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Predicting stock return volatility : can we benefit from regression models for return intervals?
Fischer, Henning; Blanco-Fernández, Ángela; Winker, Peter - In: Journal of forecasting 35 (2016) 2, pp. 113-146
Persistent link: https://www.econbiz.de/10011580244
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Forecasting stock returns with industry volatility concentration
Zhang, Yaojie; He, Mengxi; Zhang, Zhikai - In: Journal of forecasting 43 (2024) 7, pp. 2705-2730
Persistent link: https://www.econbiz.de/10015110540
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Modeling and forecasting aggregate stock market volatility in unstable environments using mixture innovation regressions
Nonejad, Nima - In: Journal of forecasting 36 (2017) 6, pp. 718-740
Persistent link: https://www.econbiz.de/10011861413
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Can intraday data improve the joint estimation and prediction of risk measures? : evidence from a variety of realized measures
Wu, Zhimin; Cai, Guanghui - In: Journal of forecasting 43 (2024) 6, pp. 1956-1974
Persistent link: https://www.econbiz.de/10015110344
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Predictable return distributions
Pedersen, Thomas Q. - In: Journal of forecasting 34 (2015) 2, pp. 114-132
Persistent link: https://www.econbiz.de/10011305289
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Optimal forecast error as an unbiased estimator of abnormal return : a proposition
Enginar, Onur; Atici, Kazim Baris - In: Journal of forecasting 41 (2022) 1, pp. 158-166
Persistent link: https://www.econbiz.de/10012796281
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Subsampled factor models for asset pricing : the rise of Vasa
De Nard, Gianluca; Hediger, Simon; Leippold, Markus - In: Journal of forecasting 41 (2022) 6, pp. 1217-1247
Persistent link: https://www.econbiz.de/10013465694
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Default return spread : a powerful predictor of crude oil price returns
Han, Qingxiang; He, Mengxi; Zhang, Yaojie; Umar, Muhammad - In: Journal of forecasting 42 (2023) 7, pp. 1786-1804
Persistent link: https://www.econbiz.de/10014432770
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Mixed-frequency predictive regressions with parameter learning
Leippold, Markus; Yang, Hanlin - In: Journal of forecasting 42 (2023) 8, pp. 1955-1972
Persistent link: https://www.econbiz.de/10014432824
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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