Evaluating Volatility and Correlation Forecasts
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Cited in
(38)- An integrated framework for visualizing and forecasting realized covariance matrices
- Forecast the role of GCC financial stress on oil market and GCC financial markets using convolutional neural networks
- Integrated variance of irregularly spaced high-frequency data: a state space approach based on pre-averaging
- Proximity-structured multivariate volatility models
- Estimating the persistence and the autocorrelation function of a time series that is measured with error
- A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Volatility forecast comparison using imperfect volatility proxies
- A closed-form formula characterization of the Epps effect
- A multivariate volatility vine copula model
- Consistent ranking of volatility models
- Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks
- Variance clustering improved dynamic conditional correlation MGARCH estimators
- scientific article; zbMATH DE number 7660124 (Why is no real title available?)
- Evaluation of volatility predictions in a VaR framework
- Volatility Forecasts and Value at Risk Evaluation for the MSCI North America Index
- Using proxies to improve forecast evaluation
- Improving forecasts with the co-range dynamic conditional correlation model
- Non-parametric news impact curve: a variational approach
- Dynamic Conditional Correlations with Partial Information Pooling
- A Simple Method for Predicting Covariance Matrices of Financial Returns
- Long and short-run dynamics in realized covariance matrices: a robust MIDAS approach
- The uncertainty of conditional returns, volatilities and correlations in DCC models
- Forecast Evaluation in the Presence of Unobserved Volatility
- Bespoke realized volatility: tailored measures of risk for volatility prediction
- Robust ranking of multivariate GARCH models by problem dimension
- Dynamic asset correlations based on vines
- Dynamic hedging with futures: a copula-based GARCH model with high-frequency data
- High-dimensional realized covariance estimation: a parametric approach
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- Factor and idiosyncratic VAR volatility matrix models for heavy-tailed high-frequency financial observations
- Data-based ranking of realised volatility estimators
- A new volatility model: GQARCH‐ItÔ model
- Forecasting the volatility of crude oil futures using intraday data
- Testing the predictive ability of corridor implied volatility under GARCH models
- Bregman model averaging for forecast combination
- High-dimensional covariance forecasting for short intra-day horizons
- On loss functions and ranking forecasting performances of multivariate volatility models
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