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Forecasting and trading high frequency volatility on large indices
Liu, Fei; Pantelous, Athanasios A.; Mettenheim, … - In: Quantitative finance 18 (2018) 5, pp. 737-748
Persistent link: https://www.econbiz.de/10011907914
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Modeling realized volatility with implied volatility for the EUR/GBP exchange rate
Rokicka, Anna; Kudła, Janusz - In: Journal of risk 23 (2021) 4, pp. 51-79
Persistent link: https://www.econbiz.de/10012593441
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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
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The predictive ability of several models of exchange rate volatility
West, Kenneth D.; Cho, Dongchul - 1994
Persistent link: https://www.econbiz.de/10000884768
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The predictive ability of several models of exchange rate volatility
West, Kenneth D.; Cho, Dongchul - 1994 - Rev
Persistent link: https://www.econbiz.de/10000892226
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The Predictive Ability of Several Models of Exchange Rate Volatility
West, Kenneth D.; Cho, Dongchul - 2021
We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and …
Persistent link: https://www.econbiz.de/10013225431
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The Predictive Ability of Several Models of Exchange Rate Volatility
West, Kenneth D. - 1994
We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and …
Persistent link: https://www.econbiz.de/10012474328
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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
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The contribution of realized covariance models to the economic value of volatility timing
Bauwens, Luc; Xu, Yongdeng - 2023
realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in …
Persistent link: https://www.econbiz.de/10014434629
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Causal flows between oil and forex markets using high-frequency data : asymmetries from good and bad volatility
Alam, Md. Samsul; Shahzad, Syed Jawad Hussain; Ferrer, … - In: Energy economics 84 (2019), pp. 1-21
Persistent link: https://www.econbiz.de/10012183298