Using information quality for volatility model combinations (Q4683043): Difference between revisions

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+Modeling and Forecasting Realized Volatility
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+A reduced form framework for modeling volatility of speculative prices based on realized variation measures
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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Resolving Macroeconomic Uncertainty in Stock and Bond Markets
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+Q4865042
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+Model uncertainty and policy evaluation: some theory and empirics
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+Realized range-based estimation of integrated variance
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+Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
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+MIDAS Regressions: Further Results and New Directions
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+Semi-Parametric Modelling of Correlation Dynamics
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+Q4840212
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+Consistent ranking of volatility models
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+Nonparametric and semiparametric models.
@@ Property / cites work: Nonparametric and semiparametric models. / rank @@
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+Frequentist Model Average Estimators
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+A generalized bivariate mixture model for stock price volatility and trading volume
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+Measuring volatility with the realized range
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+Volatility forecast comparison using imperfect volatility proxies
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+Quasi-maximum likelihood estimation of stochastic volatility models
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+A Reality Check for Data Snooping
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+COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS
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+A Tale of Two Time Scales
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