Forecasting volatility with time-varying coefficient regressions
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Publication:2187983
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Cites work
- scientific article; zbMATH DE number 5822909 (Why is no real title available?)
- scientific article; zbMATH DE number 4070082 (Why is no real title available?)
- Asset pricing for general processes
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Autoregressive conditional heteroskedasticity and changes in regime
- Bayesian forecasting and dynamic models
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Generalized autoregressive conditional heteroscedasticity
- Measuring downside risk -- realized semivariance
- Neglecting parameter changes in GARCH models
- The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Time-varying leverage effects
- Volatility forecast comparison using imperfect volatility proxies
- Volatility forecasting of strategically linked commodity ETFs: gold-silver
- What good is a volatility model?
Cited in
(11)- Mode Identification of Volatility in Time-Varying Autoregression
- Forecasting volatility with many predictors
- Forecasting volatility in the presence of model instability
- Forecasts for leverage heterogeneous autoregressive models with jumps and other covariates
- Volatility forecasting of financial time series using wavelet based exponential generalized autoregressive conditional heteroscedasticity model
- A comparison of forecasting models of the volatility in Shenzhen stock market
- Volatility forecasting of strategically linked commodity ETFs: gold-silver
- Time-varying parameter realized volatility models
- Modeling and forecasting aggregate stock market volatility in unstable environments using mixture innovation regressions
- Linear time-varying regression with copula-DCC-GARCH models for volatility
- Volatility clustering in the presence of time-varying model parameters
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