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Volatility
449
Volatilität
449
Theorie
178
Theory
178
Forecasting model
160
Prognoseverfahren
160
Time series analysis
133
Zeitreihenanalyse
133
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42
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Bollerslev, Tim
19
Todorov, Viktor
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11
McAleer, Michael
9
Meddahi, Nour
8
Xiu, Dacheng
8
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7
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7
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7
Asai, Manabu
6
Cavaliere, Giuseppe
6
Ghysels, Eric
6
Kim, Donggyu
6
Shephard, Neil G.
6
So, Mike Ka-pui
6
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Li, Yingying
5
Maheu, John M.
5
Taylor, Robert
5
Zhou, Hao
5
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4
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4
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4
Gupta, Rangan
4
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4
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4
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4
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4
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4
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4
Renò, Roberto
4
Wang, Yudong
4
Yu, Jun
4
Zakoïan, Jean-Michel
4
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3
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Journal of forecasting
Energy economics
598
Finance research letters
492
NBER working paper series
482
Working paper / National Bureau of Economic Research, Inc.
467
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416
International review of financial analysis
398
Journal of banking & finance
375
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373
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344
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338
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338
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324
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266
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261
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258
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255
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246
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245
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244
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240
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235
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221
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198
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197
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184
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183
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172
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165
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157
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152
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ECONIS (ZBW)
449
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1
Business applications and state-level stock market realized volatility : a forecasting experiment
Bonato, Matteo
;
Cepni, Oguzhan
;
Gupta, Rangan
; …
- In:
Journal of forecasting
43
(
2024
)
2
,
pp. 456-472
Persistent link: https://www.econbiz.de/10014475351
Saved in:
2
Forecast combination puzzle in the HAR model
Clements, Adam
;
Vasnev, Andrey L
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 118-137
Persistent link: https://www.econbiz.de/10014443188
Saved in:
3
Early prediction of Ibex 35 movements
García, I. Marta Miranda
;
Segovia-Vargas, María-Jesús
; …
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1150-1166
Persistent link: https://www.econbiz.de/10014338829
Saved in:
4
Time-varying partial-directed coherence approach to forecast global energy prices with stochastic volatility model
Dhifaoui, Zouhaier
;
Jabeur, Sami Ben
;
Khalfaoui, Rabeh
; …
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 2292-2306
Persistent link: https://www.econbiz.de/10014432894
Saved in:
5
Policy uncertainty and stock market volatility revisited : the predictive role of signal quality
Salisu, Afees A.
;
Demirer, Rıza
;
Gupta, Rangan
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 2307-2321
Persistent link: https://www.econbiz.de/10014432898
Saved in:
6
Modeling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian innovations
Kiss, Tamás
;
Mazur, Stepan
;
Nguyen, Hoang
;
Österholm, Pär
- In:
Journal of forecasting
42
(
2023
)
2
,
pp. 347-368
Persistent link: https://www.econbiz.de/10014292181
Saved in:
7
Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets
Wang, Man
;
Cheng, Yihan
- In:
Journal of forecasting
41
(
2022
)
8
,
pp. 1595-1607
Persistent link: https://www.econbiz.de/10013465725
Saved in:
8
High-frequency data and stock-bond investing
Lai, Yu-Sheng
- In:
Journal of forecasting
41
(
2022
)
8
,
pp. 1623-1638
Persistent link: https://www.econbiz.de/10013465728
Saved in:
9
Forecasting volatilities of oil and gas assets : a comparison of GAS, GARCH, and EGARCH models
Xu, Yingying
;
Lien, Da-hsiang Donald
- In:
Journal of forecasting
41
(
2022
)
2
,
pp. 259-278
Persistent link: https://www.econbiz.de/10012817733
Saved in:
10
Forecasting the volatility of crude oil futures : a time-dependent weighted least squares with regularization constraint
Geng, Qianjie
;
Hao, Xianfeng
;
Wang, Yudong
- In:
Journal of forecasting
43
(
2024
)
2
,
pp. 309-325
Persistent link: https://www.econbiz.de/10014475319
Saved in:
11
Forecasting VaR and ES in emerging markets : the role of time-varying higher moments
Trung Hai Le
- In:
Journal of forecasting
43
(
2024
)
2
,
pp. 402-414
Persistent link: https://www.econbiz.de/10014475347
Saved in:
12
Forecasting volatility with investor pessimism index : exploring the predictive power of search queries
Chu, Xiaojun
;
Xu, Li
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 3-23
Persistent link: https://www.econbiz.de/10014443181
Saved in:
13
Volatility forecasting with an extended GARCH-MIDAS approach
Li, Xiongying
;
Ye, Cheng
;
Bhuiyan, Miraj Ahmed
;
Huang, …
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 24-39
Persistent link: https://www.econbiz.de/10014443182
Saved in:
14
A multivariate GARCH-jump mixture model
Li, Chenxing
;
Maheu, John M.
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
Saved in:
15
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
Saved in:
16
Time-varying unobserved heterogeneity in earnings shocks
Botosaru, Irene
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1378-1393
Persistent link: https://www.econbiz.de/10014471381
Saved in:
17
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
18
Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
19
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
20
Large volatility matrix analysis using global and national factor models
Choi, Sung Hoon
;
Kim, Donggyu
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1917-1933
Persistent link: https://www.econbiz.de/10014471436
Saved in:
21
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
22
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
23
Semiparametric estimation of latent variable asset pricing models
Dalderop, Jeroen
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014332225
Saved in:
24
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
25
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
26
A new model for forecasting VaR and ES using intraday returns aggregation
Song, Shijia
;
Li, Handong
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1039-1054
Persistent link: https://www.econbiz.de/10014338800
Saved in:
27
Dynamic forecasting for nonstationary high-frequency financial data with jumps based on series decomposition and reconstruction
Song, Yuping
;
Li, Zhenwei
;
Ma, Zhiren
;
Sun, Xiaoyu
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1055-1068
Persistent link: https://www.econbiz.de/10014338810
Saved in:
28
Does herding effect help forecast market volatility? : evidence from the Chinese stock market
Wang, Yide
;
Yu, Chao
;
Zhao, Xujie
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1275-1290
Persistent link: https://www.econbiz.de/10014338876
Saved in:
29
Cross-sectional return dispersion and stock market volatility : evidence from high-frequency data
Niu, Zibo
;
Demirer, Rıza
;
Suleman, Muhammad Tahir
; …
- In:
Journal of forecasting
42
(
2023
)
6
,
pp. 1309-1328
Persistent link: https://www.econbiz.de/10014338888
Saved in:
30
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
31
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
Saved in:
32
Forecasting global stock market volatility : the impact of volatility spillover index in spatial-temporal graph-based model
Son, Bumho
;
Lee, Yunyoung
;
Park, Seongwan
;
Lee, Jaewook
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1539-1559
Persistent link: https://www.econbiz.de/10014432719
Saved in:
33
Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun
;
Liu, Xiaoquan
;
Wen, Conghua
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
Saved in:
34
Forecasting stock volatility with a large set of predictors : a new forecast combination method
Gong, Xue
;
Zhang, Weiguo
;
Zhao, Yuan
;
Ye, Xin
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1622-1647
Persistent link: https://www.econbiz.de/10014432742
Saved in:
35
Electricity price forecasting using hybrid deep learned networks
Prakash N., Krishna
;
Singh, Jai Govind
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1750-1771
Persistent link: https://www.econbiz.de/10014432756
Saved in:
36
Forecasting realized volatility of Bitcoin : the informative role of price duration
Slim, Skander
;
Tabche, Ibrahim
;
Koubaa, Yosra
;
Osman, …
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1909-1929
Persistent link: https://www.econbiz.de/10014432802
Saved in:
37
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
38
A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej
;
Badescu, Alexandru
;
Bégin, …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 416-444
Persistent link: https://www.econbiz.de/10014339997
Saved in:
39
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
40
A simple joint model for returns, volatility and volatility of volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
Saved in:
41
Identifying latent factors based on high-frequency data
Sun, Yucheng
;
Xu, Wen
;
Zhang, Chuanhai
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 251-270
Persistent link: https://www.econbiz.de/10014341048
Saved in:
42
Volatility forecasting for stock market incorporating macroeconomic variables based on GARCH-MIDAS and deep learning models
Song, Yuping
;
Tang, Xiaolong
;
Wang, Hemin
;
Ma, Zhiren
- In:
Journal of forecasting
42
(
2023
)
1
,
pp. 51-59
Persistent link: https://www.econbiz.de/10013465760
Saved in:
43
A tug of war of forecasting the US stock market volatility : oil futures overnight versus intraday information
Ma, Feng
;
Wahab, M. I. M.
;
Chevallier, Julien
;
Li, Ziyang
- In:
Journal of forecasting
42
(
2023
)
1
,
pp. 60-75
Persistent link: https://www.econbiz.de/10013465762
Saved in:
44
Trading volume and realized volatility forecasting : evidence from the China stock market
Liu, Min
;
Choo, Wei Chong
;
Lee, Chi-Chuan
;
Lee, Chien-chiang
- In:
Journal of forecasting
42
(
2023
)
1
,
pp. 76-100
Persistent link: https://www.econbiz.de/10013465763
Saved in:
45
Real-time forecasting of the Australian macroeconomy using flexible Bayesian VARs
Hou, Chenghan
;
Nguyen, Bao
;
Zhang, Bo
- In:
Journal of forecasting
42
(
2023
)
2
,
pp. 418-451
Persistent link: https://www.econbiz.de/10014292196
Saved in:
46
Jump forecasting in foreign exchange markets : a high-frequency analysis
Uzun, Sevcan
;
Sensoy, Ahmet
;
Nguyen, Duc Khuong
- In:
Journal of forecasting
42
(
2023
)
3
,
pp. 578-624
Persistent link: https://www.econbiz.de/10014292217
Saved in:
47
Uncertainty-driven oil volatility risk premium and international stock market volatility forecasting
Fang, Tong
;
Miao, Deyu
;
Su, Zhi
;
Yin, Libo
- In:
Journal of forecasting
42
(
2023
)
4
,
pp. 872-904
Persistent link: https://www.econbiz.de/10014292840
Saved in:
48
Which factors drive Bitcoin volatility : macroeconomic, technical, or both?
Wang, Jiqian
;
Ma, Feng
;
Bouri, Elie
;
Guo, Yangli
- In:
Journal of forecasting
42
(
2023
)
4
,
pp. 970-988
Persistent link: https://www.econbiz.de/10014292892
Saved in:
49
Singular spectrum analysis for value at risk in stochastic volatility models
Arteche, Josu
;
García-Enríquez, Javier
- In:
Journal of forecasting
41
(
2022
)
1
,
pp. 3-16
Persistent link: https://www.econbiz.de/10012796265
Saved in:
50
Moving beyond Volatility Index (VIX) : HARnessing the term structure of implied volatility
Clements, Adam
;
Liao, Yin
;
Tang, Yusui
- In:
Journal of forecasting
41
(
2022
)
1
,
pp. 86-99
Persistent link: https://www.econbiz.de/10012796271
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