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Citations for "Evaluating the predictive accuracy of volatility models"

by Jose A. Lopez

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  1. Agnolucci, Paolo, 2009. "Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models," Energy Economics, Elsevier, Elsevier, vol. 31(2), pages 316-321, March.
  2. Daniel Preve & Anders Eriksson & Jun Yu, 2009. "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Finance Working Papers 23049, East Asian Bureau of Economic Research.
  3. Asger Lunde & Peter R. Hansen, 2005. "A forecast comparison of volatility models: does anything beat a GARCH(1,1)?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 20(7), pages 873-889.
  4. BAUWENS, Luc & SUCARRAT, Genaro, 2006. "General to specific modelling of exchange rate volatility: a forecast evaluation," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2006021, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. Grant, Andrew & Johnstone, David, 2010. "Finding profitable forecast combinations using probability scoring rules," International Journal of Forecasting, Elsevier, Elsevier, vol. 26(3), pages 498-510, July.
  6. Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Working Papers in Economics 10/58, University of Canterbury, Department of Economics and Finance.
  7. Raffaella Giacomini, 2002. "Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods," Boston College Working Papers in Economics, Boston College Department of Economics 583, Boston College Department of Economics.
  8. Donaldson, R. Glen & Kamstra, Mark, 1997. "An artificial neural network-GARCH model for international stock return volatility," Journal of Empirical Finance, Elsevier, Elsevier, vol. 4(1), pages 17-46, January.
  9. Georgios Chortareas & John Nankervis & Ying Jiang, 2007. "Forecasting Exchange Rate Volatility with High Frequency Data: Is the Euro Different?," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group 79, Money Macro and Finance Research Group.
  10. Jose A. Lopez, 1996. "Regulatory Evaluation of Value-at-Risk Models," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 96-51, Wharton School Center for Financial Institutions, University of Pennsylvania.
  11. Gloria González-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008.
  12. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper, Federal Reserve Bank of New York 9525, Federal Reserve Bank of New York.
  13. Antonio Rubia & Trino-Manuel ��guez, 2006. "Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 25(6), pages 439-458.
  14. Gonzalez-Rivera, Gloria & Lee, Tae-Hwy & Mishra, Santosh, 2004. "Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood," International Journal of Forecasting, Elsevier, Elsevier, vol. 20(4), pages 629-645.
  15. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2010. "Forecasting crude oil market volatility: Further evidence using GARCH-class models," Energy Economics, Elsevier, Elsevier, vol. 32(6), pages 1477-1484, November.
  16. de Goeij, Peter & Marquering, Wessel, 2009. "Stock and bond market interactions with level and asymmetry dynamics: An out-of-sample application," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(2), pages 318-329, March.
  17. 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, Department of Economics, The Lahore School of Economics, vol. 12(2), pages 115-149, Jul-Dec.
  18. Gianni Amisano & Raffaella Giacomini, 2005. "Comparing Density Forecsts via Weighted Likelihood Ratio Tests," Working Papers, University of Brescia, Department of Economics ubs0504, University of Brescia, Department of Economics.
  19. Wang, Yudong & Wu, Chongfeng, 2012. "Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?," Energy Economics, Elsevier, Elsevier, vol. 34(6), pages 2167-2181.
  20. Fuertes, Ana-Maria & Kalotychou, Elena, 2006. "Early warning systems for sovereign debt crises: The role of heterogeneity," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(2), pages 1420-1441, November.
  21. Bronka Rzepkowski, 2001. "Pouvoir prédictif de la volatilité implicite dans le prix des options de change," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 148(2), pages 71-97.
  22. Chortareas, Georgios & Jiang, Ying & Nankervis, John. C., 2011. "Forecasting exchange rate volatility using high-frequency data: Is the euro different?," International Journal of Forecasting, Elsevier, Elsevier, vol. 27(4), pages 1089-1107, October.
  23. 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.
  24. Hou, Aijun & Suardi, Sandy, 2012. "A nonparametric GARCH model of crude oil price return volatility," Energy Economics, Elsevier, Elsevier, vol. 34(2), pages 618-626.
  25. Mike So & Rui Xu, 2013. "Forecasting Intraday Volatility and Value-at-Risk with High-Frequency Data," Asia-Pacific Financial Markets, Springer, Springer, vol. 20(1), pages 83-111, March.
  26. Shcherba, Alexandr, 2012. "Market risk valuation modeling for the European countries at the financial crisis of 2008," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 27(3), pages 20-35.
  27. Alex Huang, 2011. "Volatility Modeling by Asymmetrical Quadratic Effect with Diminishing Marginal Impact," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 37(3), pages 301-330, March.
  28. Wei, Yu, 2012. "Forecasting volatility of fuel oil futures in China: GARCH-type, SV or realized volatility models?," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 391(22), pages 5546-5556.
  29. Goeij, P. C. de & Marquering, W., 2009. "Stock and bond market interactions with level and asymmetry dynamics: An out-of-sample application," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3557318, Tilburg University.
  30. Raffaella Giacomini & Halbert White, 2003. "Tests of conditional predictive ability," Boston College Working Papers in Economics, Boston College Department of Economics 572, Boston College Department of Economics.
  31. Lahiri, Kajal & Wang, J. George, 2013. "Evaluating probability forecasts for GDP declines using alternative methodologies," International Journal of Forecasting, Elsevier, Elsevier, vol. 29(1), pages 175-190.
  32. Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc.
  33. Joakim Westerlund, . "Heteroskedasticity Robust Panel Unit Root tests," Financial Econometics Series, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance 2014_02, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  34. Ghysels, Eric & Sohn, Bumjean, 2009. "Which power variation predicts volatility well?," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(4), pages 686-700, September.
  35. Odeh, Oluwarotimi O. & Featherstone, Allen M. & Sanjoy, Das, 2006. "Predicting Credit Default in an Agricultural Bank: Methods and Issues," 2006 Annual Meeting, February 5-8, 2006, Orlando, Florida, Southern Agricultural Economics Association 35359, Southern Agricultural Economics Association.
  36. Ana-Maria Fuertes & Elena Kalotychou, 2004. "Forecasting sovereign default using panel models: A comparative analysis," Computing in Economics and Finance 2004, Society for Computational Economics 228, Society for Computational Economics.