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Forecasting oil price realized volatility using information channels from other asset classes
Degiannakis, Stavros; Filis, George - In: Journal of international money and finance 76 (2017), pp. 28-49
Persistent link: https://www.econbiz.de/10011788055
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Futures-based forecasts : how useful are they for oil price volatility forecasting?
Chatziantoniou, Ioannis; Degiannakis, Stavros; Filis, George - In: Energy economics 81 (2019), pp. 639-649
Persistent link: https://www.econbiz.de/10012172881
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Forecasting crude oil price volatility out-of-sample using news-based geopolitical risk index : what forms of nonlinearity help improve forecast accuracy the most?
Nonejad, Nima - In: Finance research letters 46 (2022) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10013341402
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What matters when developing oil price volatility forecasting frameworks?
Delis, Panagiotis; Degiannakis, Stavros; Filis, George - In: Journal of forecasting 41 (2022) 2, pp. 361-382
Persistent link: https://www.econbiz.de/10012817777
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Volatility concepts and risk management tools
Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten - 2015
Persistent link: https://www.econbiz.de/10011547074
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Volatility measures and Value-at-Risk
Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten - In: International journal of forecasting 33 (2017) 4, pp. 848-863
Persistent link: https://www.econbiz.de/10011746918
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An empirical examination of jump risk in asset pricing and volatility forecasting in China's equity and bond markets
Zhou, Haigang; Zhu, John Qi - In: Pacific-Basin finance journal 20 (2012) 5, pp. 857-880
Persistent link: https://www.econbiz.de/10009619749
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Volatility measures as predictors of extreme returns
Switzer, Lorne N.; Tahaoglu, Cagdas; Zhao, Yun Selina - In: Review of financial economics : RFE 35 (2017), pp. 1-10
Persistent link: https://www.econbiz.de/10011959385
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Revisiting the risk-return relation in the Chinese stock market : decomposition of risk premium and volatility feedback effect
Liu, Hao; Shen, Shihan; Wang, Tianyi; Huang, Zhuo - In: China economic journal : the official journal of the … 9 (2016) 2, pp. 140-153
Persistent link: https://www.econbiz.de/10011585334
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Prediction accuracy of volatility using the score-driven Meixner distribution : an application to the Dow Jones
Blazsek, Szabolcs; Licht, Adrian - In: Applied economics letters 29 (2022) 2, pp. 111-117
Persistent link: https://www.econbiz.de/10012803390