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Better the devil you know : improved forecasts from imperfect models
Oh, Dong Hwan; Patton, Andrew J. - 2021 - This draft: October 2021
Persistent link: https://www.econbiz.de/10012704988
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Better the devil you know : improved forecasts from imperfect models
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of econometrics 242 (2024) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10015075194
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GARCH option pricing with volatility derivatives
Oh, Dong Hwan; Park, Yang-Ho - In: Journal of banking & finance 146 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014248216
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Data-based ranking of realised volatility estimators
Patton, Andrew J. - In: Journal of econometrics 161 (2011) 2, pp. 284-303
Persistent link: https://www.econbiz.de/10009242129
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Volatillity forecast comparison using imperfect volatility proxies
Patton, Andrew J. - In: Journal of econometrics 160 (2011) 1, pp. 246-256
Persistent link: https://www.econbiz.de/10009242521
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Copula-based models for financial time series
Patton, Andrew J. - In: Handbook of financial time series, (pp. 767-785). 2009
Persistent link: https://www.econbiz.de/10003834225
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Dynamic copula models and high frequency data
De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - 2013
Persistent link: https://www.econbiz.de/10010231950
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Volatility forecast comparison using imperfect volatility proxies
Patton, Andrew J. - 2006
Persistent link: https://www.econbiz.de/10003329784
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Evaluating volatility and correlation forecasts
Patton, Andrew J.; Sheppard, Kevin - In: Handbook of financial time series, (pp. 801-838). 2009
Persistent link: https://www.econbiz.de/10003834236
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Optimal combinations of realised volatility estimators
Patton, Andrew J.; Sheppard, Kevin - In: International journal of forecasting 25 (2009) 2, pp. 218-238
Persistent link: https://www.econbiz.de/10003870045