Search Results - subject:"volatility forecasting."

The Optimal Corridor for Implied Volatility: from Calm to Turmoil Periods

Muzzioli, Silvia - Dipartimento di Economia "Marco Biagi", Università … - 2013

two barriers. Empirical evidence on volatility forecasting, in various markets, points to the utility of trimming the risk … prices to use for volatility forecasting in the Italian market, by analysing a data set which covers the years 2005-2010 and …

Persistent link: https://www.econbiz.de/10010738415

A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors

Atak, Alev; Kapetanios, George - In: Economics Letters 120 (2013) 2, pp. 224-228

There is a growing literature on the realized volatility (RV) forecasting of asset returns using high-frequency data. We explore the possibility of forecasting RV with factor analysis; once considering the significant jumps. A real high-frequency financial data application suggests that the...

Persistent link: https://www.econbiz.de/10010678826

Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence

Degiannakis, Stavros; Floros, Christos; Dent, Pamela - In: International Review of Financial Analysis 27 (2013) C, pp. 21-33

The present study compares the performance of the long memory FIGARCH model, with that of the short memory GARCH specification, in the forecasting of multi-period value-at-risk (VaR) and expected shortfall (ES) across 20 stock indices worldwide. The dataset is composed of daily data covering the...

Persistent link: https://www.econbiz.de/10010636498

Forecasting volatility in the Chinese stock market under model uncertainty

Li, Yong; Huang, Wei-Ping; Zhang, Jie - In: Economic Modelling 35 (2013) C, pp. 231-234

Volatility forecasting is an important issue in empirical finance. In this paper, the main purpose is to apply the … model averaging techniques to reduce volatility model uncertainty and improve volatility forecasting. Six GARCH-type models …

Persistent link: https://www.econbiz.de/10010719420

The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts

Varneskov, Rasmus; Voev, Valeri - In: Journal of Empirical Finance 20 (2013) C, pp. 83-95

Recently, consistent measures of the ex-post covariation of financial assets based on noisy high-frequency data have been proposed. A related strand of literature focuses on dynamic models and covariance forecasting for high-frequency data based covariance measures. The aim of this paper is to...

Persistent link: https://www.econbiz.de/10010608120

Forecasting volatility in the Chinese stock market under model uncertainty

Li, Yong; Huang, Wei-ping; Zhang, Jie - In: Economic modelling 35 (2013), pp. 231-234

Persistent link: https://www.econbiz.de/10010259459

A comparative assessment of different fuzzy regression methods for volatility forecasting

Muzzioli, Silvia; De Beats, B. - In: Fuzzy optimization and decision making : a journal of … 12 (2013) 4, pp. 433-450

Persistent link: https://www.econbiz.de/10010232663

Forecasting holding periods for Leveraged ETFs using decay thresholds : theory and applications

Trainor, William J.; Carroll, Mark G. - In: Inventi impact: microfinance & banking (2013) 3, pp. 179-190

Persistent link: https://www.econbiz.de/10010193177

Realized volatility forecasting in the presence of time-varying noise

Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 3, pp. 331-345

Persistent link: https://www.econbiz.de/10009785979

Forecasting hedge fund volatility : a Markov regime-switching approach

Blazsek, Szabolcs; Downarowicz, Anna - In: The European journal of finance 19 (2013) 3/4, pp. 243-275

Persistent link: https://www.econbiz.de/10010243653