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Volatility Forecasting: Downside Risk, Jumps and Leverage Effect
16 references·8 citing·37 second hop
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect (2016)Volatility Forecasting: Downside Risk, Ju…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyA long memory property of stock market returns and a new model (1993)A long memory property of sto…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Expected stock returns and volatility (1987)Expected stock returns and vo…Modelling the persistence of conditional variances (1986)Modelling the persistence of …The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Forecasting international equity market volatility: A new approach (2022)Forecasting international equ…The information content of uncertainty indices for natural gas futures volatility forecasting (2021)The information content of un…Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal (2021)Realized Semi(co)variation: S…Effects of structural changes on the prediction of downside volatility in futures markets (2021)Effects of structural changes…Which predictor is more predictive for Bitcoin volatility? And why? (2020)Which predictor is more predi…Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter? (2020)Nonlinearity in stock returns…Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets (2019)Good, bad cojumps and volatil…Managing Risk with a Realized Copula Parameter (2012)Managing Risk with a Realized…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)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)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)Illiquidity and stock returns: cross-section and time-series effects (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Introductory Econometrics for Finance (2008)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Macroeconomic Forecasting Using Diffusion Indexes (2002)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Policy Uncertainty and Corporate Investment (2015)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1986Modelling the persistence of conditional variances2,068 cited

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  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • Cited by

    • 2021The information content of uncertainty indices for natural gas futures volatility forecasting101 cited
    • 2021Effects of structural changes on the prediction of downside volatility in futures markets65 cited
    • 2020Which predictor is more predictive for Bitcoin volatility? And why?50 cited
    • 2020Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?41 cited
    • 2019Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets39 cited
    • 2022Forecasting international equity market volatility: A new approach34 cited
    • 2021Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal33 cited
    • 2012Managing Risk with a Realized Copula Parameter27 cited