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Which power variation predicts volatility well?
Ghysels, Eric; Sohn, Bumjean - In: Journal of empirical finance 16 (2009) 4, pp. 686-700
We estimate MIDAS regressions with various (bi)power variations to predict future volatility measured via increments in …
Persistent link: https://www.econbiz.de/10003900365
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Forecasting exchange rate volatility : the superior performance of conditional combinations of time series and option implied forecasts
Benavides, Guillermo; Capistrán Carmona, Carlos - In: Journal of empirical finance 19 (2012) 5, pp. 627-639
Persistent link: https://www.econbiz.de/10009700616
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The forecast dispersion anomaly revisited : time-series forecast dispersion and the cross-section of stock returns
Kim, Dongcheol; Na, Haejung - In: Journal of empirical finance 39 (2016), pp. 37-53
Persistent link: https://www.econbiz.de/10011663264
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Forecasting aggregate stock market volatility using financial and macroeconomic predictors : Which models forecast best, when and why?
Nonejad, Nima - In: Journal of empirical finance 42 (2017), pp. 131-154
Persistent link: https://www.econbiz.de/10011808557
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Forecasting global stock market implied volatility indices
Degiannakis, Stavros; Filis, George; Hassani, Hossein - In: Journal of empirical finance 46 (2018), pp. 111-129
Persistent link: https://www.econbiz.de/10012103431
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Forecasting realized volatility with machine learning : panel data perspective
Zhu, Haibin; Bai, Lu; He, Lidan; Liu, Zhi - In: Journal of empirical finance 73 (2023), pp. 251-271
Persistent link: https://www.econbiz.de/10014477028
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Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables
Nonejad, Nima - In: Journal of empirical finance 70 (2023), pp. 91-122
Persistent link: https://www.econbiz.de/10014423619
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Forecasting multivariate volatilities with exogenous predictors : an application to industry diversification strategies
Luo, Jiawen; Cepni, Oguzhan; Demirer, Rıza; Gupta, Rangan - In: Journal of empirical finance 81 (2025), pp. 1-34
Persistent link: https://www.econbiz.de/10015405336
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Model averaging in risk management with an application to futures markets
Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - In: Journal of empirical finance 16 (2009) 2, pp. 280-305
Persistent link: https://www.econbiz.de/10003839329
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Pooling and winsorizing machine learning forecasts to predict stock returns with high-dimensional data
Mekelburg, Erik; Strauss, Jack - In: Journal of empirical finance 79 (2024), pp. 1-25
Persistent link: https://www.econbiz.de/10015179520