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There are 8950 results for: content related to: Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High-Frequency Data?

  1. Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns

    Journal of Applied Econometrics

    Volume 25, Issue 2, March 2010, Pages: 233–261, Torben G. Andersen, Tim Bollerslev, Per Frederiksen and Morten Ørregaard Nielsen

    Version of Record online : 23 JUL 2009, DOI: 10.1002/jae.1105

  2. Realized Volatility Forecast: Structural Breaks, Long Memory, Asymmetry, and Day-of-the-Week Effect

    International Review of Finance

    Volume 14, Issue 3, September 2014, Pages: 345–392, Ke Yang and Langnan Chen

    Version of Record online : 10 APR 2014, DOI: 10.1111/irfi.12030

  3. You have free access to this content
    Realising the future: forecasting with high-frequency-based volatility (HEAVY) models

    Journal of Applied Econometrics

    Volume 25, Issue 2, March 2010, Pages: 197–231, Professor Neil Shephard and Kevin Sheppard

    Version of Record online : 27 JAN 2010, DOI: 10.1002/jae.1158

  4. Structural breaks and GARCH models of exchange rate volatility

    Journal of Applied Econometrics

    Volume 23, Issue 1, January/February 2008, Pages: 65–90, David E. Rapach and Jack K. Strauss

    Version of Record online : 20 FEB 2008, DOI: 10.1002/jae.976

  5. Realized GARCH: a joint model for returns and realized measures of volatility

    Journal of Applied Econometrics

    Volume 27, Issue 6, September/October 2012, Pages: 877–906, Peter Reinhard Hansen, Zhuo Huang and Howard Howan Shek

    Version of Record online : 17 MAR 2011, DOI: 10.1002/jae.1234

  6. Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper

    Journal of Futures Markets

    Volume 31, Issue 1, January 2011, Pages: 55–80, Ahmed A. A. Khalifa, Hong Miao and Sanjay Ramchander

    Version of Record online : 2 NOV 2010, DOI: 10.1002/fut.20459

  7. Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models

    Journal of Futures Markets

    Dimos S. Kambouroudis, David G. McMillan and Katerina Tsakou

    Version of Record online : 29 APR 2016, DOI: 10.1002/fut.21783

  8. Pricing Nikkei 225 Options Using Realized Volatility

    The Japanese Economic Review

    Volume 65, Issue 4, December 2014, Pages: 431–467, Masato Ubukata and Toshiaki Watanabe

    Version of Record online : 15 NOV 2013, DOI: 10.1111/jere.12024

  9. Anticipating Long-Term Stock Market Volatility

    Journal of Applied Econometrics

    Volume 30, Issue 7, November/December 2015, Pages: 1090–1114, Christian Conrad and Karin Loch

    Version of Record online : 11 AUG 2014, DOI: 10.1002/jae.2404

  10. CAPITAL FLOWS AND JAPANESE ASSET VOLATILITY

    Pacific Economic Review

    Volume 17, Issue 3, August 2012, Pages: 391–414, CHRISTOPHER J. NEELY and BRETT W. FAWLEY

    Version of Record online : 22 AUG 2012, DOI: 10.1111/j.1468-0106.2012.00590.x

  11. Is there a risk–return trade-off? Evidence from high-frequency data

    Journal of Applied Econometrics

    Volume 21, Issue 8, December 2006, Pages: 1169–1198, Turan G. Bali and Lin Peng

    Version of Record online : 12 DEC 2006, DOI: 10.1002/jae.911

  12. Forecasting Volatility with Many Predictors

    Journal of Forecasting

    Volume 32, Issue 8, December 2013, Pages: 743–754, Tsung-Han Ke and Yu-Pin Hu

    Version of Record online : 19 JUL 2013, DOI: 10.1002/for.2268

  13. Multivariate high-frequency-based volatility (HEAVY) models

    Journal of Applied Econometrics

    Volume 27, Issue 6, September/October 2012, Pages: 907–933, Diaa Noureldin, Neil Shephard and Kevin Sheppard

    Version of Record online : 4 AUG 2011, DOI: 10.1002/jae.1260

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    QUANTILE FORECASTS OF FINANCIAL RETURNS USING REALIZED GARCH MODELS

    The Japanese Economic Review

    Volume 63, Issue 1, March 2012, Pages: 68–80, TOSHIAKI WATANABE

    Version of Record online : 20 DEC 2011, DOI: 10.1111/j.1468-5876.2011.00548.x

  15. Causality and forecasting in temporally aggregated multivariate GARCH processes

    The Econometrics Journal

    Volume 12, Issue 1, March 2009, Pages: 127–146, Christian M. Hafner

    Version of Record online : 19 FEB 2009, DOI: 10.1111/j.1368-423X.2008.00276.x

  16. State-preference pricing and volatility indices

    Accounting & Finance

    Zhangxin (Frank) Liu and Michael J. O'Neill

    Version of Record online : 26 OCT 2015, DOI: 10.1111/acfi.12170

  17. A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility

    Journal of Financial Research

    Volume 25, Issue 2, June 2002, Pages: 283–299, Martin Martens, Yuan-Chen Chang and Stephen J. Taylor

    Version of Record online : 9 AUG 2002, DOI: 10.1111/1475-6803.t01-1-00009

  18. On the forecasting accuracy of multivariate GARCH models

    Journal of Applied Econometrics

    Volume 27, Issue 6, September/October 2012, Pages: 934–955, Sébastien Laurent, Jeroen V. K. Rombouts and Francesco Violante

    Version of Record online : 26 APR 2011, DOI: 10.1002/jae.1248

  19. ASYMMETRIC INFORMATION IMPACTS: EVIDENCE FROM THE AUSTRALIAN TREASURY-BOND FUTURES MARKET

    Pacific Economic Review

    Volume 12, Issue 5, December 2007, Pages: 665–681, Liping Zou, Lawrence C Rose and John F Pinfold

    Version of Record online : 1 NOV 2007, DOI: 10.1111/j.1468-0106.2007.00378.x

  20. Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components

    Journal of Forecasting

    Volume 29, Issue 7, November 2010, Pages: 595–616, Kasing Man and Chunchi Wu

    Version of Record online : 8 OCT 2009, DOI: 10.1002/for.1156