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Forecast evaluation tests in the presence of ARCH
Harvey, David I.; Leybourne, Stephen James; Newbold, Paul - In: Journal of forecasting 18 (1999) 6, pp. 435-445
Persistent link: https://www.econbiz.de/10001494029
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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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Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes
Chen, Bei; Gel, Yulia R.; Balakrishna, N.; Abraham, Bovas - In: Journal of forecasting 30 (2011) 1, pp. 51-71
Persistent link: https://www.econbiz.de/10009233916
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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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Estimating and forecasting APARCH-Skew-t model by wavelet support vector machines
Li, Yushu - In: Journal of forecasting 33 (2014) 4, pp. 259-269
Persistent link: https://www.econbiz.de/10010425754
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Forecasting volatility with many predictors
Ke, Tsung-han; Hu, Yu-pin - In: Journal of forecasting 32 (2013) 8, pp. 743-754
Persistent link: https://www.econbiz.de/10010344461
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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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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