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Forecasting accuracy of stochastic volatility, GARCH and EWMA models under different volatility scenarios
16 references·1 citing·29 second hop
Forecasting accuracy of stochastic volatility, GARCH and EWMA models under different volatility scenarios (2010)Forecasting accuracy of stochastic volati…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Estimation of stochastic volatility models via Monte Carlo maximum likelihood (1998)Estimation of stochastic vola…GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study (1996)GMM Estimation of a Stochasti…Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns (1996)Estimation of an Asymmetric S…An evaluation of volatility forecasting techniques (1996)An evaluation of volatility f…5 Stochastic volatility (1996)5 Stochastic volatilityStochastic volatility in asset prices estimation with simulated maximum likelihood (1994)Stochastic volatility in asse…Quasi-maximum likelihood estimation of stochastic volatility models (1994)Quasi-maximum likelihood esti…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…Chapter 49 Arch models (1994)Chapter 49 Arch modelsBayesian Analysis of Stochastic Volatility Models (1994)Bayesian Analysis of Stochast…ARCH modeling in finance (1992)ARCH modeling in financePricing foreign currency options with stochastic volatility (1990)Pricing foreign currency opti…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Modelling and predicting the Bitcoin volatility using GARCH models (2017)Modelling and predicting the …The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling and Forecasting Realized Volatility (2001)Stock market volatility, excess returns, and the role of investor sentiment (2002)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)An Intertemporal General Equilibrium Model of Asset Prices (1985)The Pricing of Options on Assets with Stochastic Volatilities (1987)All in the family Nesting symmetric and asymmetric GARCH models (1995)Predicting Volatility in the Foreign Exchange Market (1995)Statistical aspects of ARCH and stochastic volatility (1996)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Range‐Based Estimation of Stochastic Volatility Models (2002)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Modeling and forecasting petroleum futures volatility (2006)Estimating stock market volatility using asymmetric GARCH models (2008)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)Econometric Analysis of Cross Section and Panel Data (2001)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Financial time series forecasting model based on CEEMDAN and LSTM (2018)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)
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  • 1994

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Quasi-maximum likelihood estimation of stochastic volatility models
313 cited

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  • 2017Modelling and predicting the Bitcoin volatility using GARCH models29 cited