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Comparison of Realized Measure and Implied Volatility in Forecasting Volatility
16 references·1 citing·36 second hop
Comparison of Realized Measure and Implied Volatility in Forecasting Volatility (2013)Comparison of Realized Measure and Implie…Realized GARCH: a joint model for returns and realized measures of volatility (2011)Realized GARCH: a joint model…Volatility forecast comparison using imperfect volatility proxies (2010)Volatility forecast compariso…Realized kernels in practice: trades and quotes (2009)Realized kernels in practice:…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)Forecasting daily variability…A multiple indicators model for volatility using intra-daily data (2005)A multiple indicators model f…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…New frontiers for arch models (2002)New frontiers for arch modelsTests of equal forecast accuracy and encompassing for nested models (2001)Tests of equal forecast accur…Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)Forecasting S&P 100 volatilit…The relation between implied and realized volatility (1998)The relation between implied …Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)STANDARD DEVIATIONS OF STOCK …Stock Volatility Predictability in Bull and Bear Markets (2019)Stock Volatility Predictabili…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)The VIX, the variance premium and stock market volatility (2014)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)The Pricing of Options and Corporate Liabilities (1973)Specification Tests in Econometrics (1978)Generalized autoregressive conditional heteroskedasticity (1986)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)The Model-Free Implied Volatility and Its Information Content (2005)Momentum crashes (2016)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Microstructure noise in the continuous case: The pre-averaging approach (2008)Asymptotic Inference about Predictive Ability (1996)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Macroeconomic Forecasting Using Diffusion Indexes (2002)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Policy Uncertainty and Corporate Investment (2015)Risk and Volatility: Econometric Models and Financial Practice (2004)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Financial time series forecasting model based on CEEMDAN and LSTM (2018)Multivariate high‐frequency‐based volatility (HEAVY) models (2011)Exponential GARCH Modeling With Realized Measures of Volatility (2015)Artificial intelligence and machine learning in finance: A bibliometric review (2022)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 2010Volatility forecast comparison using imperfect volatility proxies1,281 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
  • 2001Tests of equal forecast accuracy and encompassing for nested models1,178 cited
  • 1998The relation between implied and realized volatility1,114 cited
  • 2002New frontiers for arch models739 cited
  • 2011Realized GARCH: a joint model for returns and realized measures of volatility670 cited
  • 1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES642 cited
  • 2009Realized kernels in practice: trades and quotes642 cited
  • 2001Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns589 cited
  • 2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements551 cited

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2003
Forecasting Volatility in Financial Markets: A Review
545 cited
  • 2005A multiple indicators model for volatility using intra-daily data487 cited
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    • 2019Stock Volatility Predictability in Bull and Bear Markets18 cited