Search Results - subject:"volatility forecasting."

Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility

Ghonghadze, Jaba; Lux, Thomas - Institut für Volkswirtschaftslehre, … - 2015

We explore the issue of estimating a simple agent-based model of price formation in an asset market using the approach of Alfarano et al. (2008) as an example. Since we are able to derive various moment conditions for this model, we can apply generalized method of moments (GMM) estimation. We...

Persistent link: https://www.econbiz.de/10011246036

Bringing an elementary agent-based model to the data : estimation via GMM and an application to forecasting of asset price volatility

Ghonghadze, Jaba; Lux, Thomas - 2015

Persistent link: https://www.econbiz.de/10010501932

A global factor in variance risk premia and local bond pricing

Kaminska, Iryna; Roberts-Sklar, Matt - 2015

Persistent link: https://www.econbiz.de/10011443308

Forecasting volatility of wind power production

Shen, Zhiwei; Ritter, Matthias - 2015

weather conditions. To account for the uncertainty in predicting wind power production, this article examines the volatility … forecasting abilities of different GARCH-type models for wind power production. Moreover, due to characteristic features of the …

Persistent link: https://www.econbiz.de/10010529342

Forecasting realized variance using asymmetric HAR model with time-varying coefficients

Wu, Xinyu; Hou, Xinmeng - In: Finance research letters 30 (2019), pp. 89-95

Persistent link: https://www.econbiz.de/10012420297

Volatility forecasting : long memory, regime switching and heteroscedasticity

Ma, Feng; Lu, Xinjie; Yang, Ke; Zhang, Yaojie - In: Applied economics 51 (2019) 38, pp. 4151-4163

Persistent link: https://www.econbiz.de/10012196974

Economic policy uncertainty and the Chinese stock market volatility : new evidence

Li, Yu; Ma, Feng; Zhang, Yaojie; Zuoping, Xiao - In: Applied economics 51 (2019) 49, pp. 5398-5410

Persistent link: https://www.econbiz.de/10012197238

Forecasting realized volatility of crude oil futures with equity market uncertainty

Wen, Fenghua; Zhao, Yupei; Zhang, Minzhi; Hu, Chunyang - In: Applied economics 51 (2019) 59, pp. 6411-6427

Persistent link: https://www.econbiz.de/10012197349

Volatility forecasting of crude oil market : can the regime switching GARCH model beat the single-regime GARCH models?

Zhang, Yue-Jun; Yao, Ting; He, Ling-Yun; Ripple, Ronald D. - In: International review of economics & finance : IREF 59 (2019), pp. 302-317

Persistent link: https://www.econbiz.de/10012202881

Forecasting volatility with price limit hits : evidence from Chinese stock market

Chu, Xiaojun; Qiu, Jianying - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 5, pp. 1034-1050

Persistent link: https://www.econbiz.de/10012210669