Search Results - subject:"volatility forecasting."

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

Varneskov, Rasmus Tangsgaard; Voev, Valeri - In: Journal of empirical finance 20 (2013), pp. 83-95

Persistent link: https://www.econbiz.de/10009717873

Modeling persistence and long memory under the impact of regime shifts in the PIGS stock market

Kumar, Dilip; Maheswaran, S. - In: Decision 40 (2013) 1/2, pp. 117-134

Persistent link: https://www.econbiz.de/10010381136

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

Persistent link: https://www.econbiz.de/10010128339

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), pp. 21-33

Persistent link: https://www.econbiz.de/10009736952

Small-sample properties of estimators in an ARCH(1) and GARCH(1,1) model with a generalized error distribution: A robustness study

Pauly, Ralf; Kosater, Peter - 2005

GARCH Models have become a workhouse in volatility forecasting of financial and monetary market time series. In this … article, we assess the small sample properties in estimation and the performance in volatility forecasting of four competing … methods can be an asset in volatility forecasting, since model parameters are subject to structural change over time and the …

Persistent link: https://www.econbiz.de/10010289317

The implied-realized volatility relation with jumps in underlying asset prices

Christensen, Bent Jesper; Nielsen, Morten Ørregaard - 2005

Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for this allows improved forecasting of future...

Persistent link: https://www.econbiz.de/10010290416

What is the most appropriate model for generating scenarios for daily foreign exchange rates?

Parker, John C. - Volkswirtschaftliche Fakultät, … - 2005

This paper investigates the most appropriate model for generating scenarios for daily foreign exchange rates for a long history of a large number of daily exchange rates and finds: returns are not normal; a mean reversion model is rarely appropriate; sampling from historical returns (natural log...

Persistent link: https://www.econbiz.de/10011108423

The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices

Christensen, Bent Jesper; Nielsen, Morten Ørregaard - Economics Department, Queen's University - 2005

Persistent link: https://www.econbiz.de/10005688501

Small-sample Properties of Estimators in an ARCH(1) and GARCH(1,1) Model with a Generalized Error Distribution: a Robustness Study

Pauly, Ralf; Kosater, Peter - Institut für Empirische Wirtschaftsforschung, … - 2005

Persistent link: https://www.econbiz.de/10008739196

Forecasting volatility of fuel oil futures in China: GARCH-type, SV or realized volatility models?

Wei, Yu - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 22, pp. 5546-5556

-frequency data to compare the performance of three typical volatility models in the daily out-of-sample volatility forecasting of … volatility forecasting models. …

Persistent link: https://www.econbiz.de/10011062524