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Forecasting of Realised Volatility with the Random Forests Algorithm
16 references·9 citing·29 second hop
Forecasting of Realised Volatility with the Random Forests Algorithm (2018)Forecasting of Realised Volatility with t…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…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…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The Investor Fear Gauge (2000)The Investor Fear GaugeScaling and criticality in a stochastic multi-agent model of a financial market (1999)Scaling and criticality in a …Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)Volatilities of different tim…Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Heterogeneous Information Arr…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…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 Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…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 pricing of commodity contracts (1976)The pricing of commodity cont…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Hybrid ML models for volatility prediction in financial risk management (2025)Hybrid ML models for volatili…Volatility forecasting and volatility-timing strategies: A machine learning approach (2024)Volatility forecasting and vo…Estimating Stock Market Betas via Machine Learning (2024)Estimating Stock Market Betas…Forecasting stock prices of fintech companies of India using random forest with high-frequency data (2023)Forecasting stock prices of f…Forecasting realized volatility with machine learning: Panel data perspective (2023)Forecasting realized volatili…Forecasting bitcoin volatility: exploring the potential of deep learning (2023)Forecasting bitcoin volatilit…A moving-window bayesian network model for assessing systemic risk in financial markets (2023)A moving-window bayesian netw…A Financial Time-Series Prediction Model Based on Multiplex Attention and Linear Transformer Structure (2023)A Financial Time-Series Predi…Identification of Core Suppliers Based on E-Invoice Data Using Supervised Machine Learning (2018)Identification of Core Suppli…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)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)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)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)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Multivariate GARCH models: a surveyEmerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Cross‐Section of Volatility and Expected Returns (2006)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 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
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 1999Scaling and criticality in a stochastic multi-agent model of a financial market1,527 cited
  • 2000The Investor Fear Gauge1,097 cited
  • 1997Volatilities of different time resolutions — Analyzing the dynamics of market components

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745 cited
  • 1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns649 cited
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    • 2025Hybrid ML models for volatility prediction in financial risk management45 cited
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    • 2023A moving-window bayesian network model for assessing systemic risk in financial markets21 cited
    • 2023Forecasting bitcoin volatility: exploring the potential of deep learning20 cited
    • 2024Estimating Stock Market Betas via Machine Learning20 cited
    • 2018Identification of Core Suppliers Based on E-Invoice Data Using Supervised Machine Learning10 cited