Search Results - subject:"volatility forecasting."

Realized semicovariances : empirical applications to volatility forecasting and portfolio optimization

Ricco, Rafael; Ziegelmann, Flávio A. - In: Revista Brasileira de Finanças : RBFin 21 (2023) 3, pp. 99-122

Persistent link: https://www.econbiz.de/10014442583

Forecasting VIX : the illusion of forecast evaluation criteria

Degiannakis, Stavros; Kafousaki, Eleftheria - In: Economics and Business Letters : EBL 12 (2023) 3, pp. 231-240

Persistent link: https://www.econbiz.de/10014448444

The use of implied volatility in conditional variance modeling can improve volatility forecasting and VAR and CVAR estimation

Jesús Gutiérrez, Raúl <de> - In: Economía teoría y práctica 31 (2023) 58, pp. 173-198

Persistent link: https://www.econbiz.de/10014464146

Topological tail dependence : evidence from forecasting realized volatility

Souto, Hugo Gobato - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-26

This paper proposes a novel theory, coined as Topological Tail Dependence Theory, that links the mathematical theory behind Persistent Homology (PH) and the financial stock market theory. This study also proposes a novel algorithm to measure topological stock market changes as well as the...

Persistent link: https://www.econbiz.de/10014514075

Adding dummy variables : a simple approach for improved volatility forecasting in electricity market

Gong, Xu; Lin, Boqiang - In: Journal of management science and engineering 8 (2023) 2, pp. 191-213

the fitting ability of HAR models for electricity volatility forecasting at the daily horizon, whereas structural breaks …-of-the-week effects and structural breaks can improve the performance of most other existing HAR models for volatility forecasting in the …

Persistent link: https://www.econbiz.de/10014315942