Pages that link to "Item:Q737280"
From MaRDI portal
The following pages link to Volatility forecast comparison using imperfect volatility proxies (Q737280):
Displaying 50 items.
- Estimating stochastic volatility: the rough side to equity returns (Q2292049) (← links)
- Accelerating score-driven time series models (Q2330723) (← links)
- Improving forecasts with the co-range dynamic conditional correlation model (Q2338532) (← links)
- Financial clustering in presence of dominant markets (Q2418401) (← links)
- Testing the predictive ability of corridor implied volatility under GARCH models (Q2419785) (← links)
- A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors (Q2442401) (← links)
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures (Q2511805) (← links)
- Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models (Q2629585) (← links)
- Sequential conditional correlations: inference and evaluation (Q2630121) (← links)
- Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages (Q2661315) (← links)
- Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling (Q2663482) (← links)
- A simple joint model for returns, volatility and volatility of volatility (Q2682964) (← links)
- Local scale invariance and robustness of proper scoring rules (Q2684694) (← links)
- Testing for misspecification in the short-run component of GARCH-type models (Q2691778) (← links)
- Simple factor realized stochastic volatility models (Q2693373) (← links)
- Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data (Q2700531) (← links)
- Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model (Q2700553) (← links)
- Realized Volatility: A Review (Q3539862) (← links)
- Evaluating Volatility and Correlation Forecasts (Q3646983) (← links)
- Volatility forecasting of strategically linked commodity ETFs: gold-silver (Q4554245) (← links)
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns (Q4554429) (← links)
- Online learning of time-varying stochastic factor structure by variational sequential Bayesian factor analysis (Q4555142) (← links)
- Multivariate geometric expectiles (Q4583625) (← links)
- Using information quality for volatility model combinations (Q4683043) (← links)
- Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics (Q4957245) (← links)
- ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR (Q4979934) (← links)
- A neural network enhanced volatility component model (Q4991057) (← links)
- Dynamic principal component CAW models for high-dimensional realized covariance matrices (Q4991059) (← links)
- Time-varying forecasts by variational approximation of sequential Bayesian inference (Q5001109) (← links)
- Evaluation of volatility predictions in a VaR framework (Q5001165) (← links)
- 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 (Q5011476) (← links)
- Periodic autoregressive conditional duration (Q5030949) (← links)
- Modeling and forecasting realized covariance matrices with accounting for leverage (Q5034242) (← links)
- Forecasting with GARCH models under structural breaks: An approach based on combinations across estimation windows (Q5083880) (← links)
- A generalized heterogeneous autoregressive model using market information (Q5092664) (← links)
- A new volatility model: GQARCH‐ItÔ model (Q5095287) (← links)
- Modeling the Variance of Return Intervals Toward Volatility Prediction (Q5121008) (← links)
- Macroeconomic fundamentals, jump dynamics and expected volatility (Q5139235) (← links)
- (Q5143373) (← links)
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model (Q5212061) (← links)
- Forecasting realised volatility using ARFIMA and HAR models (Q5235453) (← links)
- Volatility prediction based on scheduled macroeconomic announcements (Q5256378) (← links)
- VOLATILITY INFERENCE AND RETURN DEPENDENCIES IN STOCHASTIC VOLATILITY MODELS (Q5377003) (← links)
- Data cloning estimation for asymmetric stochastic volatility models (Q5861027) (← links)
- (Q5879918) (← links)
- On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices (Q6064131) (← links)
- Volatility measurement with pockets of extreme return persistence (Q6090561) (← links)
- Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models (Q6090562) (← links)
- Score-driven models for realized volatility (Q6090596) (← links)
- A GMM approach to estimate the roughness of stochastic volatility (Q6108276) (← links)
