Search Results - subject:"volatility forecasting."

Andersen, Torben G.; Bondarenko, Oleg - In: Journal of Financial Markets 17 (2014) C, pp. 1-46

The Volume-Synchronized Probability of Informed trading (VPIN) metric is introduced by Easley, López de Prado, and O'Hara (2011a) as a real-time indicator of order flow toxicity. They find the measure useful in monitoring order flow imbalances and conclude it may help signal impending market...

Persistent link: https://www.econbiz.de/10011047543

Asymmetric Information and Volatility Forecasting in Commodity Futures Markets

Liu, Qingfu; Wong, Ieokhou; An, Yunbi; Zhang, Jinqing - In: Pacific-Basin Finance Journal 26 (2014) C, pp. 79-97

of THSV models in volatility forecasting, the values-at-risk (VaRs) for both long and short positions in these futures …

Persistent link: https://www.econbiz.de/10010753126

The importance of the volatility risk premium for volatility forecasting

Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 40 (2014), pp. 303-320

Persistent link: https://www.econbiz.de/10010402181

Modeling and forecasting realized volatilities of Korean financial assets featuring long memory and asymmetry

Park, Soyoung; Shin, Dong-wan - In: Asia-Pacific journal of financial studies 43 (2014) 1, pp. 31-58

Persistent link: https://www.econbiz.de/10010348459

The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range

Todorova, Neda; Souček, Michael - In: Economic modelling 36 (2014), pp. 332-340

Persistent link: https://www.econbiz.de/10010415483

Volatility forecasting performance of two-scale realized volatility

Garg, S.; Vipul - In: Applied financial economics 24 (2014) 16/18, pp. 1111-1121

Persistent link: https://www.econbiz.de/10010418949

Volatility forecasting via MIDAS, HAR and their combination : an empirical comparative study for IBOVESPA

Santos, Douglas Gomes dos; Ziegelmann, Flávio A. - In: Journal of forecasting 33 (2014) 4, pp. 284-299

Persistent link: https://www.econbiz.de/10010425741

Forecasting the volatility of crude oil futures using intraday data

Sévi, Benoît - In: European journal of operational research : EJOR 235 (2014) 3, pp. 643-659

Persistent link: https://www.econbiz.de/10010341244

Forecasting volatility of the US oil market

Haugom, Erik; Langeland, Henrik; Molnár, Peter; … - In: Journal of banking & finance 47 (2014), pp. 1-14

Persistent link: https://www.econbiz.de/10010506517

The forecasting accuracy of implied volatility from ECX carbon options

Viteva, Svetlana; Veld- Merkoulova, Yulia; Campbell, Kevin - In: Energy economics 45 (2014), pp. 475-484

Persistent link: https://www.econbiz.de/10010506560

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