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Forecasting volatility using realized stochastic volatility model with time-varying leverage effect

Wu, Xinyu; Wang, Xiaona - In: Finance research letters 34 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012436997

Modeling tail risks of inflation using unobserved component quantile regressions

Pfarrhofer, Michael - In: Journal of economic dynamics & control 143 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013543015

Volatility or higher moments : which is more important in return density forecasts of stochastic volatility model?

Li, Chenxing; Zhang, Zehua; Zhao, Ran - In: Finance research letters 67 (2024) 2, pp. 1-11

Persistent link: https://www.econbiz.de/10015062448

Does realized volatility help bond yield density prediction?

Shin, Minchul; Zhong, Molin - In: International journal of forecasting 33 (2017) 2, pp. 373-389

Persistent link: https://www.econbiz.de/10011922068

Combining long memory and level shifts in modelling and forecasting the volatility of asset returns

Varneskov, Rasmus Tangsgaard; Perron, Pierre - In: Quantitative finance 18 (2018) 3, pp. 371-393

Persistent link: https://www.econbiz.de/10011906384

The risk-return tradeoff : a COGARCH analysis of Merton's hypothesis

Müller, Gernot; Durand, Robert B.; Maller, Ross A. - In: Journal of empirical finance 18 (2011) 2, pp. 306-320

Persistent link: https://www.econbiz.de/10009301116

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

Oil price and stock market behaviour in GCC countries : do asymmetries and structural breaks matter?

Fasanya, Ismail Olaleke; Oyewole, Oluwatomisin J.; … - In: Energy strategy reviews 36 (2021), pp. 1-11

Although the relationship between the global oil and stock markets has been given extensive critical assessment in the literature, this study gives a re-examination of this nexus for the Gulf Cooperation Council countries with certain innovative contributions. We employ both the Symmetric ARDL...

Persistent link: https://www.econbiz.de/10012704709

Forecasting returns volatility of cryptocurrency by applying various deep learning algorithms

Khan, Farman Ullah; Khan, Faridoon; Shaikh, Parvez Ahmed - In: Future business journal 9 (2023), pp. 1-11

The study aims at forecasting the return volatility of the cryptocurrencies using several machine learning algorithms … observations. We predict the volatility of four cryptocurrencies, namely Bitcoin, Ethereum, XRP, and Tether, and compare their … evaluated by mean absolute error (MAE) and root-mean-square error (RMSE). Regarding the return volatility of Bitcoin and XRP …

Persistent link: https://www.econbiz.de/10014381146

Long memory and nonlinearities in realized volatility : a Markov switching approach

Bordignon, Silvano; Raggi, Davide - 2010

Goal of this paper is to analyze and forecast realized volatility through nonlinear and highly persistent dynamics. In …

Persistent link: https://www.econbiz.de/10011739849