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Alternative volatility models for risk management and trading: Application to the EUR/USD and USD/JPY rates
16 references·1 citing·34 second hop
Alternative volatility models for risk management and trading: Application to the EUR/USD and USD/JPY rates (2005)Alternative volatility models for risk ma…The relation between implied and realized volatility (1998)The relation between implied …Designing a neural network for forecasting financial and economic time series (1996)Designing a neural network fo…5 Stochastic volatility (1996)5 Stochastic volatilityPredicting Volatility in the Foreign Exchange Market (1995)Predicting Volatility in the …Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Pricing foreign currency options with stochastic volatility (1990)Pricing foreign currency opti…Econometric Models and Economic Forecasts (1990)Econometric Models and Econom…Combining forecasts: A review and annotated bibliography (1990)Combining forecasts: A review…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Combining forecasts: A review and annotated bibliography (1989)Combining forecasts: A review…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Improved methods of combining forecasts (1984)Improved methods of combining…Foreign currency option values (1983)Foreign currency option valuesAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Modelling and trading the realised volatility of the FTSE100 futures with higher order neural networks (2011)Modelling and trading the rea…Expert judgment: Some necessary conditions and an example. (1974)The M3-Competition: results, conclusions and implications (2000)25 years of time series forecasting (2006)Chapter 4 Forecast Combinations (2006)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)Alternative models for conditional stock volatility (1990)Stock Prices and Volume (1992)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)A Monetary History of the United States, 1867-1960 (2017)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)The Cross‐Section of Volatility and Expected Returns (2006)The Combination of Forecasts (1969)The accuracy of extrapolation (time series) methods: Results of a forecasting competition (1982)Combination forecasts of output growth in a seven‐country data set (2004)Handbook of Economic Forecasting (2013)The Pricing of Options and Corporate Liabilities (1973)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)Econometric Analysis of Cross Section and Panel Data (2001)The Influence of Top Management Team Heterogeneity on Firms' Competitive Moves (1996)The analysis of household surveys (1997)Veto Players. How Political Institutions Work (2003)
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References

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  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
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  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
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  • 19965 Stochastic volatility1,189 cited
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  • 1998The relation between implied and realized volatility1,114 cited
  • 1996Designing a neural network for forecasting financial and economic time series1,092 cited
  • 1983Foreign currency option values1,078 cited
  • 1990Pricing foreign currency options with stochastic volatility749 cited
  • 1995

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Predicting Volatility in the Foreign Exchange Market
723 cited

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  • 2011Modelling and trading the realised volatility of the FTSE100 futures with higher order neural networks22 cited