Pages that link to "Item:Q3646983"

The following pages link to Evaluating Volatility and Correlation Forecasts (Q3646983):

Displaying 32 items.

• Consistent ranking of volatility models (Q292007) (← links)
• Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (Q494402) (← links)
• On loss functions and ranking forecasting performances of multivariate volatility models (Q528161) (← links)
• Data-based ranking of realised volatility estimators (Q530606) (← links)
• Volatility forecast comparison using imperfect volatility proxies (Q737280) (← links)
• An integrated framework for visualizing and forecasting realized covariance matrices (Q825351) (← links)
• Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks (Q1623507) (← links)
• Robust ranking of multivariate GARCH models by problem dimension (Q1623519) (← links)
• Variance clustering improved dynamic conditional correlation MGARCH estimators (Q1623552) (← links)
• The uncertainty of conditional returns, volatilities and correlations in DCC models (Q1659110) (← links)
• Dynamic hedging with futures: a copula-based GARCH model with high-frequency data (Q1710582) (← links)
• Dynamic semiparametric models for expected shortfall (and value-at-risk) (Q2000869) (← links)
• Non-parametric news impact curve: a variational approach (Q2156537) (← links)
• Forecasting the volatility of crude oil futures using intraday data (Q2256329) (← links)
• Improving forecasts with the co-range dynamic conditional correlation model (Q2338532) (← links)
• Testing the predictive ability of corridor implied volatility under GARCH models (Q2419785) (← links)
• High-dimensional covariance forecasting for short intra-day horizons (Q3064018) (← links)
• DYNAMIC ASSET CORRELATIONS BASED ON VINES (Q4629569) (← links)
• ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR (Q4979934) (← links)
• Evaluation of volatility predictions in a VaR framework (Q5001165) (← links)
• A multivariate volatility vine copula model (Q5034252) (← links)
• High-dimensional realized covariance estimation: a parametric approach (Q5051983) (← links)
• A new volatility model: GQARCH‐ItÔ model (Q5095287) (← links)
• A closed-form formula characterization of the Epps effect (Q5121493) (← links)
• Volatility Forecasts and Value at Risk Evaluation for the MSCI North America Index (Q5445878) (← links)
• Proximity-Structured Multivariate Volatility Models (Q5863553) (← links)
• (Q5879918) (← links)
• Forecast the role of GCC financial stress on oil market and GCC financial markets using convolutional neural networks (Q6131009) (← links)
• Using proxies to improve forecast evaluation (Q6179125) (← links)
• Integrated variance of irregularly spaced high-frequency data: a state space approach based on pre-averaging (Q6553232) (← links)
• Long and short-run dynamics in realized covariance matrices: a robust MIDAS approach (Q6615798) (← links)
• A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics (Q6617813) (← links)