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A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao; Gerlach, Richard - In: Journal of forecasting 43 (2024) 1, pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
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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 volatility with support vector machine-based GARCH model
Shiyi, Chen; Härdle, Wolfgang; Jeong, Kiho - In: Journal of forecasting 29 (2010) 4, pp. 406-433
Persistent link: https://www.econbiz.de/10003989791
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Forecasting stock market volatility in central and eastern European countries
Harrison, Barry; Moore, Winston - In: Journal of forecasting 31 (2012) 6, pp. 490-503
Persistent link: https://www.econbiz.de/10009661524
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Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components
Man, Kasing; Wu, Chunchi - In: Journal of forecasting 29 (2010) 7, pp. 595-616
Persistent link: https://www.econbiz.de/10008935450
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A threshold stochastic volatility model
So, Mike Ka-pui; Li, Wai Keung; Lam, Kin - In: Journal of forecasting 21 (2002) 7, pp. 473-500
Persistent link: https://www.econbiz.de/10001775843
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Bayesian quantile forecasting via the realized hysteretic GARCH model
Chen, Cathy W. S.; Lin, Edward M. H.; Huang, Tara F. J. - In: Journal of forecasting 41 (2022) 7, pp. 1317-1337
Persistent link: https://www.econbiz.de/10013465697
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Volatility forecasting with double Markov switching GARCH models
Chen, Cathy W. S.; So, Mike Ka-pui; Lin, Edward M. H. - In: Journal of forecasting 28 (2009) 8, pp. 681-697
Persistent link: https://www.econbiz.de/10003918204
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The forecasting performance of a finite mixture regime-switching model for daily electricity prices
Chen, Dipeng; Bunn, Derek W. - In: Journal of forecasting 33 (2014) 5, pp. 364-375
Persistent link: https://www.econbiz.de/10010425623
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Realized volatility forecasting of agricultural commodity futures using long memory and regime switching
Tian, Fengping; Yang, Ke; Chen, Langnan - In: Journal of forecasting 36 (2017) 4, pp. 421-430
Persistent link: https://www.econbiz.de/10011860462