Improving forecasts with the co-range dynamic conditional correlation model

DOI10.1016/J.JEDC.2019.103736OpenAlexW2970386939MaRDI QIDQ2338532FDOQ2338532

Authors: Piotr Fiszeder, Marcin Fałdziński 

Publication date: 21 November 2019

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2019.103736

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zbMATH Keywords

simulation studyGARCH modelvolatility modelscovariance forecastingcurrency ratesrange-based models

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• The Model Confidence Set
• Generalized autoregressive conditional heteroscedasticity
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Handbook of Volatility Models and Their Applications
• ARCH models and financial applications
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Modeling and Forecasting Realized Volatility
• Volatility forecast comparison using imperfect volatility proxies
• Estimating variance from high, low and closing prices
• Measuring volatility with the realized range
• Model selection tests for nonlinear dynamic models
• Heterogeneous asymmetric dynamic conditional correlation model with stock return and range
• Multivariate GARCH estimation via a Bregman-proximal trust-region method
• Evaluating Volatility and Correlation Forecasts
• Multivariate rotated ARCH models
• On loss functions and ranking forecasting performances of multivariate volatility models
• A multivariate conditional autoregressive range model
• The economic value of volatility timing using a range-based volatility model
• Volatility contagion: a range-based volatility approach

Cited In (5)

• Title not available (Why is that?)
• High dimension dynamic correlations
• The uncertainty of conditional returns, volatilities and correlations in DCC models
• Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach
• Heterogeneous asymmetric dynamic conditional correlation model with stock return and range

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