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Forecasting based on decomposed financial return series : a wavelet analysis

Berger, Theo - In: Journal of forecasting 35 (2016) 5, pp. 419-433

Persistent link: https://www.econbiz.de/10011580976

Modeling the cross-section of stock returns using sensible models in a model pool

Chiang, I-Hsuan Ethan; Liao, Yin; Zhou, Qing - In: Journal of empirical finance 60 (2021), pp. 56-73

Persistent link: https://www.econbiz.de/10012692977

Forecasting crude oil and refined products volatilities and correlations : new evidence from fractionally integrated multivariate GARCH models

Marchese, Malvina; Kyriakou, Ioannis; Tamvakis, Michael; … - In: Energy economics 88 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012516745

A novel robust method for estimating the covariance matrix of financial returns with applications to risk management

Leccadito, Arturo; Staino, Alessandro; Toscano, Pietro - In: Financial innovation : FIN 10 (2024), pp. 1-28

This study introduces the dynamic Gerber model (DGC) and evaluates its performance in the prediction of Value at Risk (VaR) and Expected Shortfall (ES) compared to alternative parametric, non-parametric and semi-parametric methods for estimating the covariance matrix of returns. Based on ES...

Persistent link: https://www.econbiz.de/10015361657

Forecasting stock return volatility : the role of shrinkage approaches in a data-rich environment

Dai, Zhifeng; Li, Tingyu; Yang, Mi - In: Journal of forecasting 41 (2022) 5, pp. 980-996

Persistent link: https://www.econbiz.de/10013287893

A new measure of realized volatility : inertial and reverse realized semivariance

Luo, Xin; Tao, Yunqing; Zou, Kai - In: Finance research letters 47 (2022) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10013459886

Statistical evaluation of deep learning models for stock return forecasting

Yilmaz, Firat Melih; Yildiztepe, Engin - In: Computational economics 63 (2024) 1, pp. 221-244

Persistent link: https://www.econbiz.de/10014472083

Forecasting expected shortfall : should we use a multivariate model for stock market factors?

Fortin, Alain-Philippe; Simonato, Jean-Guy; Dionne, Georges - In: International journal of forecasting 39 (2023) 1, pp. 314-331

Persistent link: https://www.econbiz.de/10014462782

Forecasting realized volatility : does anything beat linear models?

Branco, Rafael R.; Rubesam, Alexandre; Zevallos, Mauricio - In: Journal of empirical finance 78 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10015101660

Option-Implied Asymmetry and Market Returns

O'Sullivan, Conall; Wang, Yan - 2022

estimate a novel risk-neutral quantile-based asymmetry measure (RNA) from S&P 500 index options. In contrast to existing risk … one to twelve weeks. Our findings suggest that ex-ante systematic asymmetry does matter when predicting excess market …

Persistent link: https://www.econbiz.de/10014236004