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The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting
16 references·3 citing·37 second hop
The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting (2013)The Role of High‐Frequency Intra‐daily Da…Basel Committee On Banking Supervision (2010)Basel Committee On Banking Su…A Test for Superior Predictive Ability (2005)A Test for Superior Predictiv…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesPower and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…New frontiers for arch models (2002)New frontiers for arch modelsEconometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …The relation between implied and realized volatility (1998)The relation between implied …Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsEvaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Multiple-Days-Ahead Value-At-Risk and Expected Shortfall Forecasting for Stock Indices, Commodities and Exchange Rates: Inter-Day Versus Intra-Day Data (2016)Multiple-Days-Ahead Value-At-…Forecasting stock index volatility with GARCH models: international evidence (2015)Forecasting stock index volat…Big Data in Finance. (2015)Big Data in Finance.The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)CAViaR (2004)CoVaR (2016)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Expected Stock Returns and Variance Risk Premia (2009)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Volatility forecast comparison using imperfect volatility proxies (2010)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)The risk management of nothing (2009)Does Competition Reduce the Risk of Bank Failure? (2010)Markets: The Credit Rating Agencies (2010)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)
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References

  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 2010Basel Committee On Banking Supervision1,591 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 2005A Test for Superior Predictive Ability1,227 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 1998The relation between implied and realized volatility1,114 cited

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2002
New frontiers for arch models
739 cited

Cited by

  • 2016Multiple-Days-Ahead Value-At-Risk and Expected Shortfall Forecasting for Stock Indices, Commodities and Exchange Rates: Inter-Day Versus Intra-Day Data32 cited
  • 2015Forecasting stock index volatility with GARCH models: international evidence32 cited
  • 2015Big Data in Finance.5 cited