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  • Search: subject:"volatility forecasting"
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Year of publication
Subject
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volatility forecasting 105 Volatilität 92 Prognoseverfahren 86 Volatility 84 Forecasting model 81 ARCH-Modell 59 ARCH model 54 Volatility forecasting 53 Theorie 49 Theory 45 Zeitreihenanalyse 39 Time series analysis 36 Volatility Forecasting 34 realized volatility 31 Schätzung 26 Estimation 25 Börsenkurs 24 Kapitaleinkommen 22 Capital income 21 Share price 21 GARCH 19 Prognose 19 Forecast 17 jumps 16 Realized volatility 14 high-frequency data 14 Artificial intelligence 12 HAR 12 Künstliche Intelligenz 12 Aktienmarkt 11 long memory 11 implied volatility 10 High-frequency data 9 Stock market 9 Estimation theory 8 GARCH models 8 Schätztheorie 8 options 8 Neuronale Netze 7 Value-at-Risk 7
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Online availability
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Free 214 CC license 16
Type of publication
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Book / Working Paper 138 Article 74 Other 2
Type of publication (narrower categories)
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Working Paper 59 Article in journal 50 Aufsatz in Zeitschrift 50 Graue Literatur 34 Non-commercial literature 34 Arbeitspapier 33 Article 11 Aufsatzsammlung 1 Hochschulschrift 1 Thesis 1
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Language
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English 158 Undetermined 49 Italian 3 German 2 Hungarian 1 Spanish 1
Author
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Andersen, Torben G. 9 Bollerslev, Tim 8 Lux, Thomas 8 Christensen, Bent Jesper 7 Nielsen, Morten Ørregaard 7 Dijk, Dick van 6 Gallo, Giampiero M. 6 Busch, Thomas 5 Corsi, Fulvio 5 Degiannakis, Stavros 5 Gupta, Rangan 5 Irwin, Scott H. 5 Patton, Andrew J. 5 Pirino, Davide 5 Alessi, Lucia 4 Barigozzi, Matteo 4 Bondarenko, Oleg 4 Capasso, Marco 4 Clements, Adam 4 Diebold, Francis X. 4 Engle, Robert F. 4 Martens, Martin 4 McAleer, Michael 4 Muzzioli, Silvia 4 Sokolinskiy, Oleg 4 Voev, Valeri 4 Audrino, Francesco 3 Becker, Janis 3 Becker, Ralf 3 Benschopa, Thijs 3 Brittain, Lee 3 Chevallier, Julien 3 Garcia, Philip 3 Ghonghadze, Jaba 3 Kafousaki, Eleftheria 3 Leschinski, Christian 3 Medeiros, Marcelo C. 3 Morales-Arias, Leonardo 3 O'Neill, Robert 3 Parrák, Radovan 3
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Institution
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School of Economics and Management, University of Aarhus 12 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 5 Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia 4 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, University of Peloponnese 2 HAL 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 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 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 Dipartimento di Economia, Università degli Studi di Perugia 1 Dipartimento di Scienze Economiche "Marco Fanno", Università degli Studi di Padova 1 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 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 Hong Kong Monetary Authority 1 Institut de Préparation à l'Administration et à la Gestion (IPAG) 1 Institut ekonomických studií, Univerzita Karlova v Praze 1 Institut für Empirische Wirtschaftsforschung, Fachbereich Wirtschaftswissenschaften 1 Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel 1 Magyar Nemzeti Bank (MNB) 1 National Centre for Econometric Research (NCER) 1 University of Cyprus Department of Economics 1 University of Stellenbosch. Faculty of Economic and Management Sciences. Graduate School of Business. 1
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Published in...
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CREATES Research Papers 12 Econometrics : open access journal 5 MPRA Paper 5 Department of Economics working paper series 4 Econometrics 4 Econometrics Working Papers Archive 4 Journal for Economic Forecasting 4 Revista Brasileira de Finanças : RBFin 4 SFB 649 Discussion Paper 4 SFB 649 Discussion Papers 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 Economics Bulletin 3 Financial innovation : FIN 3 Journal of Risk and Financial Management 3 Journal of risk and financial management : JRFM 3 Kiel Working Paper 3 Queen's Economics Department Working Paper 3 SFB 649 discussion paper 3 Working Papers / Economics Department, Queen's University 3 CFS Working Paper Series 2 Cogent economics & finance 2 Discussion paper / Tinbergen Institute 2 Economics and Business Letters : EBL 2 FinMaP-Working Paper 2 Finmap working paper 2 Global COE Hi-Stat Discussion Paper Series 2 IES Working Paper 2 IES working paper 2 Journal of Forecasting 2 Journal of international financial markets, institutions & money 2 Journal of management science and engineering 2 LEM Papers Series 2 LEM Working Paper Series 2 Post-Print / HAL 2 Quantitative finance 2 Research paper series / Swiss Finance Institute 2 SSE/EFI Working Paper Series in Economics and Finance 2 Staff working papers / Bank of England 2
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Source
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RePEc 89 ECONIS (ZBW) 84 EconStor 37 BASE 4
Showing 1 - 10 of 214
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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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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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Exploiting news analytics for volatility forecasting
Tranberg Bodilsen, Simon; Lunde, Asger - 2025
Persistent link: https://www.econbiz.de/10015372704
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Historical perspectives in volatility forecasting methods with machine learning
Qiu, Zhiang; Kownatzki, Clemens; Scalzo, Fabien; Cha, … - In: Risks : open access journal 13 (2025) 5, pp. 1-24
Volatility forecasting for financial institutions plays a pivotal role across a wide range of domains, such as risk … frameworks to ensure they are holding sufficient capital during extreme market conditions. However, volatility forecasting is … volatility forecasting, a comprehensive assessment of current statistical and learning-based methods is lacking. Thus, this paper …
Persistent link: https://www.econbiz.de/10015408938
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DeepVol : volatility forecasting from high-frequency data with dilated causal convolutions
Moreno-Pino, Fernando; Zohren, Stefan - In: Quantitative finance 24 (2024) 8, pp. 1105-1127
Persistent link: https://www.econbiz.de/10015196873
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Collateral, output growth, mortgage spread volatility and subsidies in Colombia
López, Martha; Sarmiento Gómez, Eduardo - 2024
Persistent link: https://www.econbiz.de/10015145548
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Bayesian inference for long memory stochastic volatility models
Chaim, Pedro; Laurini, Márcio Poletti - In: Econometrics : open access journal 12 (2024) 4, pp. 1-28
We explore the application of integrated nested Laplace approximations for the Bayesian estimation of stochastic volatility models characterized by long memory. The logarithmic variance persistence in these models is represented by a Fractional Gaussian Noise process, which we approximate as a...
Persistent link: https://www.econbiz.de/10015272743
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Simulation-based forecasting for intraday power markets : modelling fundamental drivers for location, shape and scale of the price distribution
Hirsch, Simon; Ziel, Florian - In: The energy journal 45 (2024) 3, pp. 87-124
Persistent link: https://www.econbiz.de/10015273073
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Forecasting Ethereum's volatility : an expansive approach using HAR models and structural breaks
Chen, Ruijie - In: Cogent economics & finance 12 (2024) 1, pp. 1-17
Cryptocurrencies have become a popular investment option and the Ethereum has become a mainstream cryptocurrency because of the additional functionality that can be accomplished with the backing of the powerful Ethereum network compared to Bitcoin. The high volatility of Ethereum offers both...
Persistent link: https://www.econbiz.de/10015394270
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