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Forecast improvements using a volatility index
16 references·7 citing·36 second hop
Forecast improvements using a volatility index (1992)Forecast improvements using a volatility …Modelling Financial Time Series (2007)Modelling Financial Time Seri…Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Stock Prices and Volume (1992)Stock Prices and VolumeARCH modeling in finance (1992)ARCH modeling in financeAn Empirical Assessment of Non-Linearities in Models of Exchange Rate Determination (1991)An Empirical Assessment of No…Nonparametric exchange rate prediction? (1990)Nonparametric exchange rate p…Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Long Swings in the Dollar: Ar…Alternative models for conditional stock volatility (1990)Alternative models for condit…Economic Significance of Predictable Variations in Stock Index Returns (1989)Economic Significance of Pred…Economic prediction using neural networks: the case of IBM daily stock returns (1988)Economic prediction using neu…Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Forecasting Economic Time Series (1986)Forecasting Economic Time Ser…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Some New Stock-Market Indexes (1966)Some New Stock-Market IndexesDoes VIX or volume improve GARCH volatility forecasts? (2015)Does VIX or volume improve GA…A Ten-Year Retrospection of the Behavior of Russian Stock Returns (2007)A Ten-Year Retrospection of t…A 10-year retrospective on the determinants of Russian stock returns (2007)A 10-year retrospective on th…Genetic multi-model composite forecast for non-linear prediction of exchange rates (2005)Genetic multi-model composite…Further insights on the puzzle of technical analysis profitability (2000)Further insights on the puzzl…A comparison of linear regression and neural network methods for predicting excess returns on large stocks (1998)A comparison of linear regres…Persistence of the Dow Jones Index on Rising Volume (1992)Persistence of the Dow Jones …Empirical exchange rate models of the seventies (1983)How Big Is the Random Walk in GNP? (1988)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)The Economics of Exchange Rates (2003)Introductory Econometrics for Finance (2008)The Pricing of Options and Corporate Liabilities (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)The Variation of Economic Risk Premiums (1991)Expected Stock Returns and Variance Risk Premia (2009)Time Series Analysis: Forecasting and Control (1977)The Relation Between Price Changes and Trading Volume: A Survey (1987)Why Does Stock Market Volatility Change Over Time? (1989)Noise Trader Risk in Financial Markets (1990)Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Price Momentum and Trading Volume (2000)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Risks and Portfolio Decisions Involving Hedge Funds (2003)Market liquidity as a sentiment indicator (2004)Measuring security price performance (1980)The relationship between return and market value of common stocks (1981)A Theory of Intraday Patterns: Volume and Price Variability (1988)Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)Econometric Analysis of Cross Section and Panel Data (2001)Multivariate Stochastic Variance Models (1994)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Intraday periodicity and volatility persistence in financial markets (1997)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 1992Stock Prices and Volume1,295 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?984 cited
  • 1986Forecasting Economic Time Series714 cited
  • 1988Economic prediction using neural networks: the case of IBM daily stock returns698 cited
  • 1989Economic Significance of Predictable Variations in Stock Index Returns597 cited
  • 1966Some New Stock-Market Indexes538 cited
  • 1990Nonparametric exchange rate prediction?484 cited
  • 1991An Empirical Assessment of Non-Linearities in Models of Exchange Rate Determination

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303 cited

Cited by

  • 2005Genetic multi-model composite forecast for non-linear prediction of exchange rates69 cited
  • 2015Does VIX or volume improve GARCH volatility forecasts?49 cited
  • 1998A comparison of linear regression and neural network methods for predicting excess returns on large stocks45 cited
  • 1992Persistence of the Dow Jones Index on Rising Volume44 cited
  • 2000Further insights on the puzzle of technical analysis profitability37 cited
  • 2007A 10-year retrospective on the determinants of Russian stock returns23 cited
  • 2007A Ten-Year Retrospection of the Behavior of Russian Stock Returns21 cited