Pages that link to "Item:Q302183"

The following pages link to A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects (Q302183):

Displaying 17 items.

• Probabilistic forecasts of volatility and its risk premia (Q528102) (← links)
• Realised quantile-based estimation of the integrated variance (Q736690) (← links)
• Threshold bipower variation and the impact of jumps on volatility forecasting (Q737246) (← links)
• Do high-frequency measures of volatility improve forecasts of return distributions? (Q737263) (← links)
• A reduced form framework for modeling volatility of speculative prices based on realized variation measures (Q737275) (← links)
• Likelihood-based scoring rules for comparing density forecasts in tails (Q737965) (← links)
• Managing risk with a realized copula parameter (Q1659106) (← links)
• Diagnostic checking of the vector multiplicative error model (Q1660140) (← links)
• A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio (Q2163718) (← links)
• The contribution of intraday jumps to forecasting the density of returns (Q2181523) (← links)
• Chasing volatility. A persistent multiplicative error model with jumps (Q2294516) (← links)
• A simple joint model for returns, volatility and volatility of volatility (Q2682964) (← links)
• Construction and Visualization of Confidence Sets for Frequentist Distributional Forecasts (Q3391186) (← links)
• Scaling and Multiscaling in Financial Series: A Simple Model (Q4906506) (← links)
• Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models (Q4997698) (← links)
• A new volatility model: GQARCH‐ItÔ model (Q5095287) (← links)
• Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects (Q6138236) (← links)