Search Results - subject:"volatility forecasting."

Forecasting Chinese stock market volatility with economic variables

Cai, Weixian; Chen, Jian; Hong, Jimin; Jiang, Fuwei - In: Emerging markets finance & trade : a journal of the … 53 (2017) 3, pp. 521-533

Persistent link: https://www.econbiz.de/10011764301

Forecasting volatility in the Indian equity market using return and range-based models

Raju, Karthik; Rangaswamy, Saravanan - In: Applied economics 49 (2017) 49, pp. 5027-5039

Persistent link: https://www.econbiz.de/10011844848

The effect of non-trading days on volatility forecasts in equity markets

Lyócsa, Štefan; Molnár, Peter - In: Finance research letters 23 (2017), pp. 39-49

Persistent link: https://www.econbiz.de/10011808350

Forecasting oil price realized volatility using information channels from other asset classes

Degiannakis, Stavros; Filis, George - In: Journal of international money and finance 76 (2017), pp. 28-49

Persistent link: https://www.econbiz.de/10011788055

Forecasting REIT volatility with high-frequency data : a comparison of alternative methods

Zhou, Jian - In: Applied economics 49 (2017) 26, pp. 2590-2605

Persistent link: https://www.econbiz.de/10011819614

State-preference pricing and volatility indices

Liu, Zhangxin; O'Neill, Michael J. - In: Accounting and finance : journal of the Accounting … 57 (2017) 3, pp. 815-836

Persistent link: https://www.econbiz.de/10011798961

Volatility forecasting via SVR-GARCH with mixture of Gaussian kernels

Bezerra, Pedro Correia S.; Albuquerque, Pedro Henrique M. - In: Computational Management Science : CMS 14 (2017) 2, pp. 179-196

Persistent link: https://www.econbiz.de/10011710726

Predictability of return volatility across different emerging capital markets : evidence from Asia

Vidanage, Thushari N.; Carmignani, Fabrizio; Singh, Tarlok - In: South Asian journal of macroeconomics and public finance 6 (2017) 2, pp. 157-177

Persistent link: https://www.econbiz.de/10012153826

Forecasting Volatility with Copula-Based Time Series Models

Sokolinskiy, Oleg; van Dijk, Dick - 2011

This paper develops a novel approach to modeling and forecasting realized volatility (RV) measures based on copula functions. Copula-based time series models can capture relevant characteristics of volatility such as nonlinear dynamics and long-memory type behavior in a flexible yet parsimonious...

Persistent link: https://www.econbiz.de/10010326314

A Markov-switching multifractal approach to forecasting realized volatility

Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - 2011

The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by means of best linear forecasts derived via the...

Persistent link: https://www.econbiz.de/10010278826