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Forecasting volatility with the realized range in the presence of noise and non-trading

Bannouh, Karim; Martens, Martin; Dijk, Dick van - In: The North American journal of economics and finance : a … 26 (2013), pp. 535-551

Persistent link: https://www.econbiz.de/10010370495

An approximate long-memory range-based approach for value at risk estimation

Meng, Xiaochun; Taylor, James W. - In: International journal of forecasting 34 (2018) 3, pp. 377-388

Persistent link: https://www.econbiz.de/10012030985

Predicting VaR for China's stock market : a score-driven model based on normal inverse Gaussian distribution

Song, Shijia; Li, Handong - In: International review of financial analysis 82 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013426497

It's all about volatility of volatility : evidence from a two-factor stochastic volatility model

Grassi, Stefano; Santucci de Magistris, Paolo - In: Journal of empirical finance 30 (2015), pp. 62-78

Persistent link: https://www.econbiz.de/10011489216

It's all about volatility of volatility : evidence from a two-factor stochastic volatility model

Grassi, Stefano; Santucci de Magistris, Paolo - 2014

The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with time varying parameters. The parameters are estimated by means of a sequential matching procedure which adopts as auxiliary model a time-varying generalization of the HAR model...

Persistent link: https://www.econbiz.de/10010402299

Can credit spreads help predict a yield curve?

Abdymomunov, Azamat; Kang, Kyu Ho; Kim, Ki Jeong - In: Journal of international money and finance 64 (2016), pp. 39-61

Persistent link: https://www.econbiz.de/10011668377

Are classical option pricing models consistent with observed option second-order moments? : evidence from high-frequency data

Audrino, Francesco; Fengler, Matthias - In: Journal of banking & finance 61 (2015), pp. 46-63

Persistent link: https://www.econbiz.de/10011545126

Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes

Liu, Lily Y.; Patton, Andrew J.; Sheppard, Kevin - In: Journal of econometrics 187 (2015) 1, pp. 293-311

Persistent link: https://www.econbiz.de/10011499439

Specification and structural break tests for additive models with applications to realized variance data

Fengler, Matthias; Mammen, Enno; Vogt, Michael - In: Journal of econometrics 188 (2015) 1, pp. 196-218

Persistent link: https://www.econbiz.de/10011500308

Model-independent lower bound on variance SWAPS

Kahalé, Nabil - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 939-961

Persistent link: https://www.econbiz.de/10011583815