Similar Search Results

Investor confidence and forecastability of US stock market realized volatility : evidence from machine learning

Gupta, Rangan; Nel, Jacobus; Pierdzioch, Christian - In: The journal of behavioral finance : a publication of … 24 (2023) 1, pp. 111-122

Persistent link: https://www.econbiz.de/10013547864

Asymmetric realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 80-109

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

Persistent link: https://www.econbiz.de/10011553303

Time-varying risk aversion and realized gold volatility

Demirer, Rıza; Gillas, Konstantinos Gkillas; Gupta, Rangan - In: The North American journal of economics and finance : a … 50 (2019) 101048, pp. 1-16

Persistent link: https://www.econbiz.de/10012204443

Forecasting precious metal returns with multivariate random forests

Pierdzioch, Christian; Risse, Marian - In: Empirical economics : a journal of the Institute for … 58 (2020) 3, pp. 1167-1184

Persistent link: https://www.econbiz.de/10012219543

The impact of jumps and leverage in forecasting covolatility

Asai, Manabu; McAleer, Michael - In: Econometric reviews 36 (2017) 6/9, pp. 638-650

Persistent link: https://www.econbiz.de/10011795307

Realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2013

Persistent link: https://www.econbiz.de/10009784942

The impact of jumps and leverage in forecasting co-volatility

Asai, Manabu; McAleer, Michael - 2015

The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … forecasting weekly and monthly horizons. …

Persistent link: https://www.econbiz.de/10010477100

Business applications and state-level stock market realized volatility : a forecasting experiment

Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; … - In: Journal of forecasting 43 (2024) 2, pp. 456-472

Persistent link: https://www.econbiz.de/10014475351

On the predictive value of the (shadow) real interest rate for the realized volatility of gold-price returns

Pierdzioch, Christian; Rohloff, Sebastian; Campe, Roland von - In: Annals of financial economics 18 (2023) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10014442354

A note on investor happiness and the predictability of realized volatility of gold

Bonato, Matteo; Gillas, Konstantinos Gkillas; Gupta, Rangan - In: Finance research letters 39 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10012805333