scientific article; zbMATH DE number 7292288
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Publication:5143373
DOI10.6186/IJIMS.201912_30(4).0001zbMath1456.62227MaRDI QIDQ5143373
Shi Yafeng, Ying Tingting, Yanlong Shi, Zhu Nenghui, Peng Xun, Yan Ju
Publication date: 11 January 2021
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
combining forecastsimplied volatilityrealized volatilityvolatility forecastsforecasting competitions
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- Realized volatility forecasting and market microstructure noise
- Volatility forecast comparison using imperfect volatility proxies
- Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns
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