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There are 10907 results for: content related to: Forecasting Volatility with Many Predictors

  1. 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

  2. International Evidence on GFC-Robust Forecasts for Risk Management under the Basel Accord

    Journal of Forecasting

    Volume 32, Issue 3, April 2013, Pages: 267–288, Michael McAleer, Juan-Ángel Jiménez-Martín and Teodosio Pérez-Amaral

    Version of Record online : 16 JAN 2012, DOI: 10.1002/for.1269

  3. The Role of High-Frequency Intra-daily Data, Daily Range and Implied Volatility in Multi-period Value-at-Risk Forecasting

    Journal of Forecasting

    Volume 32, Issue 6, September 2013, Pages: 561–576, Dimitrios P. Louzis, Spyros Xanthopoulos-Sisinis and Apostolos P. Refenes

    Version of Record online : 7 JUN 2013, DOI: 10.1002/for.2249

  4. An International Perspective on Risk Management Quality

    European Financial Management

    Volume 19, Issue 5, November 2013, Pages: 935–955, Svetlana Mira and Nicholas Taylor

    Version of Record online : 6 JUN 2011, DOI: 10.1111/j.1468-036X.2011.00611.x

  5. Misspecification tests based on quantile residuals

    The Econometrics Journal

    Volume 15, Issue 2, June 2012, Pages: 358–393, Leena Kalliovirta

    Version of Record online : 17 JUL 2012, DOI: 10.1111/j.1368-423X.2011.00364.x

  6. Comparison of forecasting performances: Does normalization and variance stabilization method beat GARCH(1,1)-type models? Empirical evidence from the stock markets

    Journal of Forecasting

    Emrah Gulay and Hamdi Emec

    Version of Record online : 16 JUN 2017, DOI: 10.1002/for.2478

  7. Quantile Double AR Time Series Models for Financial Returns

    Journal of Forecasting

    Volume 32, Issue 6, September 2013, Pages: 551–560, Yuzhi Cai, Gabriel Montes-Rojas and Jose Olmo

    Version of Record online : 29 MAY 2013, DOI: 10.1002/for.2261

  8. Estimating and Forecasting APARCH-Skew-t Model by Wavelet Support Vector Machines

    Journal of Forecasting

    Volume 33, Issue 4, July 2014, Pages: 259–269, Yushu Li

    Version of Record online : 14 MAR 2014, DOI: 10.1002/for.2275

  9. Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates

    International Economic Review

    Volume 43, Issue 2, May 2002, Pages: 463–491, GenÇay Ramazan, Ballocchi Giuseppe, Dacorogna Michel, Olsen Richard and Pictet Olivier

    Version of Record online : 5 JUL 2002, DOI: 10.1111/1468-2354.t01-2-00023

  10. The Impact of Catastrophes on Insurer Stock Volatility

    Journal of Risk and Insurance

    Volume 80, Issue 1, March 2013, Pages: 65–94, Christian Thomann

    Version of Record online : 27 JUN 2012, DOI: 10.1111/j.1539-6975.2012.01478.x

  11. ARE EMPIRICAL MEASURES OF MACROECONOMIC UNCERTAINTY ALIKE?

    Journal of Economic Surveys

    Volume 25, Issue 4, September 2011, Pages: 801–827, Chew Lian Chua, David Kim and Sandy Suardi

    Version of Record online : 11 JAN 2011, DOI: 10.1111/j.1467-6419.2010.00662.x

  12. Volatility Models

    Handbook of Volatility Models and Their Applications

    Luc Bauwens, Christian Hafner, Sébastien Laurent, Pages: 1–45, 2012

    Published Online : 27 MAR 2012, DOI: 10.1002/9781118272039.ch1

  13. The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH-MIDAS Approach

    Journal of Forecasting

    Volume 32, Issue 7, November 2013, Pages: 600–612, Hossein Asgharian, Ai Jun Hou and Farrukh Javed

    Version of Record online : 22 JUL 2013, DOI: 10.1002/for.2256

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    Specification tests for nonlinear dynamic models

    The Econometrics Journal

    Volume 18, Issue 1, February 2015, Pages: 67–94, Igor L. Kheifets

    Version of Record online : 16 MAR 2015, DOI: 10.1111/ectj.12040

  15. Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models

    Econometrica

    Volume 80, Issue 2, March 2012, Pages: 821–861, Christian Francq and Jean-Michel Zakoïan

    Version of Record online : 16 MAR 2012, DOI: 10.3982/ECTA9405

  16. Forecasting and trading currency volatility: an application of recurrent neural regression and model combination

    Journal of Forecasting

    Volume 21, Issue 5, August 2002, Pages: 317–354, Christian L. Dunis and Xuehuan Huang

    Version of Record online : 11 JUN 2002, DOI: 10.1002/for.833

  17. Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence

    Journal of Applied Econometrics

    Volume 17, Issue 5, September/October 2002, Pages: 509–534, Felix Chan and Michael McAleer

    Version of Record online : 28 OCT 2002, DOI: 10.1002/jae.686

  18. Are There Systematic Relationships Between China’sand Southeast Asia’s Exchange Rates? Evidence from DailyData

    Asian Economic Journal

    Volume 13, Issue 1, March 1999, Pages: 73–92, Joseph D. Alba

    Version of Record online : 18 DEC 2002, DOI: 10.1111/1467-8381.00075

  19. A systematic comparison of PCA-based Statistical Process Monitoring methods for high-dimensional, time-dependent Processes

    AIChE Journal

    Volume 62, Issue 5, May 2016, Pages: 1478–1493, Tiago Rato, Marco Reis, Eric Schmitt, Mia Hubert and Bart De Ketelaere

    Version of Record online : 6 JAN 2016, DOI: 10.1002/aic.15062

  20. Forecasting the Daily Time-Varying Beta of European Banks During the Crisis Period: Comparison Between GARCH Models and the Kalman Filter

    Journal of Forecasting

    Yuanyuan Zhang and Taufiq Choudhry

    Version of Record online : 14 SEP 2016, DOI: 10.1002/for.2442