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Volatility forecasting with smooth transition exponential smoothing

Citations

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Cited by:

  1. Roberto Ferulano, 2009. "A Mixed Historical Formula to forecast volatility," Journal of Asset Management, Palgrave Macmillan, vol. 10(2), pages 124-136, June.
  2. Joseph Paul Chunga & Ping YU, 2024. "The impact of external shocks on volatility persistence and market efficiency of the foreign exchange rate regime: evidence from Malawi," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 11(1), pages 1-14, December.
  3. George-Jason Siouris & Alex Karagrigoriou, 2017. "A Low Price Correction for Improved Volatility Estimation and Forecasting," Risks, MDPI, vol. 5(3), pages 1-14, August.
  4. Chin-Yin Huang & Philip K.P. Lin, 2014. "Application of integrated data mining techniques in stock market forecasting," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-18, December.
  5. Francesco Audrino & Yujia Hu, 2016. "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Econometrics, MDPI, vol. 4(1), pages 1-24, February.
  6. James W. Taylor, 2004. "Smooth transition exponential smoothing," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 385-404.
  7. 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.
  8. Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004. "Forecasting economic and financial time-series with non-linear models," International Journal of Forecasting, Elsevier, vol. 20(2), pages 169-183.
  9. 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.
  10. 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.
  11. Imlak Shaikh, 2022. "Impact of COVID-19 pandemic on the energy markets," Economic Change and Restructuring, Springer, vol. 55(1), pages 433-484, February.
  12. Degiannakis, Stavros & Kafousaki, Eleftheria, 2025. "Disaggregating VIX," International Journal of Forecasting, Elsevier, vol. 41(4), pages 1559-1588.
  13. Kejin Wu & Sayar Karmakar, 2023. "A model-free approach to do long-term volatility forecasting and its variants," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-38, December.
  14. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Nieves Carmona-González, 2025. "Trends and Persistence in the Number of Hot Days: Some Multi-Country Evidence," CESifo Working Paper Series 11925, CESifo.
  15. Kanungo, Rama Prasad, 2021. "Uncertainty of M&As under asymmetric estimation," Journal of Business Research, Elsevier, vol. 122(C), pages 774-793.
  16. Ding, Yi & Kambouroudis, Dimos & McMillan, David G., 2025. "Forecasting realised volatility using regime-switching models," International Review of Economics & Finance, Elsevier, vol. 101(C).
  17. Gardner, Everette Jr., 2006. "Exponential smoothing: The state of the art--Part II," International Journal of Forecasting, Elsevier, vol. 22(4), pages 637-666.
  18. 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.
  19. Edson Vengesai & Farai Kwenda, 2018. "Cash Flow Volatility and Firm Investment Behaviour: Evidence from African Listed Firms," Journal of Economics and Behavioral Studies, AMH International, vol. 10(6), pages 129-149.
  20. Haotian Gu & Xin Guo & Timothy L. Jacobs & Philip Kaminsky & Xinyu Li, 2025. "Transportation Marketplace Rate Forecast Using Signature Transform," Interfaces, INFORMS, vol. 55(5), pages 424-436, September.
  21. Leandro Maciel, 2013. "A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting," Palgrave Macmillan Books, in: Jonathan A. Batten & Peter MacKay & Niklas Wagner (ed.), Advances in Financial Risk Management, chapter 11, pages 253-283, Palgrave Macmillan.
  22. repec:ami:journl:v:24:y:2024:i:2:p:328-360 is not listed on IDEAS
  23. Muhammad Sheraz & Imran Nasir, 2021. "Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach," Risks, MDPI, vol. 9(5), pages 1-20, May.
  24. Debabrata Mukhopadhyay & Nityananda Sarkar, 2013. "Stock Returns Under Alternative Volatility and Distributional Assumptions: The Case for India," International Econometric Review (IER), Economic Research Association, vol. 5(1), pages 1-19, April.
  25. 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.
  26. Lauret, Philippe & Alonso-Suárez, Rodrigo & Amaro e Silva, Rodrigo & Boland, John & David, Mathieu & Herzberg, Wiebke & Le Gall La Salle, Josselin & Lorenz, Elke & Visser, Lennard & van Sark, Wilfried, 2024. "The added value of combining solar irradiance data and forecasts: A probabilistic benchmarking exercise," Renewable Energy, Elsevier, vol. 237(PB).
  27. Trapero, Juan R., 2016. "Calculation of solar irradiation prediction intervals combining volatility and kernel density estimates," Energy, Elsevier, vol. 114(C), pages 266-274.
  28. Liu, Min & Taylor, James W. & Choo, Wei-Chong, 2020. "Further empirical evidence on the forecasting of volatility with smooth transition exponential smoothing," Economic Modelling, Elsevier, vol. 93(C), pages 651-659.
  29. 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.
  30. Alexey Litvinenko & Anna Litvinenko & Samuli Saarinen, 2025. "Applying Forecasting Methods to Accrual-Based and Cash-Based Ratio Analysis," Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 24(2), pages 328-360, June.
  31. Zhiang Qiu & Clemens Kownatzki & Fabien Scalzo & Eun Sang Cha, 2025. "Historical Perspectives in Volatility Forecasting Methods with Machine Learning," Risks, MDPI, vol. 13(5), pages 1-24, May.
  32. Wang, Weichen & An, Ran & Zhu, Ziwei, 2024. "Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective," Journal of Econometrics, Elsevier, vol. 239(2).
  33. Guidolin, Massimo & Hyde, Stuart & McMillan, David & Ono, Sadayuki, 2009. "Non-linear predictability in stock and bond returns: When and where is it exploitable?," International Journal of Forecasting, Elsevier, vol. 25(2), pages 373-399.
  34. Sarah Gelper & Roland Fried & Christophe Croux, 2010. "Robust forecasting with exponential and Holt-Winters smoothing," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(3), pages 285-300.
  35. Chai, Jian & Zhang, Zhong-Yu & Wang, Shou-Yang & Lai, Kin Keung & Liu, John, 2014. "Aviation fuel demand development in China," Energy Economics, Elsevier, vol. 46(C), pages 224-235.
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