Similar Search Results - EconBiz

Covariance forecasting in equity markets

Symitsi, Efthymia; Symeonidis, Lazaros; Kourtis, Apostolos - In: Journal of banking & finance 96 (2018), pp. 153-168

Persistent link: https://www.econbiz.de/10011967197

Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL

Alexander, Carol - 2011

It is widely accepted that some of the most accurate predictions of aggregated asset returns are based on an appropriately specified GARCH process. As the forecast horizon is greater than the frequency of the GARCH model, such predictions either require time-consuming simulations or they can be...

Persistent link: https://www.econbiz.de/10013125613

Analytic approximations to GARCH aggregated returns distributions with applications to VaR and ETL

Alexander, Carol; Lazar, Emese; Stanescu, Silvia - 2011

Persistent link: https://www.econbiz.de/10009375528

Forecasting VaR using analytic higher moments for GARCH processes

Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45

Persistent link: https://www.econbiz.de/10010460001

Forecasting risk measures using intraday data in a generalized autoregressive score framework

Lazar, Emese; Xue, Xiaohan - In: International journal of forecasting 36 (2020) 3, pp. 1057-1072

Persistent link: https://www.econbiz.de/10012497719

Forecasting VIX using filtered historical simulation

Jiang, Yushuang; Lazar, Emese - In: Journal of financial econometrics 20 (2022) 4, pp. 655-680

Persistent link: https://www.econbiz.de/10013349149

Predicting stock index volatility : can market volume help?

Brooks, Chris - In: Journal of forecasting 17 (1998) 1, pp. 59-80

Persistent link: https://www.econbiz.de/10001245342

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

Brooks, Chris - In: Journal of forecasting 16 (1997) 2, pp. 125-145

Persistent link: https://www.econbiz.de/10001216402

A double-threshold GARCH model for the French franc - Deutschmark exchange rate

Brooks, Chris - In: Journal of forecasting 20 (2001) 2, pp. 135-143

Persistent link: https://www.econbiz.de/10001570437

Introductory econometrics for finance

Brooks, Chris - 2008 - 2. ed.

Persistent link: https://www.econbiz.de/10003679796

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