SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts
0 references·16 citing·51 second hopsampled
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts (1997)Answering the Critics: Yes, ARCH Models D…Forecasting the demand for health tourism in Asian countries using a GM(1,1)-alpha model (2012)Forecasting the demand for he…Trading volume and exchange rate volatility: Evidence for the sequential arrival of information hypothesis (2011)Trading volume and exchange r…Volatility forecasting for crude oil futures (2010)Volatility forecasting for cr…The Model-Free Implied Volatility and Its Information Content (2005)The Model-Free Implied Volati…Nonstationarities in Stock Returns (2005)Nonstationarities in Stock Re…Forecasting Stock Market Volatility with Regime-Switching GARCH Models (2005)Forecasting Stock Market Vola…Is Garch(1,1) as Good a Model as the Accolades of the Nobel Prize Would Imply? (2004)Is Garch(1,1) as Good a Model…Testing the mixture‐of‐distributions hypothesis using “realized” volatility (2003)Testing the mixture‐of‐distri…Market risk management of banks: implications from the accuracy of Value‐at‐Risk forecasts (2002)Market risk management of ban…How Relevant is Volatility Forecasting for Financial Risk Management? (2000)How Relevant is Volatility Fo…A quantile regression neural network approach to estimating the conditional density of multiperiod returns (2000)A quantile regression neural …Horizon Problems and Extreme Events in Financial Risk Management (1999)Horizon Problems and Extreme …Evaluating volatility and interval forecasts (1999)Evaluating volatility and int…Computing value at risk with high frequency data (1999)Computing value at risk with …Improving GARCH Volatility Forecasts (1998)Improving GARCH Volatility Fo…How Relevant is Volatility Forecasting for Financial Risk Management? (1998)How Relevant is Volatility Fo…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Comparing Predictive Accuracy (1994)An Introduction to Copulas (1999)Volatility transmission between gold and oil futures under structural breaks (2012)Is gold the best hedge and a safe haven under changing stock market volatility? (2013)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review (2004)On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting (2009)Long memory and tail dependence in trading volume and volatility (2013)The Pricing of Options and Corporate Liabilities (1973)Specification Tests in Econometrics (1978)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Variance Risk Premiums (2008)Expected Stock Returns and Variance Risk Premia (2009)Tails, Fears, and Risk Premia (2011)Modelling the persistence of conditional variances (1986)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Dependence structures for multivariate high-frequency data in finance (2003)Modeling and Forecasting Realized Volatility (2003)Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model (2004)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)Volatility Spillover Effects in European Equity Markets (2005)The impact of oil shocks on exchange rates: A Markov-switching approach (2015)The best of two worlds: Forecasting high frequency volatility for cryptocurrencies and traditional currencies with Support Vector Regression (2017)Forecasting with artificial neural networks: (1998)Measuring Market Risk (2005)A Multi-Horizon Quantile Recurrent Forecaster (2017)Machine learning in finance: A topic modeling approach (2021)Modelling Extremal Events (1997)The Econometrics of Financial Markets (1997)Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Value-at-risk: Applying the extreme value approach to Asian markets in the recent financial turmoil (2000)Non-Normality of Market Returns: A Framework for Asset Allocation Decision Making (2009)The Econometrics of Financial Markets (2012)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Forecasting Volatility in Financial Markets: A Review (2003)Modeling the price dynamics of CO2 emission allowances (2008)The cost of capital, corporation finance and the theory of investment (2008)Continuous Auctions and Insider Trading (1985)Noise Trader Risk in Financial Markets (1990)On the nonlinear relation between crude oil and gold (2017)Forecasting stock market volatility: The role of technical variables (2019)How does economic policy uncertainty affect the bitcoin market? (2020)A Theory of the Term Structure of Interest Rates (1985)Evaluating Interval Forecasts (1998)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

No references inside the corpus for this window.

Cited by

  • 2005The Model-Free Implied Volatility and Its Information Content1,012 cited
  • 2000A quantile regression neural network approach to estimating the conditional density of multiperiod returns393 cited
  • 2000How Relevant is Volatility Forecasting for Financial Risk Management?336 cited
  • 2005Forecasting Stock Market Volatility with Regime-Switching GARCH Models311 cited
  • 2005Nonstationarities in Stock Returns296 cited
  • 1999Computing value at risk with high frequency data80 cited
  • 1999Horizon Problems and Extreme Events in Financial Risk Management80 cited
  • 2011Trading volume and exchange rate volatility: Evidence for the sequential arrival of information hypothesis66 cited
  • 1998How Relevant is Volatility Forecasting for Financial Risk Management?65 cited
  • 2003Testing the mixture‐of‐distributions hypothesis using “realized” volatility64 cited
  • 1998Improving GARCH Volatility Forecasts61 cited
  • 1999Evaluating volatility and interval forecasts56 cited
  • 2004Is Garch(1,1) as Good a Model as the Accolades of the Nobel Prize Would Imply?37 cited
  • 2010Volatility forecasting for crude oil futures36 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2002
Market risk management of banks: implications from the accuracy of Value‐at‐Risk forecasts
31 cited
  • 2012Forecasting the demand for health tourism in Asian countries using a GM(1,1)-alpha model25 cited