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Time-varying NoVaS versus GARCH : point prediction, volatility estimation and prediction intervals

Chen, Jie; Politis, Dimitris N. - In: Journal of time series econometrics 12 (2020) 2, pp. 1-36

Persistent link: https://www.econbiz.de/10012300649

Is intraday data useful for forecasting VaR? : the evidence from EUR/PLN exchange rate

Będowska-Sójka, Barbara - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 4, pp. 326-346

Persistent link: https://www.econbiz.de/10011962183

Time-varying risk aversion and realized gold volatility

Demirer, Rıza; Gillas, Konstantinos Gkillas; Gupta, Rangan - In: The North American journal of economics and finance : a … 50 (2019) 101048, pp. 1-16

Persistent link: https://www.econbiz.de/10012204443

Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities

Sattarhoff, Cristina; Lux, Thomas - In: International journal of forecasting 39 (2023) 4, pp. 1678-1697

Persistent link: https://www.econbiz.de/10014465344

The contribution of realized covariance models to the economic value of volatility timing

Bauwens, Luc; Xu, Yongdeng - 2023

Persistent link: https://www.econbiz.de/10014322165

The contribution of realized covariance models to the economic value of volatility timing

Bauwens, Luc; Xu, Yongdeng - 2023

Realized covariance models specify the conditional expectation of a realized covariance matrix as a function of past realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in terms of economic value, measured through economic...

Persistent link: https://www.econbiz.de/10014434629