Forecasting volatility with time-varying coefficient regressions
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Publication:2187983
DOI10.1155/2020/3151473zbMATH Open1459.91118OpenAlexW3022934732MaRDI QIDQ2187983FDOQ2187983
Authors: Qifeng Zhu, Miman You, Shan Wu 
Publication date: 3 June 2020
Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2020/3151473
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Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Bayesian forecasting and dynamic models
- Autoregressive conditional heteroskedasticity and changes in regime
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional Heteroskedasticity in Asset Returns: A New Approach
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- Threshold bipower variation and the impact of jumps on volatility forecasting
- Volatility forecast comparison using imperfect volatility proxies
- Asset pricing for general processes
- Neglecting parameter changes in GARCH models
- What good is a volatility model?
- Measuring downside risk -- realized semivariance
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- Time-varying leverage effects
- The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models
- Volatility forecasting of strategically linked commodity ETFs: gold-silver
Cited In (11)
- Volatility forecasting of financial time series using wavelet based exponential generalized autoregressive conditional heteroscedasticity model
- Modeling and forecasting aggregate stock market volatility in unstable environments using mixture innovation regressions
- Volatility forecasting of strategically linked commodity ETFs: gold-silver
- Time-varying parameter realized volatility models
- A comparison of forecasting models of the volatility in Shenzhen stock market
- Forecasting volatility in the presence of model instability
- Linear time-varying regression with copula-DCC-GARCH models for volatility
- Forecasting volatility with many predictors
- Mode Identification of Volatility in Time-Varying Autoregression
- Forecasts for leverage heterogeneous autoregressive models with jumps and other covariates
- Volatility clustering in the presence of time-varying model parameters
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