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Are low-frequency data really uninformative? A forecasting combination perspective
16 references·6 citing·23 second hop
Are low-frequency data really uninformative? A forecasting combination perspective (2017)Are low-frequency data really uninformati…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…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 distribution of realized stock return volatility (2001)The distribution of realized …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…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…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Combination of Forecasts (1969)The Combination of ForecastsA novel approach to using modern portfolio theory (2022)A novel approach to using mod…Improving stock market volatility forecasts with complete subset linear and quantile HAR models (2021)Improving stock market volati…A Model Confidence Set approach to the combination of multivariate volatility forecasts (2020)A Model Confidence Set approa…Forecasting the Chinese stock volatility across global stock markets (2019)Forecasting the Chinese stock…Forecasting stock market returns by combining sum-of-the-parts and ensemble empirical mode decomposition (2019)Forecasting stock market retu…Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help? (2018)Forecasting the realized vola…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Introductory Econometrics for Finance (2008)The Behavior of Stock-Market Prices (1965)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Econometric Analysis of Cross Section and Panel Data (2001)Time series forecasting using a hybrid ARIMA and neural network model (2003)25 years of time series forecasting (2006)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1969The Combination of Forecasts3,194 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 1989Combining forecasts: A review and annotated bibliography2,170 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps

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2,033 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • Cited by

    • 2022A novel approach to using modern portfolio theory41 cited
    • 2019Forecasting stock market returns by combining sum-of-the-parts and ensemble empirical mode decomposition34 cited
    • 2018Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help?31 cited
    • 2019Forecasting the Chinese stock volatility across global stock markets27 cited
    • 2020A Model Confidence Set approach to the combination of multivariate volatility forecasts25 cited
    • 2021Improving stock market volatility forecasts with complete subset linear and quantile HAR models23 cited