Volatility forecast comparison using imperfect volatility proxies
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- Volatility forecast comparison using imperfect volatility proxies
Cited in
(only showing first 100 items - show all)- Volatility inference and return dependencies in stochastic volatility models
- Modeling and forecasting realized covariance matrices with accounting for leverage
- Volatility forecast comparison using imperfect volatility proxies
- A simple joint model for returns, volatility and volatility of volatility
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
- 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
- Multivariate geometric expectiles
- Forecasting the volatility of crude oil futures using intraday data
- Estimating stochastic volatility: the rough side to equity returns
- Modeling the variance of return intervals toward volatility prediction
- Volatility models for stylized facts of high‐frequency financial data
- Measuring volatility with the realized range
- Option implied moments obtained through fuzzy regression
- Volatility forecasting accuracy for Bitcoin
- Forecast dominance testing via sign randomization
- A neural network enhanced volatility component model
- Characterizing the optimal solutions to the isotonic regression problem for identifiable functionals
- Consistent ranking of volatility models
- Asymptotic inference about predictive accuracy using high frequency data
- On generalised asymmetric stochastic volatility models
- Macroeconomic fundamentals, jump dynamics and expected volatility
- Simple factor realized stochastic volatility models
- Data-based ranking of realised volatility estimators
- Extended stochastic volatility models incorporating realised measures
- Realized stochastic volatility with leverage and long memory
- Score-driven models for realized volatility
- Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)
- Volatility measurement with pockets of extreme return persistence
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- Realized Volatility: A Review
- Modeling returns volatility: realized GARCH incorporating realized risk measure
- Dynamic hedging with futures: a copula-based GARCH model with high-frequency data
- On the use of non-linear transformations in stochastic volatility models
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
- A new volatility model: GQARCH‐ItÔ model
- Fitting a two phase threshold multiplicative error model
- Inference from high-frequency data: a subsampling approach
- Sequential conditional correlations: inference and evaluation
- Generalized dynamic factor models and volatilities: estimation and forecasting
- Dynamic principal component CAW models for high-dimensional realized covariance matrices
- Modeling and forecasting exchange rate volatility in time-frequency domain
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures
- Testing for misspecification in the short-run component of GARCH-type models
- Volatility forecasting via SVR-GARCH with mixture of Gaussian kernels
- On loss functions and ranking forecasting performances of multivariate volatility models
- A GMM procedure for combining volatility forecasts
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
- Functional GARCH models: the quasi-likelihood approach and its applications
- Data cloning estimation for asymmetric stochastic volatility models
- Evaluating Volatility and Correlation Forecasts
- Estimating the persistence and the autocorrelation function of a time series that is measured with error
- Realized volatility forecasting and market microstructure noise
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Local \(M\)-estimation for conditional variance function with dependent data
- A Simple Method for Predicting Covariance Matrices of Financial Returns
- 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
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
- Forecasting volatility with time-varying coefficient regressions
- Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- A Stochastic Volatility Model With a General Leverage Specification
- Dynamic Discrete Mixtures for High-Frequency Prices
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- Volatility prediction comparison via robust volatility proxies: an empirical deviation perspective
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- 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
- Using information quality for volatility model combinations
- Forecasting volatility using combination across estimation windows: an application to S\&P500 stock market index
- Overnight GARCH-Itô Volatility Models
- On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices
- DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions
- Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages
- Evaluation of volatility predictions in a VaR framework
- Improving forecasts with the co-range dynamic conditional correlation model
- Optimal operational service levels in vendor managed inventory contracts -- an exact approach
- Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
- Local scale invariance and robustness of proper scoring rules
- scientific article; zbMATH DE number 7660124 (Why is no real title available?)
- On the universality of the volatility formation process: when machine learning and rough volatility agree
- Unrestricted, restricted, and regularized models for forecasting multivariate volatility
- Nonparametric volatility prediction
- Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model
- Stochastic online convex optimization. Application to probabilistic time series forecasting
- Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
- Online learning of time-varying stochastic factor structure by variational sequential Bayesian factor analysis
- Capturing measurement error bias in volatility forecasting by realized GARCH models
- Risk Measure Inference
- Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios
- Coupled GARCH(1,1) model
- Forecasting realised volatility using ARFIMA and HAR models
- Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crisis
- Testing the predictive ability of corridor implied volatility under GARCH models
- Estimation and decomposition of food price inflation risk
- Optimal estimating function for weak location‐scale dynamic models
- Using proxies to improve forecast evaluation
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