IDEAS home Printed from https://ideas.repec.org/r/eee/jbfina/v20y1996i3p419-438.html
   My bibliography  Save this item

An evaluation of volatility forecasting techniques

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Antonio Rubia & Trino-Manuel Ñíguez, 2006. "Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(6), pages 439-458.
  2. repec:lan:wpaper:3046 is not listed on IDEAS
  3. Wang, Yudong & Wu, Chongfeng, 2012. "Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?," Energy Economics, Elsevier, vol. 34(6), pages 2167-2181.
  4. Jui-Cheng Hung & Tien-Wei Lou & Yi-Hsien Wang & Jun-De Lee, 2013. "Evaluating and improving GARCH-based volatility forecasts with range-based estimators," Applied Economics, Taylor & Francis Journals, vol. 45(28), pages 4041-4049, October.
  5. Athanasia Gavala & Nikolay Gospodinov & Deming Jiang, 2006. "Forecasting volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(6), pages 381-400.
  6. Hartwell, Christopher A., 2014. "The impact of institutional volatility on financial volatility in transition economies : a GARCH family approach," BOFIT Discussion Papers 6/2014, Bank of Finland, Institute for Economies in Transition.
  7. Taufiq Choudhry & Hao Wu, 2008. "Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(8), pages 670-689.
  8. Riccardo De Blasis & Filippo Petroni, 2021. "Price Leadership and Volatility Linkages between Oil and Renewable Energy Firms during the COVID-19 Pandemic," Energies, MDPI, vol. 14(9), pages 1-16, May.
  9. Lux, Thomas & Kaizoji, Taisei, 2007. "Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1808-1843, June.
  10. DAVID G. McMILLAN & ALAN E. H. SPEIGHT, 2007. "Value‐at‐Risk in Emerging Equity Markets: Comparative Evidence for Symmetric, Asymmetric, and Long‐Memory GARCH Models," International Review of Finance, International Review of Finance Ltd., vol. 7(1‐2), pages 1-19, March.
  11. Chuang, Wen-I & Huang, Teng-Ching & Lin, Bing-Huei, 2013. "Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 168-187.
  12. D’Amico, Guglielmo & Gismondi, Fulvio & Petroni, Filippo & Prattico, Flavio, 2019. "Stock market daily volatility and information measures of predictability," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 518(C), pages 22-29.
  13. Raunig, Burkhard, 2006. "The longer-horizon predictability of German stock market volatility," International Journal of Forecasting, Elsevier, vol. 22(2), pages 363-372.
  14. Covarrubias, Guillermo & Ewing, Bradley T. & Hein, Scott E. & Thompson, Mark A., 2006. "Modeling volatility changes in the 10-year Treasury," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 369(2), pages 737-744.
  15. Hassan Tanha & Michael Dempsey, 2016. "The Information Content of ASX SPI 200 Implied Volatility," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-14, March.
  16. Shang, Han Lin & Kearney, Fearghal, 2022. "Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1025-1049.
  17. Nomikos, Nikos K. & Pouliasis, Panos K., 2011. "Forecasting petroleum futures markets volatility: The role of regimes and market conditions," Energy Economics, Elsevier, vol. 33(2), pages 321-337, March.
  18. Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.
  19. Zouhaier Dhifaoui, 2022. "Determinism and Non-linear Behaviour of Log-return and Conditional Volatility: Empirical Analysis for 26 Stock Markets," South Asian Journal of Macroeconomics and Public Finance, , vol. 11(1), pages 69-94, June.
  20. Sadorsky, Perry, 2006. "Modeling and forecasting petroleum futures volatility," Energy Economics, Elsevier, vol. 28(4), pages 467-488, July.
  21. repec:awi:wpaper:0472 is not listed on IDEAS
  22. Robert D. Brooks & Robert W. Faff & Michael D. McKenzie, 1998. "Time†Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques," Australian Journal of Management, Australian School of Business, vol. 23(1), pages 1-22, June.
  23. Torben G. Andersen & Tim Bollerslev, 1997. "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," NBER Working Papers 6023, National Bureau of Economic Research, Inc.
  24. Brooks, Robert D. & Davidson, Sinclair & Faff, Robert W., 1997. "An examination of the effects of major political change on stock market volatility: the South African experience," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(3), pages 255-275, October.
  25. Alessio Brini & Giacomo Toscano, 2024. "SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks," Papers 2401.06249, arXiv.org.
  26. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany.
  27. Raúl de Jesús Gutiérrez & Edgar Ortiz & Oswaldo García Salgado, 2017. "Long-term effects of the asymmetry and persistence of the prediction of volatility: Evidence for the equity markets of Latin America," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1081-1099, Octubre-D.
  28. Sang Hoon Kang & Seong-Min Yoon, 2010. "Sudden Changes and Persistence in Volatility of Korean Equity Sector Returns," Korean Economic Review, Korean Economic Association, vol. 26, pages 431-451.
  29. Liu, Jing & Wei, Yu & Ma, Feng & Wahab, M.I.M., 2017. "Forecasting the realized range-based volatility using dynamic model averaging approach," Economic Modelling, Elsevier, vol. 61(C), pages 12-26.
  30. repec:lan:wpaper:3324 is not listed on IDEAS
  31. Matei, Marius, 2010. "Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes," Working Papers of Institute for Economic Forecasting 100201, Institute for Economic Forecasting.
  32. I.-Yuan Chuang & Jin-Ray Lu & Pei-Hsuan Lee, 2007. "Forecasting volatility in the financial markets: a comparison of alternative distributional assumptions," Applied Financial Economics, Taylor & Francis Journals, vol. 17(13), pages 1051-1060.
  33. Kambouroudis, Dimos S. & McMillan, David G., 2015. "Is there an ideal in-sample length for forecasting volatility?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 114-137.
  34. G.R. Pasha & Tahira Qasim & Muhammad Aslam, 2007. "Estimating and Forecasting Volatility of Financial Time Series in Pakistan with GARCH-type Models," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 12(2), pages 115-149, Jul-Dec.
  35. Liu, Jing & Ma, Feng & Yang, Ke & Zhang, Yaojie, 2018. "Forecasting the oil futures price volatility: Large jumps and small jumps," Energy Economics, Elsevier, vol. 72(C), pages 321-330.
  36. Burkhard Raunig, 2003. "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German," Working Papers 86, Oesterreichische Nationalbank (Austrian Central Bank).
  37. Rossi, E. & Spazzini, F., 2010. "Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2786-2800, November.
  38. Zhangxin (Frank) Liu & Michael J. O'Neill, 2018. "Partial moment volatility indices," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(1), pages 195-215, March.
  39. repec:zbw:bofitp:2014_006 is not listed on IDEAS
  40. Patricia Fraser & Nicolaas Groenewold, 2000. "The effect of exchange rate shocks on the volatility of Australian sector excess returns: a note," Applied Economics Letters, Taylor & Francis Journals, vol. 7(2), pages 77-81.
  41. Andreas Hadjixenophontos & Christos Christodoulou-Volos, 2017. "Predictability of Foreign Exchange Rates with the AR(1) Model," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(4), pages 1-3.
  42. Ercan Balaban & Asli Bayar & Ozgur Berk Kan, 2001. "Stock returns, seasonality and asymmetric conditional volatility in world equity markets," Applied Economics Letters, Taylor & Francis Journals, vol. 8(4), pages 263-268.
  43. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2014. "Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 101-119.
  44. Zabiulla, 2015. "Volatility Clustering and Leverage Effect in the Indian Forex Market," Global Business Review, International Management Institute, vol. 16(5), pages 785-799, October.
  45. Bali, Turan G. & Weinbaum, David, 2007. "A conditional extreme value volatility estimator based on high-frequency returns," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 361-397, February.
  46. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
  47. Trang Nha Le & Makoto Kakinaka, 2010. "International Transmission Of Stock Returns: Mean And Volatility Spillover Effects In Indonesia And Malaysia," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(1), pages 115-131.
  48. Vasiliki D. Skintzi & Spyros Xanthopoulos-Sisinis, 2007. "Evaluation of correlation forecasting models for risk management," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(7), pages 497-526.
  49. Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer;Spanish Economic Association, vol. 10(3), pages 169-196, September.
  50. Rodrigo Gómez Monge & Evaristo Galeana Figueroa & Víctor G. Alfaro-García & José M. Merigó & Ronald R. Yager, 2021. "Variances and Logarithmic Aggregation Operators: Extended Tools for Decision-Making Processes," Mathematics, MDPI, vol. 9(16), pages 1-19, August.
  51. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521779654, January.
  52. Roni Bhowmik & Wu Chao & Wang Shouyang & Jewel Roy Kumar, 2017. "A Study on the Volatility of the Bangladesh Stock Market — Based on GARCH Type Models," Journal of Systems Science and Information, De Gruyter, vol. 5(3), pages 193-215, June.
  53. Baruník, Jozef & Malinská, Barbora, 2016. "Forecasting the term structure of crude oil futures prices with neural networks," Applied Energy, Elsevier, vol. 164(C), pages 366-379.
  54. Ke Yan & Xudong Wang & Yang Du & Ning Jin & Haichao Huang & Hangxia Zhou, 2018. "Multi-Step Short-Term Power Consumption Forecasting with a Hybrid Deep Learning Strategy," Energies, MDPI, vol. 11(11), pages 1-15, November.
  55. Mircea ASANDULUI, 2012. "A Multi-Horizon Comparison Of Volatility Forecasts: An Application To Stock Options Traded At Euronext Exchange Amsterdam," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 179-190, December.
  56. Stéphane Yen & Ming-Hsiang Chen, 2010. "Open interest, volume, and volatility: evidence from Taiwan futures markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(2), pages 113-141, April.
  57. Lange, Stephen, 1999. "Modeling asset market volatility in a small market:: Accounting for non-synchronous trading effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(1), pages 1-18, January.
  58. Han Lin Shang & Yang Yang & Fearghal Kearney, 2019. "Intraday forecasts of a volatility index: functional time series methods with dynamic updating," Annals of Operations Research, Springer, vol. 282(1), pages 331-354, November.
  59. Ezzat, Hassan, 2012. "The Application of GARCH and EGARCH in Modeling the Volatility of Daily Stock Returns During Massive Shocks: The Empirical Case of Egypt," MPRA Paper 50530, University Library of Munich, Germany.
  60. Rakesh Kumar & Raj S. Dhankar, 2011. "Non Linearity and Heteroskedasticity Effect on Stock Returns Volatility," Global Business Review, International Management Institute, vol. 12(2), pages 319-329, June.
  61. Farhat Iqbal, 2013. "Robust estimation of the simplified multivariate GARCH model," Empirical Economics, Springer, vol. 44(3), pages 1353-1372, June.
  62. Afees A. Salisu & Ismail O. Fasanya, 2012. "Comparative Performance of Volatility Models for Oil Price," International Journal of Energy Economics and Policy, Econjournals, vol. 2(3), pages 167-183.
  63. Dima Alberg & Haim Shalit & Rami Yosef, 2008. "Estimating stock market volatility using asymmetric GARCH models," Applied Financial Economics, Taylor & Francis Journals, vol. 18(15), pages 1201-1208.
  64. Liu, Min, 2022. "The driving forces of green bond market volatility and the response of the market to the COVID-19 pandemic," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 288-309.
  65. Ercan Balaban & Asli Bayar & Robert Faff, 2006. "Forecasting stock market volatility: Further international evidence," The European Journal of Finance, Taylor & Francis Journals, vol. 12(2), pages 171-188.
  66. Yew-Choe Lum & Sardar M. N. Islam, 2016. "Time Varying Behavior of Share Returns in Australia: 1988–2004," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-14, March.
  67. Mehmet Sahiner, 2022. "Forecasting volatility in Asian financial markets: evidence from recursive and rolling window methods," SN Business & Economics, Springer, vol. 2(10), pages 1-74, October.
  68. Le, Van & Zurbruegg, Ralf, 2010. "The role of trading volume in volatility forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 533-555, December.
  69. Guidi, Francesco, 2010. "Modelling and forecasting volatility of East Asian Newly Industrialized Countries and Japan stock markets with non-linear models," MPRA Paper 19851, University Library of Munich, Germany.
  70. Chiang, Min-Hsien & Huang, Hsin-Yi, 2011. "Stock market momentum, business conditions, and GARCH option pricing models," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 488-505, June.
  71. repec:onb:oenbwp:y::i:86:b:1 is not listed on IDEAS
  72. Eskandar A. Tooma, 2003. "Modeling and Forecasting Egyptian Stock Market Volatility Before and After Price Limits," Working Papers 0310, Economic Research Forum, revised Apr 2003.
  73. Yu, Wayne W. & Lui, Evans C.K. & Wang, Jacqueline W., 2010. "The predictive power of the implied volatility of options traded OTC and on exchanges," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 1-11, January.
  74. Asgharian, Hossein & Sikström, Sverker, 2013. "Predicting Stock Price Volatility by Analyzing Semantic Content in Media," Knut Wicksell Working Paper Series 2013/16, Lund University, Knut Wicksell Centre for Financial Studies.
  75. Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "High-Frequency and Model-Free Volatility Estimators," Working Papers 2009-13, Faculty of Economic Sciences, University of Warsaw.
  76. Sharma, Prateek & Vipul,, 2016. "Forecasting stock market volatility using Realized GARCH model: International evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 222-230.
  77. Suardi, Sandy, 2008. "Are levels effects important in out-of-sample performance of short rate models?," Economics Letters, Elsevier, vol. 99(1), pages 181-184, April.
  78. Trino-Manuel Ñíguez, 2003. "Volatility And Var Forecasting For The Ibex-35 Stock-Return Index Using Figarch-Type Processes And Different Evaluation Criteria," Working Papers. Serie AD 2003-33, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  79. Pedro Correia S. Bezerra & Pedro Henrique M. Albuquerque, 2017. "Volatility forecasting via SVR–GARCH with mixture of Gaussian kernels," Computational Management Science, Springer, vol. 14(2), pages 179-196, April.
  80. Prateek Sharma & Vipul _, 2015. "Forecasting stock index volatility with GARCH models: international evidence," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 32(4), pages 445-463, October.
  81. Victor Bello Accioly & Beatriz Vaz de Melo Mendes, 2016. "Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil," Brazilian Business Review, Fucape Business School, vol. 13(2), pages 1-26, March.
  82. Elena Valentina Țilică, 2021. "Financial Contagion Patterns in Individual Economic Sectors. The Day-of-the-Week Effect from the Polish, Russian and Romanian Markets," JRFM, MDPI, vol. 14(9), pages 1-28, September.
  83. Brooks, C. & Clare, A. D. & Persand, G., 2000. "A word of caution on calculating market-based minimum capital risk requirements," Journal of Banking & Finance, Elsevier, vol. 24(10), pages 1557-1574, October.
  84. Pandey, Ajay, 2003. "Modeling and Forecasting Volatility in Indian Capital Markets," IIMA Working Papers WP2003-08-03, Indian Institute of Management Ahmedabad, Research and Publication Department.
  85. Ezzat, Hassan, 2012. "The Application of GARCH Methods in Modeling Volatility Using Sector Indices from the Egyptian Exchange," MPRA Paper 51584, University Library of Munich, Germany.
  86. Anupam Dutta & Debojyoti Das, 2022. "Forecasting realized volatility: New evidence from time‐varying jumps in VIX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2165-2189, December.
  87. Rakesh Kumar & Raj S. Dhankar, 2010. "Empirical Analysis of Conditional Heteroskedasticity in Time Series of Stock Returns and Asymmetric Effect on Volatility," Global Business Review, International Management Institute, vol. 11(1), pages 21-33, January.
  88. 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.
  89. 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, vol. 22(1), pages 78-91.
  90. Taylor, Nicholas, 2004. "Trading intensity, volatility, and arbitrage activity," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1137-1162, May.
  91. Manh Ha Nguyen & Olivier Darné, 2018. "Forecasting and risk management in the Vietnam Stock Exchange," Working Papers halshs-01679456, HAL.
  92. Gabriela De Raaij & Burkhard Raunig, 2005. "Evaluating density forecasts from models of stock market returns," The European Journal of Finance, Taylor & Francis Journals, vol. 11(2), pages 151-166.
  93. Djahoué Mangblé Gérald, 2018. "Estimating and Forecasting West Africa Stock Market Volatility Using Asymmetric GARCH Models," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(6), pages 1-4.
  94. Twm Evans & David McMillan, 2007. "Volatility forecasts: the role of asymmetric and long-memory dynamics and regional evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1421-1430.
  95. Kanungo, Rama Prasad, 2021. "Uncertainty of M&As under asymmetric estimation," Journal of Business Research, Elsevier, vol. 122(C), pages 774-793.
  96. Stephen L. Lee & Simon Stevenson, 2001. "Time Weighted Portfolio Optimisation," ERES eres2001_207, European Real Estate Society (ERES).
  97. Mircea ASANDULUI, 2012. "On forecasting stock options volatility: evidence from London international financial futures and options exchange," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, vol. 0, pages 505-511, May.
  98. Sauraj Verma, 2021. "Forecasting volatility of crude oil futures using a GARCH–RNN hybrid approach," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 28(2), pages 130-142, April.
  99. Heitham Al-Hajieh & Hashem AlNemer & Timothy Rodgers & Jacek Niklewski, 2015. "Forecasting the Jordanian stock index: modelling asymmetric volatility and distribution effects within a GARCH framework," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 4(2), pages 9-26.
  100. David Walsh & Glenn Yu-Gen Tsou, 1998. "Forecasting index volatility: sampling interval and non-trading effects," Applied Financial Economics, Taylor & Francis Journals, vol. 8(5), pages 477-485.
  101. Neda Todorova, 2012. "Volatility estimators based on daily price ranges versus the realized range," Applied Financial Economics, Taylor & Francis Journals, vol. 22(3), pages 215-229, February.
  102. Shekar Bose & Hafizur Rahman, 2022. "Are News Effects Necessarily Asymmetric? Evidence from Bangladesh Stock Market," SAGE Open, , vol. 12(4), pages 21582440221, October.
  103. Zhuhua Jiang & Walid Mensi & Seong-Min Yoon, 2023. "Risks in Major Cryptocurrency Markets: Modeling the Dual Long Memory Property and Structural Breaks," Sustainability, MDPI, vol. 15(3), pages 1-15, January.
  104. Carol Alexander, 2000. "Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices," ICMA Centre Discussion Papers in Finance icma-dp2000-06, Henley Business School, University of Reading.
  105. Awartani, Basel M.A. & Corradi, Valentina, 2005. "Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries," International Journal of Forecasting, Elsevier, vol. 21(1), pages 167-183.
  106. Elena Valentina Tilica, 2021. "Domestic and Foreign Transmission of the Global Financial Crisis in the Real Economy. The Polish Situation," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 13(1), pages 47-60, June.
  107. Li, Kui-Wai, 2011. "A study on the volatility forecast of the US housing market in the 2008 crisis," MPRA Paper 41033, University Library of Munich, Germany.
  108. Nomikos, Nikos K. & Kyriakou, Ioannis & Papapostolou, Nikos C. & Pouliasis, Panos K., 2013. "Freight options: Price modelling and empirical analysis," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 51(C), pages 82-94.
  109. repec:lan:wpaper:592830 is not listed on IDEAS
  110. Асатуров К.Г. & Теплова Т.В., 2014. "Построение Коэффициентов Хеджирования Для Высоколиквидных Акций Российского Рынка На Основе Моделей Класса Garch," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 50(1), pages 37-54, январь.
  111. Fagiani, Riccardo & Hakvoort, Rudi, 2014. "The role of regulatory uncertainty in certificate markets: A case study of the Swedish/Norwegian market," Energy Policy, Elsevier, vol. 65(C), pages 608-618.
  112. Bentes, Sonia R., 2015. "Forecasting volatility in gold returns under the GARCH, IGARCH and FIGARCH frameworks: New evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 355-364.
  113. Blair, Bevan J. & Poon, Ser-Huang & Taylor, Stephen J., 2001. "Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 5-26, November.
  114. Maghyereh, Aktham I. & Awartani, Basel & Bouri, Elie, 2016. "The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes," Energy Economics, Elsevier, vol. 57(C), pages 78-93.
  115. Michael O'Neill & Gulasekaran Rajaguru, 2020. "A response surface analysis of critical values for the lead‐lag ratio with application to high frequency and non‐synchronous financial data," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3979-3990, December.
  116. Qinkai Chen & Christian-Yann Robert, 2021. "Multivariate Realized Volatility Forecasting with Graph Neural Network," Papers 2112.09015, arXiv.org, revised Dec 2021.
  117. Linlan Xiao, 2013. "Realized volatility forecasting: empirical evidence from stock market indices and exchange rates," Applied Financial Economics, Taylor & Francis Journals, vol. 23(1), pages 57-69, January.
  118. Michael J. O'Neill & Zhangxin Liu & Tom Smith, 2017. "Fund Volatility Index using equity market state prices," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(3), pages 837-853, September.
  119. Balaban, Ercan, 2004. "Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate," Economics Letters, Elsevier, vol. 83(1), pages 99-105, April.
  120. Leandro Maciel, 2012. "A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(3), pages 337-367.
  121. Kent Wang, 2010. "Forecasting volatilities in equity, bond and money markets: A market-based approach," Australian Journal of Management, Australian School of Business, vol. 35(2), pages 165-180, August.
  122. Shiyi Chen & Wolfgang K. Härdle & Kiho Jeong, 2010. "Forecasting volatility with support vector machine-based GARCH model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(4), pages 406-433.
  123. Ewing, Bradley T. & Thompson, Mark A., 2008. "Industrial production, volatility, and the supply chain," International Journal of Production Economics, Elsevier, vol. 115(2), pages 553-558, October.
  124. Byun, Sung Je, 2016. "The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 162-180.
  125. Bley, Jorg, 2011. "Are GCC stock markets predictable?," Emerging Markets Review, Elsevier, vol. 12(3), pages 217-237, September.
  126. Nigel Meade & Gerry Salkin, 2000. "The selection of multinational equity portfolios: forecasting models and estimation risk," The European Journal of Finance, Taylor & Francis Journals, vol. 6(3), pages 259-279.
  127. El Jebari, Ouael & Hakmaoui, Abdelati, 2018. "GARCH Family Models vs EWMA: Which is the Best Model to Forecast Volatility of the Moroccan Stock Exchange Market? || Modelos de la familia GARCH vs EWMA: ¿cuál es el mejor modelo para pronosticar la ," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 26(1), pages 237-249, Diciembre.
  128. Ulu, Yasemin, 2007. "Optimal prediction under LINLIN loss: Empirical evidence," International Journal of Forecasting, Elsevier, vol. 23(4), pages 707-715.
  129. Cabedo Semper, J. David & Moya Clemente, Ismael, 2003. "Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis," European Journal of Operational Research, Elsevier, vol. 150(3), pages 516-528, November.
  130. Missiakoulis, Spyros & Vasiliou, Dimitrios & Eriotis, Nikolaos, 2012. "Forecasting Performance with the Harmonic Mean: Long-Term Investment Horizons in Shanghai Stock Exchange," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 8(1), pages 1-11, May.
  131. Gita Persand & Chris Brooks, 2003. "Volatility forecasting for risk management," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 1-22.
  132. Reschenhofer, Erhard & Mangat, Manveer Kaur & Stark, Thomas, 2020. "Volatility forecasts, proxies and loss functions," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 133-153.
  133. Mayowa Gabriel, AJAO & Mary Ugochukwu, WEMAMBU, 2012. "Volatility Estimation and Stock Price Prediction in the Nigerian Stock Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 3(1), pages 2-14, January.
  134. Shiyi Chen & Kiho Jeong & Wolfgang Härdle, 2008. "Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns," SFB 649 Discussion Papers SFB649DP2008-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  135. Evangelos Drimbetas & Nikolaos Sariannidis & Nicos Porfiris, 2007. "The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 139-148.
  136. Pariyada Sukcharoensin, 2013. "Time-Varying Market, Interest Rate and Exchange Rate Risks of Thai Commercial Banks," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 9(1), pages 25-45.
  137. Hartwell, Christopher A., 2014. "The impact of institutional volatility on financial volatility in transition economies: a GARCH family approach," BOFIT Discussion Papers 6/2014, Bank of Finland Institute for Emerging Economies (BOFIT).
  138. McMillan, David G. & Kambouroudis, Dimos, 2009. "Are RiskMetrics forecasts good enough? Evidence from 31 stock markets," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 117-124, June.
  139. Taylor, Nicholas, 2008. "Can idiosyncratic volatility help forecast stock market volatility?," International Journal of Forecasting, Elsevier, vol. 24(3), pages 462-479.
  140. Walsh, David M. & Walsh, Kathleen D. & Evans, John P., 1998. "Assessing estimation error in a tracking error variance minimisation framework," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 175-192, May.
  141. Balaban, Ercan & Lu, Shan, 2016. "Forecasting the term structure of volatility of crude oil price changes," Economics Letters, Elsevier, vol. 141(C), pages 116-118.
  142. Ra l de Jes s-Guti rrez & Roberto J. Santill n-Salgado, 2019. "Conditional Extreme Values Theory and Tail-related Risk Measures: Evidence from Latin American Stock Markets," International Journal of Economics and Financial Issues, Econjournals, vol. 9(3), pages 127-141.
  143. Raúl de Jesús Gutiérrez & Edgar Ortiz & Oswaldo García Salgado, 2017. "Los efectos de largo plazo de la asimetría y persistencia en la predicción de la volatilidad: evidencia para mercados accionarios de América Latina," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1063-1080, Octubre-D.
  144. Chris Brooks & Simon Burke, 2003. "Information criteria for GARCH model selection," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 557-580.
  145. David McMillan & Alan Speight & Owain Apgwilym, 2000. "Forecasting UK stock market volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 10(4), pages 435-448.
  146. Elyasiani, Elyas & Mansur, Iqbal, 2017. "Hedge fund return, volatility asymmetry, and systemic effects: A higher-moment factor-EGARCH model," Journal of Financial Stability, Elsevier, vol. 28(C), pages 49-65.
  147. David McMillan & Raquel Quiroga Garcia, 2009. "Intra-day volatility forecasts," Applied Financial Economics, Taylor & Francis Journals, vol. 19(8), pages 611-623.
  148. Ya Li & Zhanguo Wei, 2022. "Regional Logistics Demand Prediction: A Long Short-Term Memory Network Method," Sustainability, MDPI, vol. 14(20), pages 1-17, October.
  149. Hans Bystrom, 2004. "Orthogonal GARCH and covariance matrix forecasting: The Nordic stock markets during the Asian financial crisis 1997-1998," The European Journal of Finance, Taylor & Francis Journals, vol. 10(1), pages 44-67.
  150. Martina Assereto & Julie Byrne, 2020. "The Implications of Policy Uncertainty on Solar Photovoltaic Investment," Energies, MDPI, vol. 13(23), pages 1-20, November.
  151. Klein, Tony & Walther, Thomas, 2016. "Oil price volatility forecast with mixture memory GARCH," Energy Economics, Elsevier, vol. 58(C), pages 46-58.
  152. Green, Christopher J. & Maggioni, Paolo & Murinde, Victor, 2000. "Regulatory lessons for emerging stock markets from a century of evidence on transactions costs and share price volatility in the London Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 24(4), pages 577-601, April.
  153. Li, Yong & Huang, Wei-Ping & Zhang, Jie, 2013. "Forecasting volatility in the Chinese stock market under model uncertainty," Economic Modelling, Elsevier, vol. 35(C), pages 231-234.
  154. Hao Wu & Haiming Long & Yue Wang & Yanqi Wang, 2021. "Stock index forecasting: A new fuzzy time series forecasting method," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 653-666, July.
  155. Pilar Corredor & Rafael Santamaria, 2004. "Forecasting volatility in the Spanish option market," Applied Financial Economics, Taylor & Francis Journals, vol. 14(1), pages 1-11.
  156. Alan E. H. Speight & David G. McMillan, 2004. "Daily volatility forecasts: reassessing the performance of GARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 449-460.
  157. Alok Pandey & Surya Bhushan Kumar, 2011. "Volatility Transmission from Global Stock Exchanges to India," Vision, , vol. 15(4), pages 347-360, December.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.