Forecasting Realized Volatility with Linear and Nonlinear Univariate Models
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- Michael McAleer & Marcelo C. Medeiros, 2011. "Forecasting Realized Volatility With Linear And Nonlinear Univariate Models," Journal of Economic Surveys, Wiley Blackwell, vol. 25(1), pages 6-18, February.
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- Grassi, Stefano & Santucci de Magistris, Paolo, 2015.
"It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model,"
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Elsevier, vol. 30(C), pages 62-78.
- Stefano Grassi & Paolo Santucci de Magistris, 2013. "It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model," CREATES Research Papers 2013-03, Department of Economics and Business Economics, Aarhus University.
- Stefano Grassi & Paolo Santucci de Magistris, 2013. "It's all about volatility of volatility: evidence from a two-factor stochastic volatility model," Studies in Economics 1404, School of Economics, University of Kent.
- repec:prg:jnlefa:v:2017:y:2017:i:3:id:193:p:145-156 is not listed on IDEAS
- Manabu Asai & Michael McAleer, 2017.
"Forecasting the volatility of Nikkei 225 futures,"
Journal of Futures Markets,
John Wiley & Sons, Ltd., vol. 37(11), pages 1141-1152, November.
- Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Documentos de Trabajo del ICAE 2017-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Asai, M. & McAleer, M.J., 2017. "Forecasting the Volatility of Nikkei 225 Futures," Econometric Institute Research Papers TI 2017-017/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Manabu Asai & Michael McAleer, 2017. "Forecasting the Volatility of Nikkei 225 Futures," Tinbergen Institute Discussion Papers 17-017/III, Tinbergen Institute.
- Villalba-Padilla, Fátima Irina & Flores-Ortega, Miguel, 2012. "Capacidad de predicción de los modelos GARCH simétricos aplicados a variables financieras de México 2001-2011," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(34), pages 81-124, segundo t.
More about this item
KeywordsFinancial econometrics; volatility forecasting; neural networks; nonlinear models; realized volatility; bagging;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-05-29 (All new papers)
- NEP-CMP-2010-05-29 (Computational Economics)
- NEP-ECM-2010-05-29 (Econometrics)
- NEP-ETS-2010-05-29 (Econometric Time Series)
- NEP-FOR-2010-05-29 (Forecasting)
- NEP-MST-2010-05-29 (Market Microstructure)
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