Probabilistic forecasts of volatility and its risk premia

DOI10.1016/J.JECONOM.2012.06.006zbMATH Open1443.62364OpenAlexW2082329649MaRDI QIDQ528102FDOQ528102

Worapree Maneesoonthorn, Catherine S. Forbes, Simone D. Grose, Gael M. Martin

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001534

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Cited In (14)

Quantile forecasts for financial volatilities based on parametric and asymmetric models
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
Comment on article by Windle and Carvalho

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