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Forecasting the daily dynamic hedge ratios by GARCH models: evidence from the agricultural futures markets
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Forecasting the daily dynamic hedge ratios by GARCH models: evidence from the agricultural futures markets (2013)Forecasting the daily dynamic hedge ratio…Introductory Econometrics for Finance (2008)Introductory Econometrics for…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Introduction to Time Series and Forecasting (2002)Introduction to Time Series a…Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Forecasting methods and applications (1993)Forecasting methods and appli…ARCH modeling in finance (1992)ARCH modeling in financeModelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Forecasting and testing in co-integrated systems (1987)Forecasting and testing in co…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Multivariate GARCH models: a surveyMultivariate GARCH models: a …The Pricing of Options and Corporate Liabilities (1973)Econometric Analysis of Cross Section and Panel Data (2001)Oil prices and the stock prices of alternative energy companies (2007)Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis (2011)The Impact of Corporate Social Responsibility Disclosure on Financial Performance: Evidence from the GCC Islamic Banking Sector (2016)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Dynamic Conditional Correlation (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Analysis of Financial Time Series (2006)Cross‐validation strategies for data with temporal, spatial, hierarchical, or phylogenetic structure (2016)Financial time series forecasting model based on CEEMDAN and LSTM (2018)Modeling and Forecasting Realized Volatility (2003)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1992ARCH modeling in finance4,288 cited
  • 2002Introduction to Time Series and Forecasting3,913 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 2008Introductory Econometrics for Finance3,662 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1993Forecasting methods and applications2,393 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1997Testing the equality of prediction mean squared errors2,103 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 1987Forecasting and testing in co-integrated systems1,896 cited
  • 2005

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A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
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