Volatility forecasting of strategically linked commodity ETFs: gold-silver
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Cites work
- Exploiting the errors: a simple approach for improved volatility forecasting
- Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence
- Forecasting multivariate realized stock market volatility
- Forecasting the volatility of crude oil futures using intraday data
- Forecasting with factor-augmented regression: a frequentist model averaging approach
- Jump-robust volatility estimation using nearest neighbor truncation
- Measuring downside risk -- realized semivariance
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- News, volatility and jumps: the case of natural gas futures
- Precious metals under the microscope: a high-frequency analysis
- Realized kernels in practise : trades and quotes
- The Distribution of Realized Exchange Rate Volatility
- The Model Confidence Set
- Using information quality for volatility model combinations
- Volatility forecast comparison using imperfect volatility proxies
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