Search Results - subject:"volatility forecasting"

Volatility forecasting using support vector regression and a hybrid genetic algorithm

Santamaría-Bonfil, Guillermo; Frausto-Solís, Juan; … - In: Computational economics 45 (2015) 1, pp. 111-133

Persistent link: https://www.econbiz.de/10010511334

Long-memories and mean breaks in realized volatilities

Song, Hyejin; Shin, Dong-wan - In: Applied economics letters 22 (2015) 16/18, pp. 1273-1280

Persistent link: https://www.econbiz.de/10011380139

Log-volatility enhanced GARCH models for single asset returns

Skoczylas, Tomasz - In: Bank i kredyt 46 (2015) 5, pp. 411-431

Persistent link: https://www.econbiz.de/10011387038

GARCH model and predictive performance of volatility forecasting : evidence from oil market

Yazdanfar, Darush - In: World review of entrepreneurship, management and … 11 (2015) 4, pp. 345-357

Persistent link: https://www.econbiz.de/10011442352

On the estimation of extreme values for risk assessment and management : the ACER method

Dahlen, Kai Erik; Solibakke, Per Bjarte; Westgaard, Sjur; … - In: International journal of business 20 (2015) 1, pp. 33-51

Persistent link: https://www.econbiz.de/10010520743

Forecasting volatility in Indian agri-commodities market

Thiyagarajan, S.; Naresh, G.; Mahalakshmi, S. - In: Global business and finance review 20 (2015) 1, pp. 95-104

Persistent link: https://www.econbiz.de/10011434245

The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets

Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - 2008

We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables in the information set, including implied volatility backed out from option prices. Realized volatility is separated into its continuous and jump components, and the...

Persistent link: https://www.econbiz.de/10010290353

Forecasting Stock Market Volatilities Using MIDAS Regressions: An Application to the Emerging Markets

Alper, C. Emre; Fendoglu, Salih; Saltoglu, Burak - Volkswirtschaftliche Fakultät, … - 2008

We explore the relative weekly stock market volatility forecasting performance of the linear univariate MIDAS …

Persistent link: https://www.econbiz.de/10005789569

The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets

Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - Economics Department, Queen's University - 2008

Persistent link: https://www.econbiz.de/10004979472

Option based forecasts of volatility: An empirical study in the DAX index options market

Muzzioli, Silvia - Dipartimento di Economia "Marco Biagi", Università … - 2008

Option based volatility forecasts can be divided into “model dependent” forecast, such as implied volatility, that is obtained by inverting the Black and Scholes formula, and “model free” forecasts, such as model free volatility, proposed by Britten-Jones and Neuberger (2000), that do...

Persistent link: https://www.econbiz.de/10005636179