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Citations for "A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?"

by Asger Lunde & Peter Reinhard Hansen

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  1. Audrino, Francesco & Knaus, Simon, 2012. "Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science 1224, University of St. Gallen, School of Economics and Political Science.
  2. Rombouts, Jeroen & Stentoft, Lars & Violante, Franceso, 2014. "The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(1), pages 78-98.
  3. Sébastien Laurent & Jeroen Rombouts & Francesco Violente, 2009. "On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models," CIRANO Working Papers, CIRANO 2009s-45, CIRANO.
  4. Ghysels, Eric & Sohn, Bumjean, 2009. "Which power variation predicts volatility well?," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(4), pages 686-700, September.
  5. Mapa, Dennis S., 2003. "A Range-Based GARCH Model for Forecasting Volatility," MPRA Paper 21323, University Library of Munich, Germany.
  6. David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," Working Papers in Economics, University of Canterbury, Department of Economics and Finance 10/26, University of Canterbury, Department of Economics and Finance.
  7. Carles Bretó & Helena Veiga, 2011. "Forecasting volatility: does continuous time do better than discrete time?," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws112518, Universidad Carlos III, Departamento de Estadística y Econometría.
  8. Jui-Cheng Hung & Ren-Xi Ni & Matthew C. Chang, 2009. "The Information Contents of VIX Index and Range-based Volatility on Volatility Forecasting Performance of S&P 500," Economics Bulletin, AccessEcon, vol. 29(4), pages 2592-2604.
  9. Radchenko, Stanislav, 2005. "Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases," Energy Economics, Elsevier, Elsevier, vol. 27(5), pages 708-730, September.
  10. Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research 1999, Harvard - Institute of Economic Research.
  11. Lanne, Markku & Luoto, Jani, 2007. "Robustness of the Risk-Return Relationship in the U.S. Stock Market," MPRA Paper 3879, University Library of Munich, Germany.
  12. Shynkevich, Andrei, 2013. "Time-series momentum as an intra- and inter-industry effect: Implications for market efficiency," Journal of Economics and Business, Elsevier, Elsevier, vol. 69(C), pages 64-85.
  13. Stavros Degiannakis & Evdokia Xekalaki, 2007. "Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(2), pages 149-171.
  14. Takahashi, Makoto & Omori, Yasuhiro & Watanabe, Toshiaki, 2009. "Estimating stochastic volatility models using daily returns and realized volatility simultaneously," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 53(6), pages 2404-2426, April.
  15. Conrad, Christian & Karanasos, Menelaos & Zeng, Ning, 2011. "Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(1), pages 147-159, January.
  16. Omid Sabbaghi, 2011. "The behavior of green exchange-traded funds," Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 37(5), pages 426-441, May.
  17. David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico 2014-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  18. Amélie Charles, 2010. "The day-of-the week effects on the volatility: The role of the asymmetry," Post-Print, HAL hal-00771136, HAL.
  19. Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori, 2014. "Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-921, CIRJE, Faculty of Economics, University of Tokyo.
  20. Chung, Sang-Kuck, 2009. "Bivariate mixed normal GARCH models and out-of-sample hedge performances," Finance Research Letters, Elsevier, Elsevier, vol. 6(3), pages 130-137, September.
  21. Chrétien, Stéphane & Coggins, Frank, 2010. "Performance and conservatism of monthly FHS VaR: An international investigation," International Review of Financial Analysis, Elsevier, Elsevier, vol. 19(5), pages 323-333, December.
  22. Stavros Degiannakis & Christos Floros & Alexandra Livada, 2012. "Evaluating value-at-risk models before and after the financial crisis of 2008: International evidence," Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 38(3), pages 436-452, March.
  23. Ahoniemi, Katja & Lanne, Markku, 2010. "Realized volatility and overnight returns," Research Discussion Papers, Bank of Finland 19/2010, Bank of Finland.
  24. Chen, Wang & Wei, Yu & Lang, Qiaoqi & Lin, Yu & Liu, Maojuan, 2014. "Financial market volatility and contagion effect: A copula–multifractal volatility approach," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 398(C), pages 289-300.
  25. Stavros Degiannakis, 2004. "Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(18), pages 1333-1342.
  26. Rahman, Sajjadur & Serletis, Apostolos, 2009. "The effects of exchange rate uncertainty on exports," Journal of Macroeconomics, Elsevier, Elsevier, vol. 31(3), pages 500-507, September.
  27. Smith, Daniel R., 2007. "Conditional coskewness and asset pricing," Journal of Empirical Finance, Elsevier, Elsevier, vol. 14(1), pages 91-119, January.
  28. Francesco Audrino & Peter Bühlmann, 2007. "Splines for Financial Volatility," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen 2007-11, Department of Economics, University of St. Gallen.
  29. Luger, Richard, 2012. "Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(11), pages 3198-3211.
  30. Gozgor, Giray & Nokay, Pinar, 2011. "Comparing forecast performances among volatility estimation methods in the pricing of european type currency options of USD-TL and Euro-TL," MPRA Paper 34369, University Library of Munich, Germany.
  31. Makoto Takahashi & Yasuhiro Omori & Toshiaki Watanabe, 2007. "Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously ( Revised in March 2008; Published in "Computational Statistics and Data Analysis", 53-6, 2," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo CARF-F-108, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  32. Christian T. Brownlees & Giampiero Gallo, 2008. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" wp2008_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  33. Celso Brunetti & Roberto S. Mariano & Chiara Scotti & Augustine H.H. Tan, 2007. "Markov switching GARCH models of currency turmoil in southeast Asia," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 889, Board of Governors of the Federal Reserve System (U.S.).
  34. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models : from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
  35. Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013. "Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence," International Review of Financial Analysis, Elsevier, Elsevier, vol. 27(C), pages 21-33.
  36. Olivier Damette & Stéphane Goutte, 2014. "Tobin tax and trading volume tightening: a reassessment," Working Papers, HAL halshs-00926805, HAL.
  37. Guidi, Francesco, 2008. "Volatility and Long Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK," MPRA Paper 11535, University Library of Munich, Germany.
  38. Shcherba, Alexandr, 2011. "Comparison of VaR estimation methods for different forecasting samples for Russian stocks," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 24(4), pages 58-70.
  39. repec:hal:journl:halshs-00259225 is not listed on IDEAS
  40. MArcelo Carvalho & MArco Aurelio Freire & Marcelo Cunha Medeiros & Leonardo Souza, 2006. "Modeling and forecasting the volatility of Brazilian asset returns," Textos para discussão, Department of Economics PUC-Rio (Brazil) 530, Department of Economics PUC-Rio (Brazil).
  41. Lanne, Markku & Ahoniemi, Katja, 2008. "Implied Volatility with Time-Varying Regime Probabilities," MPRA Paper 23721, University Library of Munich, Germany.
  42. Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch Small und Mid Caps?," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim 05-10, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  43. Roxana Halbleib & Valeri Voev, 2012. "Forecasting Covariance Matrices: A Mixed Frequency Approach," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz 2012-30, Department of Economics, University of Konstanz.
  44. Thomas Lee & John Zyren, 2007. "Volatility Relationship between Crude Oil and Petroleum Products," Atlantic Economic Journal, International Atlantic Economic Society, International Atlantic Economic Society, vol. 35(1), pages 97-112, March.
  45. Andrew Patton, 2006. "Volatility Forecast Comparison using Imperfect Volatility Proxies," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 175, Quantitative Finance Research Centre, University of Technology, Sydney.
  46. Oleg Korenok & Stanislav Radchenko, 2005. "The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications," Econometrics, EconWPA 0508015, EconWPA.
  47. BAUWENS, Luc & SUCARRAT, Genaro, . "General-to-specific modelling of exchange rate volatility: a forecast evaluation," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -2234, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  48. Todd, Prono, 2010. "Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper 20034, University Library of Munich, Germany.
  49. Hsu, Po-Hsuan & Hsu, Yu-Chin & Kuan, Chung-Ming, 2010. "Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(3), pages 471-484, June.
  50. Christian T. Brownlees & Giampiero Gallo, 2007. "Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" wp2007_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  51. ERIC HILLEBRAND & MArcelo Cunha Medeiros, 2010. "Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility," Textos para discussão, Department of Economics PUC-Rio (Brazil) 578, Department of Economics PUC-Rio (Brazil).
  52. Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2013. "On the Benefits of Equicorrelation for Portfolio Allocation," NCER Working Paper Series, National Centre for Econometric Research 99, National Centre for Econometric Research.
  53. Lars Stentoft, 2008. "Option Pricing using Realized Volatility," CREATES Research Papers 2008-13, School of Economics and Management, University of Aarhus.
  54. Lin Zhao & Sweder van Wijnbergen, . "A Real Option Perspective on Valuing Gas Fields," Tinbergen Institute Discussion Papers, Tinbergen Institute 13-126/VI/DSF60, Tinbergen Institute.
  55. Clements, A. & Silvennoinen, A., 2013. "Volatility timing: How best to forecast portfolio exposures," Journal of Empirical Finance, Elsevier, Elsevier, vol. 24(C), pages 108-115.
  56. Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2013. "Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?," SFB 649 Discussion Papers SFB649DP2013-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  57. McMillan, David G., 2009. "The confusing time-series behaviour of real exchange rates: Are asymmetries important?," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 19(4), pages 692-711, October.
  58. Apostolos Serletis & Sajjadur Rahman, 2009. "The Output Effects of Money Growth Uncertainty: Evidence from a Multivariate GARCH-in-Mean VAR," Open Economies Review, Springer, Springer, vol. 20(5), pages 607-630, November.
  59. Rabeh Khalfaoui & Mohammed Boutahar, 2012. "Portfolio Risk Evaluation An Approach Based on Dynamic Conditional Correlations Models and Wavelet Multi-Resolution Analysis," AMSE Working Papers 1208, Aix-Marseille School of Economics, Marseille, France.
  60. Christian Conrad, 2007. "Non-negativity Conditions for the Hyperbolic GARCH Model," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 07-162, KOF Swiss Economic Institute, ETH Zurich.
  61. Aurea Grané & Helena Veiga, 2010. "Outliers in Garch models and the estimation of risk measures," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws100502, Universidad Carlos III, Departamento de Estadística y Econometría.
  62. Hartwell , Christopher A., 2014. "The impact of institutional volatility on financial volatility in transition economies: a GARCH family approach," BOFIT Discussion Papers, Bank of Finland, Institute for Economies in Transition 6/2014, Bank of Finland, Institute for Economies in Transition.
  63. Köksal, Bülent, 2009. "A Comparison of Conditional Volatility Estimators for the ISE National 100 Index Returns," MPRA Paper 30510, University Library of Munich, Germany.
  64. Rossignolo, Adrián F. & Fethi, Meryem Duygun & Shaban, Mohamed, 2013. "Market crises and Basel capital requirements: Could Basel III have been different? Evidence from Portugal, Ireland, Greece and Spain (PIGS)," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(5), pages 1323-1339.
  65. Siem Jan Koopman & Borus Jungbacker & Eugenie Hol, 2004. "Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements," Tinbergen Institute Discussion Papers, Tinbergen Institute 04-016/4, Tinbergen Institute.
  66. Todd E. Clark & Francesco Ravazzolo, 2012. "The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility," Working Paper, Norges Bank 2012/09, Norges Bank.
  67. Andrew Gordon Wilson & Zoubin Ghahramani, 2010. "Copula Processes," Papers 1006.1350, arXiv.org, revised Jun 2010.
  68. Massimiliano Caporin & Michael McAleer, 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Working Papers in Economics, University of Canterbury, Department of Economics and Finance 11/23, University of Canterbury, Department of Economics and Finance.
  69. Cordis, Adriana S. & Kirby, Chris, 2014. "Discrete stochastic autoregressive volatility," Journal of Banking & Finance, Elsevier, Elsevier, vol. 43(C), pages 160-178.
  70. Wong, Woon K. & Tu, Anthony H., 2009. "Market imperfections and the information content of implied and realized volatility," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 17(1), pages 58-79, January.
  71. Simone Bianco & Roberto Ren\'o, 2006. "Unexpected volatility and intraday serial correlation," Papers physics/0610023, arXiv.org.
  72. Masato Ubukata & Toshiaki Watanabe, 2013. "Pricing Nikkei 225 Options Using Realized Volatility," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University gd12-273, Institute of Economic Research, Hitotsubashi University.
  73. Liu, Hung-Chun & Chiang, Shu-Mei & Cheng, Nick Ying-Pin, 2012. "Forecasting the volatility of S&P depositary receipts using GARCH-type models under intraday range-based and return-based proxy measures," International Review of Economics & Finance, Elsevier, Elsevier, vol. 22(1), pages 78-91.
  74. Shynkevich, Andrei, 2012. "Short-term predictability of equity returns along two style dimensions," Journal of Empirical Finance, Elsevier, Elsevier, vol. 19(5), pages 675-685.
  75. Prat, Georges, 2013. "Equity risk premium and time horizon: What do the U.S. secular data say?," Economic Modelling, Elsevier, Elsevier, vol. 34(C), pages 76-88.
  76. Sheppard, Kevin & Cappiello, Lorenzo & Engle, Robert F., 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series, European Central Bank 0204, European Central Bank.
  77. Massimiliano Marzo & Paolo Zagaglia, 2010. "Volatility forecasting for crude oil futures," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(16), pages 1587-1599.
  78. Ghorbel, Ahmed & Trabelsi, Abdelwahed, 2007. "Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation," MPRA Paper 3963, University Library of Munich, Germany.
  79. Caporin, M. & McAleer, M.J., 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute EI2012-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  80. Mohammadi, Hassan & Su, Lixian, 2010. "International evidence on crude oil price dynamics: Applications of ARIMA-GARCH models," Energy Economics, Elsevier, Elsevier, vol. 32(5), pages 1001-1008, September.
  81. Wei, Yu & Chen, Wang & Lin, Yu, 2013. "Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theory," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 392(9), pages 2163-2174.
  82. Essaddam, Naceur & Karagianis, John M., 2014. "Terrorism, country attributes, and the volatility of stock returns," Research in International Business and Finance, Elsevier, Elsevier, vol. 31(C), pages 87-100.
  83. Amélie Charles & Olivier Darné, 2014. "Volatility persistence in crude oil markets," Post-Print, HAL hal-00940312, HAL.
  84. Carluccio Bianchi & Alessandro Carta & Dean Fantazzini & Maria Elena De Giuli & Mario Maggi, 2010. "A copula-VAR-X approach for industrial production modelling and forecasting," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 42(25), pages 3267-3277.
  85. Su, Jung-Bin & Hung, Jui-Cheng, 2011. "Empirical analysis of jump dynamics, heavy-tails and skewness on value-at-risk estimation," Economic Modelling, Elsevier, Elsevier, vol. 28(3), pages 1117-1130, May.
  86. Dupoyet, B. & Fiebig, H.R. & Musgrove, D.P., 2011. "Replicating financial market dynamics with a simple self-organized critical lattice model," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 390(18), pages 3120-3135.
  87. Weiß, Gregor N.F., 2011. "Are Copula-GoF-tests of any practical use? Empirical evidence for stocks, commodities and FX futures," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 51(2), pages 173-188, May.
  88. Bouezmarni, Taoufik & Rombouts, Jeroen V.K., 2010. "Nonparametric density estimation for positive time series," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 54(2), pages 245-261, February.
  89. Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer, Springer, vol. 10(3), pages 169-196, September.
  90. Dupoyet, B. & Fiebig, H.R. & Musgrove, D.P., 2012. "Arbitrage-free self-organizing markets with GARCH properties: Generating them in the lab with a lattice model," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 391(18), pages 4350-4363.
  91. Politis, Dimitris N & Thomakos, Dimitrios D, 2008. "NoVaS Transformations: Flexible Inference for Volatility Forecasting," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego qt982208kx, Department of Economics, UC San Diego.
  92. Rubia, Antonio & Sanchis-Marco, Lidia, 2013. "On downside risk predictability through liquidity and trading activity: A dynamic quantile approach," International Journal of Forecasting, Elsevier, Elsevier, vol. 29(1), pages 202-219.
  93. David E. Rapach & Jack K. Strauss, 2008. "Structural breaks and GARCH models of exchange rate volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 23(1), pages 65-90.
  94. Xekalaki, Evdokia & Degiannakis, Stavros, 2005. "Evaluating volatility forecasts in option pricing in the context of a simulated options market," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 49(2), pages 611-629, April.
  95. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Testing the significance of calendar effects," Working Paper, Federal Reserve Bank of Atlanta 2005-02, Federal Reserve Bank of Atlanta.
  96. Andriosopoulos, Kostas & Doumpos, Michael & Papapostolou, Nikos C. & Pouliasis, Panos K., 2013. "Portfolio optimization and index tracking for the shipping stock and freight markets using evolutionary algorithms," Transportation Research Part E: Logistics and Transportation Review, Elsevier, Elsevier, vol. 52(C), pages 16-34.
  97. Sucarrat, Genaro, 2009. "Forecast Evaluation of Explanatory Models of Financial Variability," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, Kiel Institute for the World Economy, vol. 3(8), pages 1-33.
  98. Talpsepp, Tõnn & Rieger, Marc Oliver, 2010. "Explaining asymmetric volatility around the world," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(5), pages 938-956, December.
  99. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series, Oxford Financial Research Centre 2005fe08, Oxford Financial Research Centre.
  100. Benjamin R. Auer & Horst Rottmann, 2013. "Is there a Friday the 13th Effect in Emerging Asian Stock Markets?," CESifo Working Paper Series 4409, CESifo Group Munich.
  101. Peter Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the Best Volatility Models:The Model Confidence Set Approach," Working Papers, Brown University, Department of Economics 2003-05, Brown University, Department of Economics.
  102. Rizvi, Syed Kumail Abbas & Naqvi, Bushra, 2009. "Inflation Volatility: An Asian Perspective," MPRA Paper 19489, University Library of Munich, Germany.
  103. Andrew Gordon Wilson & David A. Knowles & Zoubin Ghahramani, 2011. "Gaussian Process Regression Networks," Papers 1110.4411, arXiv.org.
  104. Huang, Alex YiHou & Peng, Sheng-Pen & Li, Fangjhy & Ke, Ching-Jie, 2011. "Volatility forecasting of exchange rate by quantile regression," International Review of Economics & Finance, Elsevier, Elsevier, vol. 20(4), pages 591-606, October.
  105. Shaun K. Roache & Marco Rossi, 2009. "The Effects of Economic Newson Commodity Prices," IMF Working Papers, International Monetary Fund 09/140, International Monetary Fund.
  106. Tetsuya Takaishi, 2013. "Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm," Papers 1305.3184, arXiv.org.
  107. Elena Andreou & Constantinos Kourouyiannis & Andros Kourtellos, 2012. "Volatility Forecast Combinations using Asymmetric Loss Functions," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics 07-2012, University of Cyprus Department of Economics.
  108. Yusaku Nishimura & Ming Men, 2010. "The paradox of China's international stock market co-movement: Evidence from volatility spillover effects between China and G5 stock markets," Journal of Chinese Economic and Foreign Trade Studies, Emerald Group Publishing, Emerald Group Publishing, vol. 3(3), pages 235-253, December.
  109. Ansgar Belke & Christian Gokus, 2011. "Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis – Evidence from Major Financial Institutions," Ruhr Economic Papers, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen 0243, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  110. Michał Adam & Piotr Bańbuła & Michał Markun, 2013. "Dependence and contagion between asset prices in Poland and abroad. A copula approach," National Bank of Poland Working Papers, National Bank of Poland, Economic Institute 169, National Bank of Poland, Economic Institute.
  111. Peter Hansen & Asger Lunde, 2003. "Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models," Working Papers, Brown University, Department of Economics 2003-01, Brown University, Department of Economics.
  112. Prono, Todd, 2011. "When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models," MPRA Paper 33593, University Library of Munich, Germany.
  113. Sabbaghi, Omid & Sabbaghi, Navid, 2011. "Carbon Financial Instruments, thin trading, and volatility: Evidence from the Chicago Climate Exchange," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 51(4), pages 399-407.
  114. McMillan, David G. & Kambouroudis, Dimos, 2009. "Are RiskMetrics forecasts good enough? Evidence from 31 stock markets," International Review of Financial Analysis, Elsevier, Elsevier, vol. 18(3), pages 117-124, June.
  115. Cheng, Wan-Hsiu & Hung, Jui-Cheng, 2011. "Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(1), pages 160-173, January.
  116. Ardliansyah, Rifqi, 2012. "Stock Market Integration and International Portfolio Diversification between U.S. and ASEAN Equity Markets," MPRA Paper 41958, University Library of Munich, Germany.
  117. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," PIER Working Paper Archive 03-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Sep 2003.
  118. Artis, Michael J & Clavel, Jose Garcia & Hoffmann, Mathias & Nachane, Dilip M, 2007. "Analyzing Strongly Periodic Series in the Frequency Domain: A Comparison of Alternative Approaches with Applications," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6517, C.E.P.R. Discussion Papers.
  119. Shinichiro Shirota & Takayuki Hizu & Yasuhiro Omori, 2013. "Realized Stochastic Volatility with Leverage and Long Memory," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-880, CIRJE, Faculty of Economics, University of Tokyo.
  120. Mapa, Dennis S., 2004. "A Forecast Comparison of Financial Volatility Models: GARCH (1,1) is not Enough," MPRA Paper 21028, University Library of Munich, Germany.
  121. Ting Ting Chen & Tetsuya Takaishi, 2013. "Empirical Study of the GARCH model with Rational Errors," Papers 1312.7057, arXiv.org.
  122. Guillermo Benavides & Carlos Capistrán, 2009. "Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts," Working Papers, Banco de México 2009-01, Banco de México.
  123. Klar, B. & Lindner, F. & Meintanis, S.G., 2012. "Specification tests for the error distribution in GARCH models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(11), pages 3587-3598.
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