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Creating and using volatility forecasts
Kroner, Kenneth F. - 1996
Persistent link: https://www.econbiz.de/10000168062
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Long swings in exchange rates : are they really in the data
Klaassen, Franc - 1999
Persistent link: https://www.econbiz.de/10000168295
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Modelling and forecasting long memory in exchange rate volatility vs. stable and integrated GARCH models
Akgül, Işıl; Sayyan, Hülya - In: Applied financial economics 18 (2008) 4/6, pp. 463-482
Persistent link: https://www.econbiz.de/10003739179
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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
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Forecasting random walks under drift instability
Pesaran, M. Hashem; Pick, Andreas - 2008
Persistent link: https://www.econbiz.de/10003850869
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Forecasting S&P 500 volatility : long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Martens, Martin; Dijk, Dick van; Pooter, Michiel de - In: International journal of forecasting 25 (2009) 2, pp. 282-303
Persistent link: https://www.econbiz.de/10003870055
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Forecast evaluation of explanatory models of financial return variability
Sucarrat, Genaro (contributor) - 2008
discrete time models against high frequency estimates based on continuous time theory. In explanatory financial return … ; financial volatility ; explanatory modelling …
Persistent link: https://www.econbiz.de/10003694144
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The Markov-switching multifractal model of asset returns : GMM estimation and linear forecasting of volatility
Lux, Thomas - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 2, pp. 194-210
Persistent link: https://www.econbiz.de/10003675695
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Estimating and forecasting volatility of financial time series in Pakistan with GARCH-type models
Pasha, G. R.; Qasim, Tahira; Chaudhary, Mohammad Aslam - In: The Lahore journal of economics 12 (2007) 2, pp. 115-149
Persistent link: https://www.econbiz.de/10003679727