Volatility forecast comparison using imperfect volatility proxies
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Publication:737280
DOI10.1016/J.JECONOM.2010.03.034zbMATH Open1441.62830OpenAlexW2167162925MaRDI QIDQ737280FDOQ737280
Publication date: 10 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.454.8752
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Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (only showing first 100 items - show all)
- Realized Volatility: A Review
- On the use of non-linear transformations in stochastic volatility models
- A neural network enhanced volatility component model
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Volatility forecast comparison using imperfect volatility proxies
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
- Score-driven models for realized volatility
- Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)
- Functional GARCH models: the quasi-likelihood approach and its applications
- Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine
- Measuring volatility with the realized range
- Extended stochastic volatility models incorporating realised measures
- Realized stochastic volatility with leverage and long memory
- Asymptotic inference about predictive accuracy using high frequency data
- Forecast dominance testing via sign randomization
- Modeling the Variance of Return Intervals Toward Volatility Prediction
- Macroeconomic fundamentals, jump dynamics and expected volatility
- Modeling returns volatility: realized GARCH incorporating realized risk measure
- Sequential conditional correlations: inference and evaluation
- Local \(M\)-estimation for conditional variance function with dependent data
- 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
- VOLATILITY INFERENCE AND RETURN DEPENDENCIES IN STOCHASTIC VOLATILITY MODELS
- Volatility models for stylized facts of high‐frequency financial data
- Simple factor realized stochastic volatility models
- Evaluating Volatility and Correlation Forecasts
- Volatility measurement with pockets of extreme return persistence
- Generalized dynamic factor models and volatilities: estimation and forecasting
- A Simple Method for Predicting Covariance Matrices of Financial Returns
- Modeling and forecasting exchange rate volatility in time-frequency domain
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
- 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
- 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
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures
- Data cloning estimation for asymmetric stochastic volatility models
- 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
- ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR
- A GMM procedure for combining volatility forecasts
- 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
- Forecasting volatility with time-varying coefficient regressions
- On generalised asymmetric stochastic volatility models
- Testing for misspecification in the short-run component of GARCH-type models
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- Estimating stochastic volatility: the rough side to equity returns
- Data-based ranking of realised volatility estimators
- Characterizing the optimal solutions to the isotonic regression problem for identifiable functionals
- A new volatility model: GQARCH‐ItÔ model
- Dynamic principal component CAW models for high-dimensional realized covariance matrices
- Modeling and forecasting realized covariance matrices with accounting for leverage
- A simple joint model for returns, volatility and volatility of volatility
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
- Forecasting the volatility of crude oil futures using intraday data
- Fitting a two phase threshold multiplicative error model
- Inference from high-frequency data: a subsampling approach
- Realized volatility forecasting and market microstructure noise
- Threshold bipower variation and the impact of jumps on volatility forecasting
- On loss functions and ranking forecasting performances of multivariate volatility models
- Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
- A generalized heterogeneous autoregressive model using market information
- Overnight GARCH-Itô Volatility Models
- Forecasting realised volatility using ARFIMA and HAR models
- Multivariate leverage effects and realized semicovariance GARCH models
- Economic policy uncertainty and emerging stock market volatility
- A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
- Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
- Choosing between persistent and stationary volatility
- Accelerating score-driven time series models
- Using information quality for volatility model combinations
- Bayesian modeling and forecasting of value-at-risk via threshold realized volatility
- Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
- Generic Conditions for Forecast Dominance
- Comparing Possibly Misspecified Forecasts
- Volatility prediction comparison via robust volatility proxies: an empirical deviation perspective
- Unrestricted, restricted, and regularized models for forecasting multivariate volatility
- Volatility forecasting of strategically linked commodity ETFs: gold-silver
- Title not available (Why is that?)
- 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
- Evaluation of volatility predictions in a VaR framework
- Financial clustering in presence of dominant markets
- Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models
- Iterative QML estimation for asymmetric stochastic volatility models
- Periodic autoregressive conditional duration
- Nonparametric volatility prediction
- Optimal estimating function for weak location‐scale dynamic models
- Using proxies to improve forecast evaluation
- 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
- Improving forecasts with the co-range dynamic conditional correlation model
- Non-parametric news impact curve: a variational approach
- Title not available (Why is that?)
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