Quantile forecasts for financial volatilities based on parametric and asymmetric models
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Publication:1726164
DOI10.1016/J.JKSS.2018.08.005zbMath1417.37296OpenAlexW2891568907MaRDI QIDQ1726164
Publication date: 19 February 2019
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2018.08.005
realized volatilityvalue at riskvolatility indexEGARCH modelforecast intervalLHAR modelskew-t distribution
Applications of statistics to economics (62P20) Time series analysis of dynamical systems (37M10) Dynamical systems in optimization and economics (37N40)
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Cites Work
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
- Do high-frequency measures of volatility improve forecasts of return distributions?
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- The Volatility of Realized Volatility
- On Bayesian Modeling of Fat Tails and Skewness
- The Distribution of Realized Exchange Rate Volatility
- Modeling and Forecasting Realized Volatility
- Analysis of Financial Time Series
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