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There are 18902 results for: content related to: On the forecasting accuracy of multivariate GARCH models

  1. 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

  2. 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

  3. 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

  4. 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

  5. You have free access to this content
    Multivariate GARCH models: a survey

    Journal of Applied Econometrics

    Volume 21, Issue 1, January/February 2006, Pages: 79–109, Luc Bauwens, Sébastien Laurent and Jeroen V. K. Rombouts

    Version of Record online : 16 FEB 2006, DOI: 10.1002/jae.842

  6. Testing distributional assumptions: A GMM aproach

    Journal of Applied Econometrics

    Volume 27, Issue 6, September/October 2012, Pages: 978–1012, Christian Bontemps and Nour Meddahi

    Version of Record online : 5 JUL 2011, DOI: 10.1002/jae.1250

  7. 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

  8. 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

  9. An International Comparison of Implied, Realized, and GARCH Volatility Forecasts

    Journal of Futures Markets

    Apostolos Kourtis, Raphael N. Markellos and Lazaros Symeonidis

    Version of Record online : 20 MAY 2016, DOI: 10.1002/fut.21792

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    Measuring and Testing the Impact of News on Volatility

    The Journal of Finance

    Volume 48, Issue 5, December 1993, Pages: 1749–1778, ROBERT F. ENGLE and VICTOR K. NG

    Version of Record online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1993.tb05127.x

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    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

  12. Implied volatility forecasts in the grains complex

    Journal of Futures Markets

    Volume 22, Issue 10, October 2002, Pages: 959–981, David P. Simon

    Version of Record online : 13 AUG 2002, DOI: 10.1002/fut.10042

  13. You have free access to this content
    Bibliography

    Handbook of Volatility Models and Their Applications

    Luc Bauwens, Christian Hafner, Sebastien Laurent, Pages: 487–535, 2012

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

  14. 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

  15. VOLATILITY MODELS

    The Japanese Economic Review

    Volume 58, Issue 1, March 2007, Pages: 1–23, KIMIO MORIMUNE

    Version of Record online : 8 FEB 2007, DOI: 10.1111/j.1468-5876.2007.00411.x

  16. G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models

    Journal of Economic Surveys

    Volume 16, Issue 3, July 2002, Pages: 447–484, Sébastien Laurent and Jean–Philippe Peters

    Version of Record online : 16 DEC 2002, DOI: 10.1111/1467-6419.00174

  17. 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

  18. The information content of implied volatility in light of the jump/continuous decomposition of realized volatility

    Journal of Futures Markets

    Volume 27, Issue 4, April 2007, Pages: 337–359, Pierre Giot and Sébastien Laurent

    Version of Record online : 13 FEB 2007, DOI: 10.1002/fut.20251

  19. Volatility forecasts evaluation and comparison

    Wiley Interdisciplinary Reviews: Computational Statistics

    Volume 4, Issue 1, January/February 2012, Pages: 1–12, Sébastien Laurent and Francesco Violante

    Version of Record online : 22 AUG 2011, DOI: 10.1002/wics.190

  20. Medium-term horizon volatility forecasting: A comparative study

    Applied Stochastic Models in Business and Industry

    Volume 23, Issue 6, November/December 2007, Pages: 465–481, Richard Hawkes and Paresh Date

    Version of Record online : 6 AUG 2007, DOI: 10.1002/asmb.684