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Realized Volatility Forecast of Stock Index Under Structural Breaks
16 references·3 citing·30 second hop
Realized Volatility Forecast of Stock Index Under Structural Breaks (2014)Realized Volatility Forecast of Stock Ind…Volatility forecast comparison using imperfect volatility proxies (2010)Volatility forecast compariso…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (2004)Nonstationarities in Financia…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…The distribution of realized stock return volatility (2001)The distribution of realized …Forecasting Economic Time Series (1998)Forecasting Economic Time Ser…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsAnswering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)Volatilities of different tim…8 Forecast evaluation and combination (1996)8 Forecast evaluation and com…Combining forecasts: A review and annotated bibliography (1990)Combining forecasts: A review…Combining forecasts: A review and annotated bibliography (1989)Combining forecasts: A review…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Long memory relationships and the aggregation of dynamic models (1980)Long memory relationships and…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Is investor sentiment stronger than VIX and uncertainty indices in predicting energy volatility? (2021)Is investor sentiment stronge…Forecasting China's crude oil futures volatility: New evidence from the MIDAS-RV model and COVID-19 pandemic (2021)Forecasting China's crude oil…The role of model bias in predicting volatility: evidence from the US equity markets (2020)The role of model bias in pre…The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)CAViaR (2004)CoVaR (2016)Expert judgment: Some necessary conditions and an example. (1974)The M3-Competition: results, conclusions and implications (2000)25 years of time series forecasting (2006)Chapter 4 Forecast Combinations (2006)Fractional Brownian Motions, Fractional Noises and Applications (1968)Some properties of time series data and their use in econometric model specification (1981)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Time Series Analysis: Forecasting and Control (1977)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)A long memory property of stock market returns and a new model (1993)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)The Combination of Forecasts (1969)The accuracy of extrapolation (time series) methods: Results of a forecasting competition (1982)Combination forecasts of output growth in a seven‐country data set (2004)Handbook of Economic Forecasting (2013)Econometric Analysis of Cross Section and Panel Data (2001)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 1989Combining forecasts: A review and annotated bibliography2,170 cited
  • 1990Combining forecasts: A review and annotated bibliography1,465 cited
  • 1980Long memory relationships and the aggregation of dynamic models1,448 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • 2010Volatility forecast comparison using imperfect volatility proxies1,281 cited
  • 1998Forecasting Economic Time Series863 cited
  • 1997Volatilities of different time resolutions — Analyzing the dynamics of market components745 cited
  • 19968 Forecast evaluation and combination

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536 cited
  • 2004Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects523 cited
  • Cited by

    • 2021Is investor sentiment stronger than VIX and uncertainty indices in predicting energy volatility?74 cited
    • 2021Forecasting China's crude oil futures volatility: New evidence from the MIDAS-RV model and COVID-19 pandemic28 cited
    • 2020The role of model bias in predicting volatility: evidence from the US equity markets23 cited