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ArticleForecasting realized volatility with changing average levels

Giampiero Maria Gallo2015

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Articlegreen2015

Forecasting realized volatility with changing average levels

Giampiero Maria Gallo · Edoardo Otranto

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

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Forecasting Techniques and Applications

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1994Comparing Predictive Accuracy 1995Comparing Predictive Accuracy 2003Modeling and Forecasting Realized Volatility 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

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2021Forecasting Foreign Exchange Volatility Using Deep Learning Autoencoder‐LSTM Techniques 2019VIX and volatility forecasting: A new insight 2020Realized volatility forecasting: Robustness to measurement errors

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Details

Year2015

Typearticle

Published2015-05-15

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations62

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ijforecast.2014.09.005

openalex_workW290091234

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