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Forecasting volatility and the risk-return tradeoff : an application on the Fama-French benchmark market return

Vafiadis, Nikolaos - In: Journal of time series econometrics 7 (2015) 2, pp. 181-216

Persistent link: https://www.econbiz.de/10011291298

Dynamic probabilistic forecasting with uncertainty

Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18

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Forecasting realized volatility : new evidence from time-varying jumps in VIX

Dutta, Anupam; Das, Debojyoti - In: The journal of futures markets 42 (2022) 12, pp. 2165-2189

Persistent link: https://www.econbiz.de/10013465875

A stochastic volatility model with a general leverage specification

Catania, Leopoldo - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 678-689

Persistent link: https://www.econbiz.de/10013534044

Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry

Zhang, Zehua; Zhao, Ran - In: Quantitative finance 23 (2023) 1, pp. 35-51

Persistent link: https://www.econbiz.de/10013490951

The role of jumps in realized volatility modeling and forecasting

Caporin, Massimiliano - In: Journal of financial econometrics 21 (2023) 4, pp. 1143-1168

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A three-dimensional asymmetric power HEAVY model

Yfanti, Stavroula; Chortareas, Georgios E.; Karanasos, … - In: International journal of finance & economics : IJFE 27 (2022) 3, pp. 2737-2761

Persistent link: https://www.econbiz.de/10013329825

Comfort: a common market factor non-Gaussian returns model

Paolella, Marc S.; Polak, Pawel - 2013

model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility … volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for …

Persistent link: https://www.econbiz.de/10010256409

Discrete-time volatility forecasting with persistent leverage effect and the link with continuous-time volatility modeling

Corsi, Fulvio; Renò, Roberto - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 3, pp. 368-380

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Modeling autoregressive processes with moving-quantiles-implied nonlinearity

Ishida, Isao; Kvedaras, Virmantas - In: Econometrics : open access journal 3 (2015) 1, pp. 2-54

daily realized volatility data of Standard & Poor's 500 (S&P 500) and several other indices, we obtained good performance … heterogeneous autoregressive and other models of realized volatility. …

Persistent link: https://www.econbiz.de/10010478989