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Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution
16 references·1 citing·31 second hop
Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution (2016)Volatility and quantile forecasts by real…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Volatility forecast comparison using imperfect volatility proxies (2010)Volatility forecast compariso…Modelling Financial Time Series (2007)Modelling Financial Time Seri…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesA forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsAutoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …The Econometrics of Financial Markets (1997)The Econometrics of Financial…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Market microstructure theory (1995)Market microstructure theoryGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Bayesian estimation of realized GARCH-type models with application to financial tail risk management (2021)Bayesian estimation of realiz…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Comparing Predictive Accuracy (1994)CAViaR (2004)CoVaR (2016)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Continuous Auctions and Insider Trading (1985)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)The Behavior of Stock-Market Prices (1965)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)
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References

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  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
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  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
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  • 1995Market microstructure theory1,305 cited

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  • 2010Volatility forecast comparison using imperfect volatility proxies1,281 cited
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    • 2021Bayesian estimation of realized GARCH-type models with application to financial tail risk management31 cited