Relative forecasting performance of volatility models: Monte Carlo evidence (Q5397468): Difference between revisions

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-Thomas C. H. Lux
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+Thomas C. H. Lux
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+MaRDI publication profile
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+Q56609282
@@ Property / Wikidata QID: Q56609282 / rank @@
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@@ Property / cites work @@
+Persistence in forecasting performance and conditional combination strategies
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@@ Property / cites work @@
+Modeling and Forecasting Realized Volatility
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+Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
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+Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
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+Fractionally integrated generalized autoregressive conditional heteroskedasticity
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+The detection and estimation of long memory in stochastic volatility
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+Generalized Levinson--Durbin and Burg algorithms.
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+A simple nonlinear time series model with misleading linear properties
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+Multivariate Stochastic Variance Models
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+Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models
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+Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
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+Forecasting volatility under fractality, regime-switching, long memory and Student-\(t\) innovations
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+Forecasting exchange rate volatility.
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