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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 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 intraday financial time series with sieve bootstrapping and dynamic updating
Shang, Han Lin; Ji, Kaiying - In: Journal of forecasting 42 (2023) 8, pp. 1973-1988
Persistent link: https://www.econbiz.de/10014432826
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Density forecasting with time-varying higher moments : a model confidence set approach
Wilhelmsson, Anders - In: Journal of forecasting 32 (2013) 1, pp. 19-31
Persistent link: https://www.econbiz.de/10009758731
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Daily FX volatility forecasts : can the GARCH (1,1) model be beaten using high-frequency data?
McMillan, David G.; Speight, Alan E. H. - In: Journal of forecasting 31 (2012) 4, pp. 330-343
Persistent link: https://www.econbiz.de/10009576375
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Long memory of financial time series and hidden Markov models with time‐varying parameters
Nystrup, Peter; Madsen, Henrik; Lindström, Erik - In: Journal of forecasting 36 (2017) 8, pp. 989-1002
Persistent link: https://www.econbiz.de/10011860941
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Forecasting stock return volatility : the role of shrinkage approaches in a data-rich environment
Dai, Zhifeng; Li, Tingyu; Yang, Mi - In: Journal of forecasting 41 (2022) 5, pp. 980-996
Persistent link: https://www.econbiz.de/10013287893
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Predicting bid-ask spreads using long-memory autoregressive conditional poisson models
Groß-Klußmann, Axel; Hautsch, Nikolaus - In: Journal of forecasting 32 (2013) 8, pp. 724-742
Persistent link: https://www.econbiz.de/10010344462
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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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Estimating and forecasting large panels of volatilities with approximate dynamic factor models
Luciani, Matteo; Veredas, David - In: Journal of forecasting 34 (2015) 3, pp. 163-176
Persistent link: https://www.econbiz.de/10011305278