Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Volatility forecasting without data-snooping

14 references·16 citing·41 second hop

FromToDepth

this work references cited by second hop

References

1986Generalized autoregressive conditional heteroskedasticity22,329 cited
1987Expected stock returns and volatility4,147 cited
1989Why Does Stock Market Volatility Change Over Time?3,433 cited
1980On estimating the expected return on the market2,818 cited
1986Modelling the persistence of conditional variances2,068 cited
1989Why Does Stock Market Volatility Change Over Time?1,209 cited
1989Heteroskedasticity in Stock Returns479 cited
1973The Variability of the Market Factor of the New York Stock Exchange455 cited
1981Standard deviations implied in option prices as predictors of future stock price variability371 cited
1970RANDOM WALKS AND TECHNICAL THEORIES: SOME ADDITIONAL EVIDENCE369 cited
1986Sample-Dependent Results Using Accounting and Market Data: Some Evidence269 cited
1979Long-Range Forecasting.203 cited
1989Stock market anomalies174 cited
1988Macroeconomics and Finance: Essays in Honor of Franco Modigliani99 cited

Cited by

1997On the Covariance Matrices Used in Value at Risk Models123 cited
2000

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

Forecasting UK stock market volatility

110 cited

2007Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching101 cited

1997Linear and Non-linear (Non-)Forecastability of High-frequency Exchange Rates101 cited

2009Forecasting volatility with support vector machine‐based GARCH model87 cited

2006Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using Garch Models79 cited

2000A word of caution on calculating market-based minimum capital risk requirements66 cited

1995Capital Requirements for Securities Firms66 cited

2008Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time‐varying beta59 cited

2017Factor-Based Investing: The Long-Term Evidence58 cited

2015Forecasting stock market volatility using Realized GARCH model: International evidence57 cited

2011Are GCC stock markets predictable?56 cited

2001A Primer on the Orthogonal GARCH Model56 cited

2005Forecasting volatility51 cited

2015Does VIX or volume improve GARCH volatility forecasts?49 cited

2006Forecasting stock market volatility: Further international evidence44 cited