Probabilistic forecasts of volatility and its risk premia
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Cites work
- scientific article; zbMATH DE number 4070082 (Why is no real title available?)
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
- A theory of volatility spreads
- An Intertemporal General Equilibrium Model of Asset Prices
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
- Contemporary Bayesian Econometrics and Statistics
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Efficient Probabilistic Forecasts for Counts
- Estimation of objective and risk-neutral distributions based on moments of integrated volatility
- Financial econometric analysis at ultra-high frequency: Data handling concerns
- Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns
- Generalized autoregressive conditional heteroscedasticity
- Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Modeling and Forecasting Realized Volatility
- Monte Carlo strategies in scientific computing
- Nonlinear State-Space Models With State-Dependent Variances
- On Gibbs sampling for state space models
- Out of sample forecasts of quadratic variation
- Post-'87 crash fears in the S\&P 500 futures option market
- Power Variation and Time Change
- Predictive density and conditional confidence interval accuracy tests
- Probabilistic Forecasts, Calibration and Sharpness
- Realized jumps on financial markets and predicting credit spreads
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- The dynamics of stochastic volatility: evidence from underlying and options markets
- The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Variance dynamics: joint evidence from options and high-frequency returns
- Volatility in equilibrium: asymmetries and dynamic dependencies
Cited in
(16)- Forecasting latent volatility through a Markov chain approximation filter
- Comment on article by Windle and Carvalho
- Quantile forecasts for financial volatilities based on parametric and asymmetric models
- Inferring the Forward Looking Equity Risk Premium from Derivative Prices
- Adaptive priors based on splines with random knots
- High-frequency jump tests: which test should we use?
- Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
- Bootstrap based probability forecasting in multiplicative error models
- Forecasting compositional risk allocations
- Forecasting volatility in the presence of model instability
- Volatility Forecasts and Value at Risk Evaluation for the MSCI North America Index
- Evaluating Volatility and Correlation Forecasts
- Probabilistic forecasting of bubbles and flash crashes
- Construction and Visualization of Confidence Sets for Frequentist Distributional Forecasts
- Fitting a two phase threshold multiplicative error model
- Predictive Inference for Integrated Volatility
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