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Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD
Feng, Yuanhua; Chen Zhou - In: International journal of forecasting 31 (2015) 2, pp. 349-363
Persistent link: https://www.econbiz.de/10011474104
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Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity
Tian, Fengping; Yang, Ke; Chen, Langnan - In: International journal of forecasting 33 (2017) 1, pp. 132-152
Persistent link: https://www.econbiz.de/10011754691
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Combining nearest neighbor predictions and model-based predictions of realized variance : does it pay?
Andrada Félix, Julián; Fernández Rodríguez, Fernando; … - In: International journal of forecasting 32 (2016) 3, pp. 695-715
Persistent link: https://www.econbiz.de/10011621779
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A simple model for now-casting volatility series
Breitung, Jörg; Hafner, Christian M. - In: International journal of forecasting 32 (2016) 4, pp. 1247-1255
Persistent link: https://www.econbiz.de/10011622143
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Global equity market volatility spillovers : a broader role for the United States
Buncic, Daniel; Gisler, Katja Ida Maria - In: International journal of forecasting 32 (2016) 4, pp. 1317-1339
Persistent link: https://www.econbiz.de/10011622159
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Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution
Takahashi, Makoto; Watanabe, Toshiaki; Omori, Yasuhiro - In: International journal of forecasting 32 (2016) 2, pp. 437-457
Persistent link: https://www.econbiz.de/10011597142
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Realized volatility forecasting : Robustness to measurement errors
Cipollini, Fabrizio; Gallo, Giampiero M.; Otranto, Edoardo - In: International journal of forecasting 37 (2021) 1, pp. 44-57
Persistent link: https://www.econbiz.de/10012692572
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Forecasting realized variance measures using time-varying coefficient models
Bekierman, Jeremias; Manner, Hans - In: International journal of forecasting 34 (2018) 2, pp. 276-287
Persistent link: https://www.econbiz.de/10012030902
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An approximate long-memory range-based approach for value at risk estimation
Meng, Xiaochun; Taylor, James W. - In: International journal of forecasting 34 (2018) 3, pp. 377-388
Persistent link: https://www.econbiz.de/10012030985
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Forecasting crude oil price volatility
Herrera, Ana María; Hu, Liang; Pastor, Daniel - In: International journal of forecasting 34 (2018) 4, pp. 622-635
Persistent link: https://www.econbiz.de/10012031060