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The empirical similarity approach for volatility prediction
Golosnoy, Vasyl; Hamid, Alain; Okhrin, Yarema - In: Journal of banking & finance 40 (2014), pp. 321-329
Persistent link: https://www.econbiz.de/10010402690
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Statistical surveillance of volatility forecasting models
Golosnoy, Vasyl; Okhrin, Irena; Schmid, Wolfgang - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 513-543
Persistent link: https://www.econbiz.de/10009571510
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Sequential monitoring of minimum variance portfolio
Golosnoy, Vasyl - In: Advances in statistical analysis : AStA ; a journal of … 91 (2007) 1, pp. 39-55
Persistent link: https://www.econbiz.de/10003437331
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Intra-daily volatility spillovers in international stock markets
Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of international money and finance 53 (2015), pp. 95-114
Persistent link: https://www.econbiz.de/10011475912
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Statistical Surveillance of Volatility Forecasting Models
Golosnoy, Vasyl; Okhrin, Irena; Schmid, Wolfgang - 2011
This paper elaborates sequential procedures for monitoring the validity of a volatility model. A state space representation describes dynamics of daily integrated volatility. The observation equation relates the integrated volatility to its measures such as the realized volatility or bipower...
Persistent link: https://www.econbiz.de/10014185270
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Stock return prediction under GARCH : an empirical assessment
Herwartz, Helmut - In: International journal of forecasting 33 (2017) 3, pp. 569-580
Persistent link: https://www.econbiz.de/10011746190
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On the (nonlinear) relationship between exchange rate uncertainty and trade : an investigation of US trade figures in the group of seven
Herwartz, Helmut - In: Review of world economics 139 (2003) 4, pp. 650-682
Persistent link: https://www.econbiz.de/10001915170
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Testing for linear autoregressive dynamics under heteroskedasticity
Hafner, Christian M.; Herwartz, Helmut - 1999
Persistent link: https://www.econbiz.de/10001377688
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Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.; Herwartz, Helmut - In: Journal of empirical finance 8 (2001) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10001568288
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Testing for linear autoregressive dynamics under heteroskedasticity
Hafner, Christian M.; Herwartz, Helmut - In: The econometrics journal 3 (2000) 2, pp. 177-197
Persistent link: https://www.econbiz.de/10001546181