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Probabilistic forecasts of volatility and its risk premia
16 references·1 citing·36 second hopsampled
Probabilistic forecasts of volatility and its risk premia (2012)Probabilistic forecasts of volatility and…Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Probabilistic Forecasts, Calibration and Sharpness (2007)Probabilistic Forecasts, Cali…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsAutoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…The determinants of bank loan recovery rates in good times and bad – New evidence (2020)The determinants of bank loan…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Comparing Predictive Accuracy (1994)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)CoVaR (2016)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Measuring Uncertainty (2015)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)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)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2018)Forecasting: theory and practice (2022)Coherent Measures of Risk (1999)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)An equilibrium characterization of the term structure (1977)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2003Modeling and Forecasting Realized Volatility3,920 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 2007Probabilistic Forecasts, Calibration and Sharpness1,793 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 2002

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The jump-risk premia implicit in options: evidence from an integrated time-series study
1,657 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,586 cited
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    • 2020The determinants of bank loan recovery rates in good times and bad – New evidence20 cited