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Threshold stochastic volatility : properties and forecasting
Mao, Xiuping; Ruiz, Esther; Veiga, Helena - In: International journal of forecasting 33 (2017) 4, pp. 1105-1123
Persistent link: https://www.econbiz.de/10011746949
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Ordinal-response GARCH models for transaction data : a forecasting exercise
Dimitrakopoulos, Stefanos; Tsionas, Efthymios G. - In: International journal of forecasting 35 (2019) 4, pp. 1273-1287
Persistent link: https://www.econbiz.de/10012305278
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Forecasting return volatility : level shifts with varying jump probability and mean reversion
Xu, Jiawen; Perron, Pierre - In: International journal of forecasting 30 (2014) 3, pp. 449-463
Persistent link: https://www.econbiz.de/10010511565
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A SHARP model of bid-ask spread forecasts
Cattivelli, Luca; Pirino, Davide - In: International journal of forecasting 35 (2019) 4, pp. 1211-1225
Persistent link: https://www.econbiz.de/10012305253