Pages that link to "Item:Q292007"

The following pages link to Consistent ranking of volatility models (Q292007):

Displaying 31 items.

• Measuring volatility with the realized range (Q277164) (← links)
• A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects (Q302183) (← links)
• A copula-based approach for generating lattices (Q315036) (← links)
• Measuring and forecasting volatility in Chinese stock market using HAR-CJ-M model (Q369722) (← links)
• Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (Q494402) (← links)
• Inference from high-frequency data: a subsampling approach (Q515131) (← links)
• Fitting a two phase threshold multiplicative error model (Q515143) (← links)
• On loss functions and ranking forecasting performances of multivariate volatility models (Q528161) (← links)
• Data-based ranking of realised volatility estimators (Q530606) (← links)
• Volatility forecast comparison using imperfect volatility proxies (Q737280) (← links)
• A GMM procedure for combining volatility forecasts (Q1023635) (← links)
• Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks (Q1623507) (← links)
• Robust ranking of multivariate GARCH models by problem dimension (Q1623519) (← links)
• Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach (Q1659128) (← links)
• Asymptotic inference about predictive accuracy using high frequency data (Q1706485) (← links)
• Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals (Q2019875) (← links)
• Incorporating overnight and intraday returns into multivariate GARCH volatility models (Q2190235) (← links)
• A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors (Q2442401) (← links)
• Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models (Q2629585) (← links)
• A simple joint model for returns, volatility and volatility of volatility (Q2682964) (← links)
• Splines for Financial Volatility (Q2920261) (← links)
• ARFIMAX and ARFIMAX-TARCH realized volatility modeling (Q3183838) (← links)
• Realized Volatility: A Review (Q3539862) (← links)
• The Volatility of Realized Volatility (Q3539863) (← links)
• NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS (Q3632415) (← links)
• Combining long memory and level shifts in modelling and forecasting the volatility of asset returns (Q4554429) (← links)
• Using information quality for volatility model combinations (Q4683043) (← links)
• ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR (Q4979934) (← links)
• Evaluation of volatility predictions in a VaR framework (Q5001165) (← links)
• Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model (Q5212061) (← links)
• Using proxies to improve forecast evaluation (Q6179125) (← links)