Forecasting realized volatility: a review
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Publication:1622112
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Cites work
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Cited in
(31)- Real-time forecast evaluation of DSGE models with stochastic volatility
- A self-normalization test for correlation change
- A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
- Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight
- Realized volatility forecasting and option pricing
- Volatility forecasts and at-the-money implied volatility: a multi-component ARCH approach and its relation to market models
- Realized Volatility: A Review
- The Volatility of Realized Volatility
- Medium-term horizon volatility forecasting: A comparative study
- Measuring and forecasting volatility in Chinese stock market using HAR-CJ-M model
- Forecasting return volatility in the presence of microstructure noise
- Volatility forecasting of strategically linked commodity ETFs: gold-silver
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- Forecasting foreign exchange realized volatility: a least square model averaging approach
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- The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
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