Volatility forecasting using stochastic conditional range model with leverage effect

DOI10.1002/ASMB.2457MaRDI QIDQ6574620zbMATH OpenFDO

Authors Xinyu Wu, Haibin Xie

Publication date 18 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/ASMB.2457

zbMATH Keywords

leverage effectparticle filtersprice rangeSCRLvolatility forecasting

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A Bayesian conditional autoregressive geometric process model for range data
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Estimating the structural credit risk model when equity prices are contaminated by trading noises
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• On leverage in a stochastic volatility model
• Particle filters for continuous likelihood evaluation and maximisation
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• Volatility contagion: a range-based volatility approach

Cited in

(1)

• New parameterization of stochastic conditional range models for financial volatility modelling

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