Volatility forecast comparison using imperfect volatility proxies
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Cites work
- 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
- scientific article; zbMATH DE number 2230347 (Why is no real title available?)
- 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)- A GMM procedure for combining volatility forecasts
- Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)
- Robust ranking of multivariate GARCH models by problem dimension
- Realized stochastic volatility with leverage and long memory
- Extended stochastic volatility models incorporating realised measures
- Forecast dominance testing via sign randomization
- 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
- Generalized dynamic factor models and volatilities: estimation and forecasting
- Asymptotic inference about predictive accuracy using high frequency data
- Dynamic hedging with futures: a copula-based GARCH model with high-frequency data
- Functional GARCH models: the quasi-likelihood approach and its applications
- Volatility forecasting via SVR-GARCH with mixture of Gaussian kernels
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
- Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- Forecasting volatility using combination across estimation windows: an application to S\&P500 stock market index
- Optimal operational service levels in vendor managed inventory contracts -- an exact approach
- Choosing between persistent and stationary volatility
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
- Characterizing the optimal solutions to the isotonic regression problem for identifiable functionals
- Modeling returns volatility: realized GARCH incorporating realized risk measure
- 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
- Non-parametric news impact curve: a variational approach
- Forecasting volatility with time-varying coefficient regressions
- Multivariate leverage effects and realized semicovariance GARCH models
- Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
- Forecasting the volatility of crude oil futures using intraday data
- Estimating stochastic volatility: the rough side to equity returns
- Accelerating score-driven time series models
- Improving forecasts with the co-range dynamic conditional correlation model
- Financial clustering in presence of dominant markets
- Testing the predictive ability of corridor implied volatility under GARCH models
- A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
- On the use of non-linear transformations in stochastic volatility models
- Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models
- Sequential conditional correlations: inference and evaluation
- Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages
- Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling
- A simple joint model for returns, volatility and volatility of volatility
- Local scale invariance and robustness of proper scoring rules
- Testing for misspecification in the short-run component of GARCH-type models
- Simple factor realized stochastic volatility models
- Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data
- Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model
- Measuring volatility with the realized range
- Local \(M\)-estimation for conditional variance function with dependent data
- Consistent ranking of volatility models
- Forecast Evaluation in the Presence of Unobserved Volatility
- Modeling and forecasting exchange rate volatility in time-frequency domain
- Realized Volatility: A Review
- Evaluating Volatility and Correlation Forecasts
- On generalised asymmetric stochastic volatility models
- Volatility forecasting of strategically linked commodity ETFs: gold-silver
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
- Online learning of time-varying stochastic factor structure by variational sequential Bayesian factor analysis
- Multivariate geometric expectiles
- Using information quality for volatility model combinations
- The VIX, the variance premium and stock market volatility
- Robust score and portmanteau tests of volatility spillover
- Volatility degree forecasting of stock market by stochastic time strength neural network
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
- Estimating the persistence and the autocorrelation function of a time series that is measured with error
- A neural network enhanced volatility component model
- Dynamic principal component CAW models for high-dimensional realized covariance matrices
- Time-varying forecasts by variational approximation of sequential Bayesian inference
- Evaluation of volatility predictions in a VaR framework
- 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
- Periodic autoregressive conditional duration
- Modeling and forecasting realized covariance matrices with accounting for leverage
- Forecasting with GARCH models under structural breaks: An approach based on combinations across estimation windows
- A generalized heterogeneous autoregressive model using market information
- A new volatility model: GQARCH‐ItÔ model
- Modeling the variance of return intervals toward volatility prediction
- Macroeconomic fundamentals, jump dynamics and expected volatility
- Comparing and combining realized measure and implied volatility for volatility prediction
- Inference from high-frequency data: a subsampling approach
- Fitting a two phase threshold multiplicative error model
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
- Forecasting realised volatility using ARFIMA and HAR models
- Volatility prediction based on scheduled macroeconomic announcements
- On loss functions and ranking forecasting performances of multivariate volatility models
- Data-based ranking of realised volatility estimators
- Volatility inference and return dependencies in stochastic volatility models
- Data cloning estimation for asymmetric stochastic volatility models
- scientific article; zbMATH DE number 7660124 (Why is no real title available?)
- On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices
- Volatility measurement with pockets of extreme return persistence
- Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
- Score-driven models for realized volatility
- A GMM approach to estimate the roughness of stochastic volatility
- Volatility models for stylized facts of high‐frequency financial data
- Unrestricted, restricted, and regularized models for forecasting multivariate volatility
- Volatility prediction comparison via robust volatility proxies: an empirical deviation perspective
- From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
- Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios
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