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Forecasting Volatility in Financial Markets

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References

2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements551 cited
1996An evaluation of volatility forecasting techniques479 cited
2009Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements151 cited

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2003Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models89 cited
2011Spot and forward volatility in foreign exchange84 cited
2006There's more to volatility than volume81 cited
2011Forecasting exchange rate volatility using high-frequency data: Is the euro different?80 cited
2022Trading volume and realized volatility forecasting: Evidence from the China stock market78 cited
2009Modeling and forecasting stock return volatility using a random level shift model76 cited
2010A Multi-Horizon Comparison of Density Forecasts for the S&P 500 Using Index Returns and Option Prices71 cited
2009How asymmetric is U.S. stock market volatility?

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68 cited

2019Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network67 cited

2011Dynamics of the Term Structure and Volatility of Shipping Freight Rates63 cited

2004Stock Returns and the Business Cycle58 cited

2016Clustering stock price time series data to generate stock trading recommendations: An empirical study58 cited

2015Systemic risk and asymmetric responses in the financial industry57 cited