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An artificial neural network-GARCH model for international stock return volatility

Donaldson, R. Glen - In: Journal of empirical finance 4 (1997) 1, pp. 17-46

Persistent link: https://www.econbiz.de/10001224775

Donaldson, R. Glen; Kamstra, Mark J.; Kramer, Lisa A. - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 4, pp. 813-846

Persistent link: https://www.econbiz.de/10008758096

Stare down the barrel and center the crosshairs : targeting the ex ante equity premium

Donaldson, Glen; Kamstra, Mark J.; Kramer, Lisa A. - 2003

Persistent link: https://www.econbiz.de/10001740779

Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off

Donaldson, Glen (contributor); Kamstra, Mark J. (contributor) - 2004

Persistent link: https://www.econbiz.de/10002571438

Volatility Forecasts, Trading Volume, and the Arch Versus Option-Implied Volatility Trade-Off

Donaldson, Glen - 2014

We investigate empirically the role of trading volume (1) in predicting the relative informativeness of volatility forecasts produced by autoregressive conditional heteroskedasticity (ARCH) models versus the volatility forecasts derived from option prices, and (2) in improving volatility...

Persistent link: https://www.econbiz.de/10012752636