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Search: subject:"high frequency volatility"
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Volatility
12
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high-frequency volatility modeling
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ECONIS (ZBW)
12
RePEc
4
BASE
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EconStor
1
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date (oldest first)
1
A RGARCH-CARR-SK model : a new
high-frequency
volatility
forecasting and risk measurement model based on dynamic higher moments and generalized realized measures
Liu, Junjie
;
Zhou, Qingnan
;
Chen, Zhenlong
-
2025
Persistent link: https://www.econbiz.de/10015374491
Saved in:
2
Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network
Gong, Xiao-Li
;
Liu, Jian-Min
;
Xiong, Xiong
;
Zhang, Wei
- In:
International review of financial analysis
84
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013472743
Saved in:
3
Bayesian estimation for
high-frequency
volatility
models in a time deformed framework
Santos, Antonio A. F.
- In:
Computational economics
57
(
2021
)
2
,
pp. 455-479
Persistent link: https://www.econbiz.de/10012486920
Saved in:
4
The uncertainty in extreme risk forecasts from covariate-augmented volatility models
Hoga, Yannick
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 675-686
Persistent link: https://www.econbiz.de/10012792861
Saved in:
5
Private information from extreme price movements (empirical evidences from Southeast Asia countries)
Arief, Usman
;
Husodo, Zaäfri Ananto
- In:
Recent developments in Asian economics : international …
,
(pp. 221-242)
.
2021
Persistent link: https://www.econbiz.de/10012804498
Saved in:
6
On the use of high frequency measures of volatility in MIDAS regressions
Andreou, Elena
-
2016
Persistent link: https://www.econbiz.de/10011548192
Saved in:
7
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
8
Forecasting the volatility of crude oil futures using high-frequency data : further evidence
Ma, Feng
;
Wei, Yu
;
Chen, Wang
;
He, Feng
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
2
,
pp. 653-678
Persistent link: https://www.econbiz.de/10011949867
Saved in:
9
Evaluating volatility forecasts with ultra-high-frequency data : evidence from the Australian equity market
Zhang, Kai
;
De Mello, Lurion
;
Sadeghi, Mehdi
- In:
Theoretical economics letters
8
(
2018
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011842038
Saved in:
10
On the use of high frequency measures of volatility in MIDAS regressions
Andreou, Elena
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 367-389
Persistent link: https://www.econbiz.de/10011704955
Saved in:
1
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