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  • Search: subject:"volatility forecasting"
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Year of publication
Subject
All
Volatilität 460 Volatility 453 Prognoseverfahren 441 Forecasting model 436 Volatility forecasting 328 ARCH-Modell 317 ARCH model 312 volatility forecasting 217 Theorie 157 Theory 153 Börsenkurs 132 Share price 129 Zeitreihenanalyse 124 Time series analysis 121 Schätzung 118 Estimation 117 Aktienmarkt 98 Stock market 96 Kapitaleinkommen 91 Capital income 90 Prognose 81 Forecast 79 Welt 73 World 73 Oil price 60 Ölpreis 60 China 54 Realized volatility 50 Commodity derivative 49 Rohstoffderivat 49 Risiko 46 Risk 46 Volatility Forecasting 45 realized volatility 45 Estimation theory 44 Oil market 44 Schätztheorie 44 Ölmarkt 44 Aktienindex 41 Stock index 41
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Online availability
All
Undetermined 369 Free 218 CC license 16
Type of publication
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Article 486 Book / Working Paper 156 Other 2
Type of publication (narrower categories)
All
Article in journal 413 Aufsatz in Zeitschrift 413 Working Paper 60 Graue Literatur 35 Non-commercial literature 35 Arbeitspapier 34 Article 13 Aufsatz im Buch 4 Book section 4 Aufsatzsammlung 2 Hochschulschrift 1 Thesis 1
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Language
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English 539 Undetermined 98 Italian 3 German 2 Hungarian 1 Spanish 1
Author
All
Ma, Feng 47 Zhang, Yaojie 30 Liang, Chao 16 Wang, Yudong 15 Lux, Thomas 13 Wang, Lu 13 Wei, Yu 13 Andersen, Torben G. 12 Wang, Jiqian 12 Bollerslev, Tim 11 Degiannakis, Stavros 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 Huang, Dengshi 8 McAleer, Michael 8 Patton, Andrew J. 8 Voev, Valeri 8 Christensen, Bent Jesper 7 He, Mengxi 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 Zeng, Qing 6 Andersen, Torben 5 Busch, Thomas 5 Clements, Adam 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 38 Finance research letters 38 International journal of forecasting 25 Journal of forecasting 20 Applied economics 19 International review of economics & finance : IREF 19 International review of financial analysis 18 Journal of empirical finance 13 CREATES Research Papers 12 Economic modelling 11 The journal of futures markets 10 International journal of finance & economics : IJFE 9 Journal of international financial markets, institutions & money 9 Quantitative finance 9 The North American journal of economics and finance : a journal of financial economics studies 9 Pacific-Basin finance journal 7 Applied economics letters 6 Journal of econometrics 6 Journal of financial econometrics 6 Econometrics 5 Econometrics : open access journal 5 Journal of banking & finance 5 MPRA Paper 5 Research in international business and finance 5 Computational economics 4 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 Economics letters 3
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Source
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ECONIS (ZBW) 454 RePEc 147 EconStor 39 BASE 4
Showing 1 - 10 of 644
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Modelling Volatility Cycles: The MF2‐GARCH Model
Conrad, Christian; Engle, Robert F. - In: Journal of Applied Econometrics 40 (2025) 4, pp. 438-454
We propose a novel multiplicative factor multi‐frequency GARCH (MF2‐GARCH) model, which exploits the empirical fact that the daily standardized forecast errors of one‐component GARCH models are predictable by a moving average of past standardized forecast errors. In contrast to other...
Persistent link: https://www.econbiz.de/10015441356
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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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Do oil price forecast disagreement of survey of professional forecasters predict crude oil return volatility?
Hasselgren, Anton; Hou, Ai Jun; Suardi, Sandy; Xu, Caihong - In: International journal of forecasting 41 (2025) 1, pp. 141-152
Persistent link: https://www.econbiz.de/10015440286
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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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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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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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Disaggregating VIX
Degiannakis, Stavros; Kafousaki, Eleftheria - 2025
Persistent link: https://www.econbiz.de/10015197246
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Modelling volatility cycles : the MF2-GARCH model
Conrad, Christian; Engle, Robert F. - In: Journal of applied econometrics 40 (2025) 4, pp. 438-454
Persistent link: https://www.econbiz.de/10015463301
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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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Options-driven volatility forecasting
Michael, Nikolas; Cucuringu, Mihai; Howison, Sam - In: Quantitative finance 25 (2025) 3, pp. 443-470
Persistent link: https://www.econbiz.de/10015534108
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