Volatility forecast comparison using imperfect volatility proxies
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Cites work
- scientific article; zbMATH DE number 2230347 (Why is no real title available?)
- Asymptotic Inference about Predictive Ability
- Autoregressive conditional heteroskedasticity and changes in regime
- Bootstrapping Realized Volatility
- Consistent ranking of volatility models
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Evaluating Volatility and Correlation Forecasts
- Handbook of econometrics. Vol. 4
- Handbook of economic forecasting. Volume 1
- Measuring volatility with the realized range
- Modeling and Forecasting Realized Volatility
- Prediction with a Generalized Cost of Error Function
- Properties of optimal forecasts under asymmetric loss and nonlinearity
- Pseudo Maximum Likelihood Methods: Theory
- Realized range-based estimation of integrated variance
- Robust Statistics
- Tests of Conditional Predictive Ability
- The Asymptotic Distribution of the Range of Sums of Independent Random Variables
- Volatility forecast comparison using imperfect volatility proxies
Cited in
(only showing first 100 items - show all)- On the use of non-linear transformations in stochastic volatility models
- Realized Volatility: A Review
- Estimating the persistence and the autocorrelation function of a time series that is measured with error
- A neural network enhanced volatility component model
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
- A generalized heterogeneous autoregressive model using market information
- Multivariate leverage effects and realized semicovariance GARCH models
- Overnight GARCH-Itô Volatility Models
- A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
- Forecasting realised volatility using ARFIMA and HAR models
- Choosing between persistent and stationary volatility
- Economic policy uncertainty and emerging stock market volatility
- Volatility forecast comparison using imperfect volatility proxies
- Accelerating score-driven time series models
- Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
- Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)
- Using information quality for volatility model combinations
- Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
- Functional GARCH models: the quasi-likelihood approach and its applications
- Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine
- Score-driven models for realized volatility
- Bayesian modeling and forecasting of value-at-risk via threshold realized volatility
- Generic Conditions for Forecast Dominance
- Comparing Possibly Misspecified Forecasts
- Volatility prediction comparison via robust volatility proxies: an empirical deviation perspective
- Measuring volatility with the realized range
- Consistent ranking of volatility models
- Extended stochastic volatility models incorporating realised measures
- Realized stochastic volatility with leverage and long memory
- Volatility forecasting of strategically linked commodity ETFs: gold-silver
- Unrestricted, restricted, and regularized models for forecasting multivariate volatility
- Asymptotic inference about predictive accuracy using high frequency data
- scientific article; zbMATH DE number 7660124 (Why is no real title available?)
- Forecast dominance testing via sign randomization
- Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios
- Coupled GARCH(1,1) model
- A GMM approach to estimate the roughness of stochastic volatility
- Local \(M\)-estimation for conditional variance function with dependent data
- Modeling returns volatility: realized GARCH incorporating realized risk measure
- Financial clustering in presence of dominant markets
- Evaluation of volatility predictions in a VaR framework
- Sequential conditional correlations: inference and evaluation
- Macroeconomic fundamentals, jump dynamics and expected volatility
- Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models
- Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model
- Multivariate geometric expectiles
- Periodic autoregressive conditional duration
- Iterative QML estimation for asymmetric stochastic volatility models
- Volatility models for stylized facts of high‐frequency financial data
- Nonparametric volatility prediction
- Simple factor realized stochastic volatility models
- Evaluating Volatility and Correlation Forecasts
- Optimal estimating function for weak location‐scale dynamic models
- Using proxies to improve forecast evaluation
- Improving forecasts with the co-range dynamic conditional correlation model
- From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
- カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について
- Generalized dynamic factor models and volatilities: estimation and forecasting
- Non-parametric news impact curve: a variational approach
- Volatility measurement with pockets of extreme return persistence
- A Simple Method for Predicting Covariance Matrices of Financial Returns
- Capturing measurement error bias in volatility forecasting by realized GARCH models
- Risk Measure Inference
- Modeling and forecasting exchange rate volatility in time-frequency domain
- Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crisis
- Estimation and decomposition of food price inflation risk
- Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment
- Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
- Forecasting volatility using combination across estimation windows: an application to S\&P500 stock market index
- On Testing Equal Conditional Predictive Ability Under Measurement Error
- A Stochastic Volatility Model With a General Leverage Specification
- Dynamic Discrete Mixtures for High-Frequency Prices
- Realized Quantiles*
- Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability
- Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- Volatility forecasting via SVR-GARCH with mixture of Gaussian kernels
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
- Forecast Evaluation in the Presence of Unobserved Volatility
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures
- Robust score and portmanteau tests of volatility spillover
- The VIX, the variance premium and stock market volatility
- Volatility degree forecasting of stock market by stochastic time strength neural network
- Robust ranking of multivariate GARCH models by problem dimension
- Data cloning estimation for asymmetric stochastic volatility models
- Stochastic online convex optimization. Application to probabilistic time series forecasting
- High-frequency-based volatility model with network structure
- A GMM procedure for combining volatility forecasts
- Volatility inference and return dependencies in stochastic volatility models
- Modeling the variance of return intervals toward volatility prediction
- Option implied moments obtained through fuzzy regression
- Volatility forecasting accuracy for Bitcoin
- Dynamic hedging with futures: a copula-based GARCH model with high-frequency data
- Online learning of time-varying stochastic factor structure by variational sequential Bayesian factor analysis
- Forecasting volatility with time-varying coefficient regressions
- On generalised asymmetric stochastic volatility models
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
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