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Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets
Wang, Man; Cheng, Yihan - In: Journal of forecasting 41 (2022) 8, pp. 1595-1607
Persistent link: https://www.econbiz.de/10013465725
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The importance of the macroeconomic variables in forecasting stock return variance : a GARCH-MIDAS approach
Asgharian, Hossein; Hou, Ai Jun; Javed, Farrukh - In: Journal of forecasting 32 (2013) 7, pp. 600-612
Persistent link: https://www.econbiz.de/10010202170
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How predictable are equity covariance matrices? : evidence from high-frequency data for four markets
Buckle, Michael J.; Chen, Jing; Williams, Julian - In: Journal of forecasting 33 (2014) 7, pp. 542-557
Persistent link: https://www.econbiz.de/10011282861
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Robust estimation of conditional variance of time series using density power divergences
Park, Jin‐Hong; Sriram, T. N. - In: Journal of forecasting 36 (2017) 6, pp. 703-717
Persistent link: https://www.econbiz.de/10011861411
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El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices : evidence from a machine learning approach
Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - In: Journal of forecasting 42 (2023) 4, pp. 785-801
Persistent link: https://www.econbiz.de/10014292795
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High frequency volatility of oil futures in China : components, modeling, and prediction
Hong, Yi; Xu, Xiaofan; Chen, Yang - In: Journal of forecasting 43 (2024) 8, pp. 3104-3127
Persistent link: https://www.econbiz.de/10015110604
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A quantile regression neural network approach to estimating the conditional density of multiperiod returns
Taylor, James W. - In: Journal of forecasting 19 (2000) 4, pp. 299-311
Persistent link: https://www.econbiz.de/10001504631
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Economic factors and the stock market : a new perspective
Qi, Min; Maddala, Gangadharrao S. - In: Journal of forecasting 18 (1999) 3, pp. 151-166
Persistent link: https://www.econbiz.de/10001433673
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Dynamic harmonic regression
Young, Peter C.; Pedregal, Diego J.; Tych, Wlodek - In: Journal of forecasting 18 (1999) 6, pp. 369-394
Persistent link: https://www.econbiz.de/10001493574
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Evaluating volatility and interval forecasts
Taylor, James W. - In: Journal of forecasting 18 (1999) 2, pp. 111-128
Persistent link: https://www.econbiz.de/10001368220