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Factor models of stock returns : GARCH errors versus time-varying betas
Koundouri, Phoebe; Kourogenis, Nikolaos; Pittis, Nikitas; … - In: Journal of forecasting 35 (2016) 5, pp. 445-461
Persistent link: https://www.econbiz.de/10011580985
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Forecasting daily variations of stock index returns with a multifractal model of realized volatility
Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - In: Journal of forecasting 33 (2014) 7, pp. 532-541
Persistent link: https://www.econbiz.de/10011282864
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Heterogeneous asymmetric dynamic conditional correlation model with stock return and range
Asai, Manabu - In: Journal of forecasting 32 (2013) 5, pp. 469-480
Persistent link: https://www.econbiz.de/10009788806
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Forecasting VaR and ES in emerging markets : the role of time-varying higher moments
Trung Hai Le - In: Journal of forecasting 43 (2024) 2, pp. 402-414
Persistent link: https://www.econbiz.de/10014475347
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Cross-sectional return dispersion and stock market volatility : evidence from high-frequency data
Niu, Zibo; Demirer, Rıza; Suleman, Muhammad Tahir; … - In: Journal of forecasting 42 (2023) 6, pp. 1309-1328
Persistent link: https://www.econbiz.de/10014338888
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A multivariate GARCH-jump mixture model
Li, Chenxing; Maheu, John M. - In: Journal of forecasting 43 (2024) 1, pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
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Forecasting global stock market volatility : the impact of volatility spillover index in spatial-temporal graph-based model
Son, Bumho; Lee, Yunyoung; Park, Seongwan; Lee, Jaewook - In: Journal of forecasting 42 (2023) 7, pp. 1539-1559
Persistent link: https://www.econbiz.de/10014432719
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Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun; Liu, Xiaoquan; Wen, Conghua - In: Journal of forecasting 42 (2023) 7, pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
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Forecasting international equity market volatility : a new approach
Liang, Chao; Li, Yan; Ma, Feng; Zhang, Yaojie - In: Journal of forecasting 41 (2022) 7, pp. 1433-1457
Persistent link: https://www.econbiz.de/10013465704
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A tug of war of forecasting the US stock market volatility : oil futures overnight versus intraday information
Ma, Feng; Wahab, M. I. M.; Chevallier, Julien; Li, Ziyang - In: Journal of forecasting 42 (2023) 1, pp. 60-75
Persistent link: https://www.econbiz.de/10013465762