High frequency-based quantile forecast and combination: an application to oil market
From MaRDI portal
Publication:2086173
Recommendations
- Enhancing the predictability of crude oil markets with hybrid wavelet approaches
- Wavelet-based prediction of oil prices
- Forecasting realized volatility of oil futures market: a new insight
- Volatility forecasting of crude oil market: a new hybrid method
- Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models
- Nonlinear high-frequency stock market time series: modeling and combine forecast evaluations
Cites work
- A multiple indicators model for volatility using intra-daily data
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Do high-frequency measures of volatility improve forecasts of return distributions?
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- Dynamic quantile models
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Extreme Value Theory as a Risk Management Tool
- Generalized autoregressive conditional heteroscedasticity
- Improving the value at risk forecasts: theory and evidence from the financial crisis
- Market Microstructure Invariance: Empirical Hypotheses
- MIDAS Regressions: Further Results and New Directions
- Modeling and Forecasting Realized Volatility
- Predicting volatility: getting the most out of return data sampled at different frequencies
- Regression Quantiles
- Strictly Proper Scoring Rules, Prediction, and Estimation
- Using CAViaR models with implied volatility for value-at-risk estimation
- Value-at-Risk Prediction: A Comparison of Alternative Strategies
This page was built for publication: High frequency-based quantile forecast and combination: an application to oil market
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2086173)
