Search Results - subject:"volatility forecasting"

Modeling persistence and long memory under the impact of regime shifts in the PIGS stock market

Kumar, Dilip; Maheswaran, S. - In: Decision 40 (2013) 1/2, pp. 117-134

Persistent link: https://www.econbiz.de/10010381136

Forecasting volatility in the Chinese stock market under model uncertainty

Li, Yong; Huang, Wei-ping; Zhang, Jie - In: Economic modelling 35 (2013), pp. 231-234

Persistent link: https://www.econbiz.de/10010259459

Forecasting hedge fund volatility : a Markov regime-switching approach

Blazsek, Szabolcs; Downarowicz, Anna - In: The European journal of finance 19 (2013) 3/4, pp. 243-275

Persistent link: https://www.econbiz.de/10010243653

Realized volatility forecasting in the presence of time-varying noise

Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 3, pp. 331-345

Persistent link: https://www.econbiz.de/10009785979

Forecasting holding periods for Leveraged ETFs using decay thresholds : theory and applications

Trainor, William J.; Carroll, Mark G. - In: Inventi impact: microfinance & banking (2013) 3, pp. 179-190

Persistent link: https://www.econbiz.de/10010193177

Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility : international evidence

Degiannakis, Stavros; Floros, Christos; Dent, Pamela - In: International review of financial analysis 27 (2013), pp. 21-33

Persistent link: https://www.econbiz.de/10009736952

A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors

Atak, Alev; Kapetanios, George - In: Economics letters 120 (2013) 2, pp. 224-228

Persistent link: https://www.econbiz.de/10010128339

Small-sample properties of estimators in an ARCH(1) and GARCH(1,1) model with a generalized error distribution: A robustness study

Pauly, Ralf; Kosater, Peter - 2005

GARCH Models have become a workhouse in volatility forecasting of financial and monetary market time series. In this … article, we assess the small sample properties in estimation and the performance in volatility forecasting of four competing … methods can be an asset in volatility forecasting, since model parameters are subject to structural change over time and the …

Persistent link: https://www.econbiz.de/10010289317

The implied-realized volatility relation with jumps in underlying asset prices

Christensen, Bent Jesper; Nielsen, Morten Ørregaard - 2005

Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for this allows improved forecasting of future...

Persistent link: https://www.econbiz.de/10010290416

Small-sample Properties of Estimators in an ARCH(1) and GARCH(1,1) Model with a Generalized Error Distribution: a Robustness Study

Pauly, Ralf; Kosater, Peter - Institut für Empirische Wirtschaftsforschung, … - 2005

Persistent link: https://www.econbiz.de/10008739196