SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Modeling daily realized futures volatility with singular spectrum analysis
15 references·2 citing·39 second hop
Modeling daily realized futures volatility with singular spectrum analysis (2002)Modeling daily realized futures volatilit…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Realized volatility in the futures markets (2003)Realized volatility in the fu…The distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Modeling and Forecasting Realized Volatility (2001)Modeling and Forecasting Real…The Distribution of Stock Return Volatility (2000)The Distribution of Stock Ret…Data-adaptive wavelets and multi-scale singular-spectrum analysis (2000)Data-adaptive wavelets and mu…The Distribution of Exchange Rate Volatility (1999)The Distribution of Exchange …Statistical properties of the volatility of price fluctuations (1999)Statistical properties of the…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Is a random walk the best exchange rate predictor? (1997)Is a random walk the best exc…5 Stochastic volatility (1996)5 Stochastic volatilityChapter 49 Arch models (1994)Chapter 49 Arch modelsOn estimating the expected return on the market (1980)On estimating the expected re…Singular Spectrum Analysis for signal extraction in Stochastic Volatility models (2016)Singular Spectrum Analysis fo…Forecasting stochastic processes using singular spectrum analysis: Aspects of the theory and application (2016)Forecasting stochastic proces…The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling and Forecasting Realized Volatility (2001)Stock market volatility, excess returns, and the role of investor sentiment (2002)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)The Behavior of Stock-Market Prices (1965)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)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Option pricing: A simplified approach (1979)Institutional Investors and Stock Market Volatility (2006)Cross-correlations between volume change and price change (2009)Physical approach to complex systems (2012)Multivariate Simultaneous Generalized ARCH (1995)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)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)The Economic Value of Volatility Timing Using 'Realized' Volatility (2001)Leverage and Volatility Feedback Effects in High-Frequency Data (2006)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)Forecasting Volatility in Financial Markets: A Review (2003)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)
this work references cited by second hop

References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 19965 Stochastic volatility1,189 cited
  • 1994Chapter 49 Arch models880 cited
  • 1999Statistical properties of the volatility of price fluctuations730 cited
  • 2000The Distribution of Stock Return Volatility497 cited
  • 1999The Distribution of Exchange Rate Volatility462 cited
  • 2000Data-adaptive wavelets and multi-scale singular-spectrum analysis140 cited
  • 2003Realized volatility in the futures markets133 cited
  • 1997Is a random walk the best exchange rate predictor?99 cited
  • 2001Modeling and Forecasting Realized Volatility75 cited

Cited by

  • 2016Forecasting stochastic processes using singular spectrum analysis: Aspects of the theory and application

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

29 cited
  • 2016Singular Spectrum Analysis for signal extraction in Stochastic Volatility models22 cited