenstat, Eric; Hou, Chenghan; Koop, Gary - 2018

Persistent link: https://www.econbiz.de/10012202274

Stochastic volatility models with ARMA innovations : an application to G7 inflation forecasts

Zhang, Bo; Chan, Joshua; Cross, Jamie L. - 2018

Persistent link: https://www.econbiz.de/10012202537

A bootstrap stationarity test for predictive regression invalidity

Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen James - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 528-541

Persistent link: https://www.econbiz.de/10012178194