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Realised variance forecasting under Box-Cox transformations · Study

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ArticleRealised variance forecasting under Box-Cox transformations

Nick J. Taylor2017

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Articlegreen2017

Realised variance forecasting under Box-Cox transformations

34 citations·0/0 files stored·International Journal of Forecasting

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Financial Risk and Volatility Modeling Forecasting Techniques and Applications Stock Market Forecasting Methods

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References

2003Modeling and Forecasting Realized Volatility 1993A long memory property of stock market returns and a new model 2008A Simple Approximate Long-Memory Model of Realized Volatility 2001The distribution of realized stock return volatility 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2001The Distribution of Realized Exchange Rate Volatility 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

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Details

Year2017

Typearticle

Published2017-06-14

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations34

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ijforecast.2017.04.001

openalex_workW2440397453

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