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  • Search: subject:"Volatility forecasting"
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Year of publication
Subject
All
Volatilität 489 Volatility 482 Prognoseverfahren 470 Forecasting model 465 Volatility forecasting 350 ARCH-Modell 333 ARCH model 328 volatility forecasting 222 Theorie 167 Theory 163 Börsenkurs 139 Share price 136 Zeitreihenanalyse 132 Time series analysis 129 Schätzung 122 Estimation 121 Aktienmarkt 101 Stock market 99 Kapitaleinkommen 97 Capital income 96 Prognose 85 Forecast 83 Welt 75 World 75 Oil price 63 Ölpreis 63 China 55 Realized volatility 54 Commodity derivative 52 Rohstoffderivat 52 Risiko 50 Risk 50 Volatility Forecasting 47 realized volatility 47 Estimation theory 46 Schätztheorie 46 Aktienindex 45 Stock index 45 Oil market 44 Ölmarkt 44
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Online availability
All
Undetermined 387 Free 230 CC license 21
Type of publication
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Article 515 Book / Working Paper 158 Other 2
Type of publication (narrower categories)
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Article in journal 441 Aufsatz in Zeitschrift 441 Working Paper 62 Graue Literatur 36 Non-commercial literature 36 Arbeitspapier 35 Article 13 Aufsatz im Buch 5 Book section 5 Aufsatzsammlung 2 Hochschulschrift 1 Thesis 1
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Language
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English 570 Undetermined 98 Italian 3 German 2 Hungarian 1 Spanish 1
Author
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Ma, Feng 47 Zhang, Yaojie 31 Liang, Chao 16 Wang, Yudong 16 Lux, Thomas 13 Wang, Lu 13 Wei, Yu 13 Andersen, Torben G. 12 Degiannakis, Stavros 12 Wang, Jiqian 12 Bollerslev, Tim 11 Liu, Jing 11 Gupta, Rangan 10 Lu, Xinjie 10 Wahab, M. I. M. 10 Muzzioli, Silvia 9 Wu, Xinyu 9 Bondarenko, Oleg 8 Gallo, Giampiero M. 8 He, Mengxi 8 Huang, Dengshi 8 McAleer, Michael 8 Patton, Andrew J. 8 Voev, Valeri 8 Christensen, Bent Jesper 7 Kumar, Dilip 7 Molnár, Peter 7 Nielsen, Morten Ørregaard 7 Xie, Tian 7 Chen, Wang 6 Corsi, Fulvio 6 Dijk, Dick van 6 Engle, Robert F. 6 Morales-Arias, Leonardo 6 Pirino, Davide 6 Sattarhoff, Cristina 6 Wen, Danyan 6 Zeng, Qing 6 Andersen, Torben 5 Busch, Thomas 5
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Institution
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School of Economics and Management, University of Aarhus 12 Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia 7 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 5 Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze 4 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 4 Wydział Nauk Ekonomicznych, Uniwersytet Warszawski 4 Economics Department, Queen's University 3 Center for Financial Studies 2 Department of Economics and Finance, College of Business and Economics 2 Department of Economics, University of Peloponnese 2 HAL 2 Institut für Weltwirtschaft (IfW) 2 Institute of Economic Research, Hitotsubashi University 2 Laboratory of Economics and Management (LEM), Scuola Superiore Sant'Anna 2 Tinbergen Institute 2 Tinbergen Instituut 2 Banco de México 1 Center for Economics and Development Studies, Fakultas Ekonomi 1 Departament d'Economia i Història Econòmica, Universitat Autònoma de Barcelona 1 Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro 1 Departamento de Estadistica, Universidad Carlos III de Madrid 1 Departemen Manajemen dan Bisnis, Fakultas Ekonomi 1 Department of Agricultural and Consumer Economics, University of Illinois at Urbana-Champaign 1 Department of Econometrics and Business Statistics, Monash Business School 1 Department of Economics, Oxford University 1 Department of Economics, University of Crete 1 Department of Economics, University of Pennsylvania 1 Development and Policies Research Center (Depocen) 1 Dipartimento di Economia Politica e Statistics, Facoltà di Economia "Richard M. Goodwin" 1 Dipartimento di Economia, Università degli Studi di Perugia 1 Dipartimento di Scienze Economiche "Marco Fanno", Università degli Studi di Padova 1 EconWPA 1 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 1 Ehrvervøkonomisk Institut, Institut for Økonomi 1 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 1 Erasmus University Rotterdam, Econometric Institute 1 European Central Bank 1 Fachbereich Wirtschaftswissenschaften, Universität Konstanz 1 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1
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Published in...
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Energy economics 39 Finance research letters 39 International review of financial analysis 26 International journal of forecasting 25 Applied economics 20 Journal of forecasting 20 International review of economics & finance : IREF 19 Journal of empirical finance 13 CREATES Research Papers 12 Economic modelling 11 Quantitative finance 10 The journal of futures markets 10 Computational economics 9 International journal of finance & economics : IJFE 9 Journal of international financial markets, institutions & money 9 The North American journal of economics and finance : a journal of financial economics studies 9 Applied economics letters 7 Pacific-Basin finance journal 7 Journal of econometrics 6 Journal of financial econometrics 6 Research in international business and finance 6 Econometrics 5 Econometrics : open access journal 5 Financial innovation : FIN 5 Journal of banking & finance 5 MPRA Paper 5 Department of Economics working paper series 4 Econometrics Working Papers Archive 4 Energy Economics 4 Journal for Economic Forecasting 4 Revista Brasileira de Finanças : RBFin 4 SFB 649 Discussion Paper 4 SFB 649 Discussion Papers 4 Theoretical economics letters 4 Tinbergen Institute Discussion Papers 4 Working Papers / Wydział Nauk Ekonomicznych, Uniwersytet Warszawski 4 Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 3 China finance review international 3 Department of Economics / Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia 3 Economics Bulletin 3
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Source
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ECONIS (ZBW) 484 RePEc 147 EconStor 40 BASE 4
Showing 1 - 10 of 675
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Adaptive LASSO-MGARCH for multivariate volatility forecasting
Xu, Yongdeng; Lyu, Juyi; Lu, Wenna - 2026
This paper evaluates an Adaptive LASSO-MGARCH model for multivariate volatility forecasting, with an application to …
Persistent link: https://www.econbiz.de/10015614300
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Chaotic scaling and network turbulence in crude oil-equity systems using a Coupled Multiscale Chaos Index
Khoojine, Arash Sioofy; Xiao, Lin; Chen, Hao; Wang, Congyin - In: International Journal of Financial Studies : open … 14 (2026) 3, pp. 1-27
Financial markets often display nonlinear and turbulent dynamics during periods of stress, and crude-oil and global equity systems frequently demonstrate closely connected forms of instability. Earlier studies report multifractality, chaotic features and regime-dependent spillovers across...
Persistent link: https://www.econbiz.de/10015643357
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Adaptive LASSO-MGARCH for multivariate volatility forecasting
Xu, Yongdeng; Lyu, Juyi; Lu, Wenna - 2026
This paper evaluates an Adaptive LASSO-MGARCH model for multivariate volatility forecasting, with an application to …
Persistent link: https://www.econbiz.de/10015620030
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Enhanced cryptocurrency volatility forecasting via local linear forests
Noot, Joep; Sifat, Imtiaz - In: AI, FinTech, and the Future of Robo-Advisory : Risk …, (pp. 269-314). 2026
Persistent link: https://www.econbiz.de/10015651243
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Predicting the volatility of cryptocurrencies' returns using high-frequency data : a comparative analysis of GARCH, EGARCH, IGARCH, GJR-GARCH, LRE, and HAR models
Alsamaani, Abdulrahman; Aldhahi, Huda - In: International Journal of Financial Studies : open … 14 (2026) 4, pp. 1-36
This study provides a comprehensive evaluation of six volatility forecasting models applied to twelve dominant and less …
Persistent link: https://www.econbiz.de/10015652166
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Exploiting news analytics for volatility forecasting
Tranberg Bodilsen, Simon; Lunde, Asger - In: Journal of applied econometrics 40 (2025) 1, pp. 18-36
Persistent link: https://www.econbiz.de/10015372704
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Modeling gasoline price volatility
Kamocsai, László; Ormos, Mihály - In: Finance research letters 73 (2025), pp. 1-9
Persistent link: https://www.econbiz.de/10015210877
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Predicting cryptocurrency volatility : the power of model clustering
Qiu, Yue; Qu, Shaoguang; Shi, Zhentao; Xie, Tian - In: Economic modelling 144 (2025), pp. 1-15
Persistent link: https://www.econbiz.de/10015195169
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Disaggregating VIX
Degiannakis, Stavros; Kafousaki, Eleftheria - 2025
Persistent link: https://www.econbiz.de/10015197246
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A new star is born : does the VIX1D render common volatility forecasting models for the US equity market obsolete?
Albers, Stefan - In: The journal of futures markets 45 (2025) 11, pp. 2092-2108
Persistent link: https://www.econbiz.de/10015465751
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