Similar Search Results - EconBiz

Improving the accuracy: volatility modeling and forecasting using high-frequency data and the variational component

Kumar, Manish - In: Journal of industrial engineering and management : JIEM 3 (2010) 1, pp. 199-220

In this study, we predict the daily volatility of the S&P CNX NIFTY market index of India using the basic "heterogeneous autoregressive" (HAR) and its variant. In doing so, we estimated several HAR and Log form of HAR models using different regressor. The different regressors were obtained by...

Persistent link: https://www.econbiz.de/10011899155

Using conditional asymmetry to predict commodity futures prices

Dias, Fabio S. - In: International Journal of Financial Markets and … 8 (2021) 2, pp. 185-203

Persistent link: https://www.econbiz.de/10012598664

Additive outliers, GARCH and forecasting volatility

Franses, Philip Hans; Ghijsels, Hendrik - In: International journal of forecasting 15 (1999) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10001428359

Proceedings of the Hong Kong International Workshop on Statistics and Finance: an Interface : Centre of Financial Time Series, the University of Hong Kong 4-8 July 1999

Chan, Wai-Sum (contributor); Li, Wai Keung (contributor); … - International Workshop on Statistics and Finance <1999, … - 2000

Persistent link: https://www.econbiz.de/10001490756

Exploring new ways to forecast stock return volatilities

Chen, An-sing - 1994

Persistent link: https://www.econbiz.de/10000915944

Forecasting stock market volatility using (nonlinear) GARCH models

Franses, Philip Hans; Thull, Olaf van - 1995

Persistent link: https://www.econbiz.de/10000912177

Additive outliers, garch and forecasting volatility

Franses, Philip Hans; Ghijsels, Hendrik - 1997

Persistent link: https://www.econbiz.de/10000969033

Volatilitätsprozesse mit Faktor-GARCH-Modellen : eine empirische Studie für den deutschen Aktienmarkt

Kaiser, Thomas - 1997

Persistent link: https://www.econbiz.de/10000971500

Forecasting variance using stochastic volatility and GARCH

Hansson, Björn A.; Hördahl, Peter - 1998

Persistent link: https://www.econbiz.de/10000981021

Linear and nonlinear (non-)forecastability of high frequency exchange rates

Brooks, Chris - 1996

Persistent link: https://www.econbiz.de/10000944084

A service of the