Search Results - subject:"Mincer-Zarnowitz regression"

Regression-based expected shortfall backtesting

Bayer, Sebastian; Dimitriadis, Timo - 2022

Persistent link: https://www.econbiz.de/10013349110

An open innovation intraday implied volatility for pricing Australian dollar options

Le, Thi; Hoque, Ariful; Hassan, Kamrul - In: Journal of Open Innovation: Technology, Market, and … 7 (2021) 1, pp. 1-14

closing period of a trading day. The Mincer-Zarnowitz regression test evaluates the predictive power of IV to forecast the …

Persistent link: https://www.econbiz.de/10012620531

An open innovation intraday implied volatility for pricing Australian dollar options

Le, Thi; Hoque, Ariful; Hassan, Kamrul - In: Journal of open innovation : technology, market, and … 7 (2021) 1/23, pp. 1-14

closing period of a trading day. The Mincer-Zarnowitz regression test evaluates the predictive power of IV to forecast the …

Persistent link: https://www.econbiz.de/10012417927

On the statistical properties of multiplicative GARCH models

Conrad, Christian; Kleen, Onno - 2016

model. Second, we extend the results of Andersen and Bollerslev (1998) on the upper bound of the R2 in a Mincer-Zarnowitz … regression to the case of a multiplicative GARCH model, using squared returns as a proxy for the true but unobservable …

Persistent link: https://www.econbiz.de/10011688279

On the statistical properties of multiplicative GARCH models

Conrad, Christian; Kleen, Onno - 2016

Persistent link: https://www.econbiz.de/10011453119

Which parametric model for conditional skewness?

Feunou, Bruno; Jahan-Parvar, Mohammad R.; Tédongap, Roméo - In: The European journal of finance 22 (2016) 13/15, pp. 1237-1271

Persistent link: https://www.econbiz.de/10011715405

Improve volatility forecasting with realized semivariance-evidences from intra-day large data sets in Chinese

Yin, Lianqian; Liu, Bo; Du, Zhen - In: International journal of economics and finance 6 (2014) 12, pp. 64-70

Persistent link: https://www.econbiz.de/10010460882