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The information content of implied volatility index (India VIX)
Shaikh, Imlak; Padhi, Puja - In: Global business perspectives 1 (2013) 4, pp. 359-378
Persistent link: https://www.econbiz.de/10010230219
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Realized volatility forecasting : Robustness to measurement errors
Cipollini, Fabrizio; Gallo, Giampiero M.; Otranto, Edoardo - In: International journal of forecasting 37 (2021) 1, pp. 44-57
Persistent link: https://www.econbiz.de/10012692572
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Does measurement error matter in volatility forecasting? : empirical evidence from the Chinese stock market
Wang, Yajing; Liang, Fang; Wang, Tianyi; Huang, Zhuo - In: Economic modelling 87 (2020), pp. 148-157
Persistent link: https://www.econbiz.de/10012416413
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Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets
Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Do, … - In: Energy economics 86 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012511747
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Correlation shrinkage : implications for risk forecasting
Menchero, Jose; Li, Peng - In: Journal of investment management : JOIM 18 (2020) 3, pp. 92-108
Persistent link: https://www.econbiz.de/10012589102
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Forecasting the Chinese stock market volatility : a regression approach with a t-distributed error
He, Mengxi; Zhang, Yaojie; Wen, Danyan; Wang, Yudong - In: Applied economics 54 (2022) 50, pp. 5811-5826
Persistent link: https://www.econbiz.de/10013411306
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Robust estimation for the orthogonal GARCH model
Iqbal, Farhat - In: The Manchester School 81 (2013) 6, pp. 904-924
Persistent link: https://www.econbiz.de/10010341578
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Making Cornish-Fisher fit for risk measurement
Lamb, John D.; Monville, Maura E.; Tee, Kaihong - In: Journal of risk 21 (2018/2019) 5, pp. 53-81
Persistent link: https://www.econbiz.de/10012059934
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The non-normality of some macroeconomic forecast errors
Harvey, David I.; Newbold, Paul - In: International journal of forecasting 19 (2003) 4, pp. 635-653
Persistent link: https://www.econbiz.de/10001818851
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Value-at-risk in US stock indices with skewed generalized error distribution
Lee, Ming-chih; Su, Jung-bin; Liu, Hung-Chun - In: Applied financial economics letters 4 (2008) 4/6, pp. 425-431
Persistent link: https://www.econbiz.de/10003808278