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  • Search: subject:"volatility forecasting."
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Year of publication
Subject
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Volatilität 437 Volatility 430 Prognoseverfahren 419 Forecasting model 414 Volatility forecasting 318 ARCH-Modell 301 ARCH model 296 volatility forecasting 203 Theorie 151 Theory 147 Börsenkurs 126 Share price 123 Zeitreihenanalyse 121 Time series analysis 118 Schätzung 114 Estimation 113 Aktienmarkt 94 Stock market 92 Kapitaleinkommen 89 Capital income 88 Prognose 76 Forecast 74 Welt 69 World 69 Oil price 57 Ölpreis 57 China 52 Realized volatility 50 Commodity derivative 47 Rohstoffderivat 47 Volatility Forecasting 45 realized volatility 44 Estimation theory 42 Risiko 42 Risk 42 Schätztheorie 42 Aktienindex 40 Oil market 40 Stock index 40 Ölmarkt 40
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Online availability
All
Undetermined 350 Free 214 CC license 16
Type of publication
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Article 462 Book / Working Paper 155 Other 2
Type of publication (narrower categories)
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Article in journal 392 Aufsatz in Zeitschrift 392 Working Paper 60 Graue Literatur 35 Non-commercial literature 35 Arbeitspapier 34 Article 11 Aufsatz im Buch 3 Book section 3 Aufsatzsammlung 1 Hochschulschrift 1 Thesis 1
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Language
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English 514 Undetermined 98 Italian 3 German 2 Hungarian 1 Spanish 1
Author
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Ma, Feng 46 Zhang, Yaojie 29 Liang, Chao 16 Wang, Yudong 14 Lux, Thomas 13 Wang, Lu 13 Wei, Yu 13 Andersen, Torben G. 12 Wang, Jiqian 12 Bollerslev, Tim 11 Degiannakis, Stavros 11 Liu, Jing 11 Wahab, M. I. M. 10 Gupta, Rangan 9 Lu, Xinjie 9 Muzzioli, Silvia 9 Bondarenko, Oleg 8 Gallo, Giampiero M. 8 Huang, Dengshi 8 McAleer, Michael 8 Patton, Andrew J. 8 Voev, Valeri 8 Wu, Xinyu 8 Christensen, Bent Jesper 7 He, Mengxi 7 Kumar, Dilip 7 Molnár, Peter 7 Nielsen, Morten Ørregaard 7 Xie, Tian 7 Chen, Wang 6 Corsi, Fulvio 6 Dijk, Dick van 6 Morales-Arias, Leonardo 6 Pirino, Davide 6 Sattarhoff, Cristina 6 Zeng, Qing 6 Andersen, Torben 5 Busch, Thomas 5 Clements, Adam 5 Diebold, Francis X. 5
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Institution
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School of Economics and Management, University of Aarhus 12 Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia 7 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 5 Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze 4 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 4 Wydział Nauk Ekonomicznych, Uniwersytet Warszawski 4 Economics Department, Queen's University 3 Center for Financial Studies 2 Department of Economics and Finance, College of Business and Economics 2 Department of Economics, University of Peloponnese 2 HAL 2 Institut für Weltwirtschaft (IfW) 2 Institute of Economic Research, Hitotsubashi University 2 Laboratory of Economics and Management (LEM), Scuola Superiore Sant'Anna 2 Tinbergen Institute 2 Tinbergen Instituut 2 Banco de México 1 Center for Economics and Development Studies, Fakultas Ekonomi 1 Departament d'Economia i Història Econòmica, Universitat Autònoma de Barcelona 1 Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro 1 Departamento de Estadistica, Universidad Carlos III de Madrid 1 Departemen Manajemen dan Bisnis, Fakultas Ekonomi 1 Department of Agricultural and Consumer Economics, University of Illinois at Urbana-Champaign 1 Department of Econometrics and Business Statistics, Monash Business School 1 Department of Economics, Oxford University 1 Department of Economics, University of Crete 1 Department of Economics, University of Pennsylvania 1 Development and Policies Research Center (Depocen) 1 Dipartimento di Economia Politica e Statistics, Facoltà di Economia "Richard M. Goodwin" 1 Dipartimento di Economia, Università degli Studi di Perugia 1 Dipartimento di Scienze Economiche "Marco Fanno", Università degli Studi di Padova 1 EconWPA 1 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 1 Ehrvervøkonomisk Institut, Institut for Økonomi 1 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 1 Erasmus University Rotterdam, Econometric Institute 1 European Central Bank 1 Fachbereich Wirtschaftswissenschaften, Universität Konstanz 1 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1
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Published in...
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Energy economics 38 Finance research letters 35 International journal of forecasting 22 International review of economics & finance : IREF 19 Applied economics 18 International review of financial analysis 18 Journal of forecasting 17 CREATES Research Papers 12 Journal of empirical finance 12 Economic modelling 11 International journal of finance & economics : IJFE 9 Journal of international financial markets, institutions & money 9 The North American journal of economics and finance : a journal of financial economics studies 9 Quantitative finance 8 Pacific-Basin finance journal 7 Journal of econometrics 6 Applied economics letters 5 Econometrics 5 Econometrics : open access journal 5 Journal of banking & finance 5 Journal of financial econometrics 5 MPRA Paper 5 Research in international business and finance 5 The journal of futures markets 5 Computational economics 4 Department of Economics working paper series 4 Econometrics Working Papers Archive 4 Energy Economics 4 Journal for Economic Forecasting 4 Revista Brasileira de Finanças : RBFin 4 SFB 649 Discussion Paper 4 SFB 649 Discussion Papers 4 Theoretical economics letters 4 Tinbergen Institute Discussion Papers 4 Working Papers / Wydział Nauk Ekonomicznych, Uniwersytet Warszawski 4 Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 3 China finance review international 3 Department of Economics / Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia 3 Economics Bulletin 3 Economics letters 3
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Source
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ECONIS (ZBW) 431 RePEc 147 EconStor 37 BASE 4
Showing 1 - 10 of 619
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Predicting cryptocurrency volatility : the power of model clustering
Qiu, Yue; Qu, Shaoguang; Shi, Zhentao; Xie, Tian - In: Economic modelling 144 (2025), pp. 1-15
Persistent link: https://www.econbiz.de/10015195169
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Disaggregating VIX
Degiannakis, Stavros; Kafousaki, Eleftheria - 2025
Persistent link: https://www.econbiz.de/10015197246
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Modeling gasoline price volatility
Kamocsai, László; Ormos, Mihály - In: Finance research letters 73 (2025), pp. 1-9
Persistent link: https://www.econbiz.de/10015210877
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Exploiting news analytics for volatility forecasting
Tranberg Bodilsen, Simon; Lunde, Asger - 2025
Persistent link: https://www.econbiz.de/10015372704
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Historical perspectives in volatility forecasting methods with machine learning
Qiu, Zhiang; Kownatzki, Clemens; Scalzo, Fabien; Cha, … - In: Risks : open access journal 13 (2025) 5, pp. 1-24
Volatility forecasting for financial institutions plays a pivotal role across a wide range of domains, such as risk … frameworks to ensure they are holding sufficient capital during extreme market conditions. However, volatility forecasting is … volatility forecasting, a comprehensive assessment of current statistical and learning-based methods is lacking. Thus, this paper …
Persistent link: https://www.econbiz.de/10015408938
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DeepVol : volatility forecasting from high-frequency data with dilated causal convolutions
Moreno-Pino, Fernando; Zohren, Stefan - In: Quantitative finance 24 (2024) 8, pp. 1105-1127
Persistent link: https://www.econbiz.de/10015196873
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Collateral, output growth, mortgage spread volatility and subsidies in Colombia
López, Martha; Sarmiento Gómez, Eduardo - 2024
Persistent link: https://www.econbiz.de/10015145548
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Bayesian inference for long memory stochastic volatility models
Chaim, Pedro; Laurini, Márcio Poletti - In: Econometrics : open access journal 12 (2024) 4, pp. 1-28
We explore the application of integrated nested Laplace approximations for the Bayesian estimation of stochastic volatility models characterized by long memory. The logarithmic variance persistence in these models is represented by a Fractional Gaussian Noise process, which we approximate as a...
Persistent link: https://www.econbiz.de/10015272743
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Simulation-based forecasting for intraday power markets : modelling fundamental drivers for location, shape and scale of the price distribution
Hirsch, Simon; Ziel, Florian - In: The energy journal 45 (2024) 3, pp. 87-124
Persistent link: https://www.econbiz.de/10015273073
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Forecasting Ethereum's volatility : an expansive approach using HAR models and structural breaks
Chen, Ruijie - In: Cogent economics & finance 12 (2024) 1, pp. 1-17
Cryptocurrencies have become a popular investment option and the Ethereum has become a mainstream cryptocurrency because of the additional functionality that can be accomplished with the backing of the powerful Ethereum network compared to Bitcoin. The high volatility of Ethereum offers both...
Persistent link: https://www.econbiz.de/10015394270
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