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Volatility forecasting of non-ferrous metal futures : covariances, covariates or combinations?

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Persistent link: https://www.econbiz.de/10011896310

Stock market volatility forecasting : do we need high-frequency data?

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Properties of range-based volatility estimators

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FX market volatility modelling : can we use low-frequency data?

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To bet or not to bet : a reality check for tennis betting market efficiency

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Trading and non-trading period realized market volatility : does it matter for forecasting the volatility of US stocks?

Lyócsa, Štefan; Todorova, Neda - In: International journal of forecasting 36 (2020) 2, pp. 628-645

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YOLO trading : riding with the herd during the GameStop episode

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Return adjusted charge ratios : what drives fees and costs of pension schemes?

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Volatility Forecasting of Non-Ferrous Metal Futures : Covariances, Covariates or Combinations?

Lyocsa, Stefan - 2017

This is the first comprehensive study on the forecasting of the realized volatility of non-ferrous metal futures. Based on 8.5 years of intraday data on copper, zinc, nickel, lead and aluminum, we explore a variety of extensions of the univariate heterogeneous autoregressive (HAR) model and seek...

Persistent link: https://www.econbiz.de/10012947354

Robust estimation of the range-based GARCH model : forecasting volatility, value at risk and expected shortfall of cryptocurrencies

Fiszeder, Piotr; Małecka, Marta; Molnár, Peter - In: Economic modelling 141 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015191454