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Improving volatility forecasting based on Chinese volatility index information: Evidence from CSI 300 index and futures markets
16 references·2 citing·40 second hop
Improving volatility forecasting based on Chinese volatility index information: Evidence from CSI 300 index and futures markets (2019)Improving volatility forecasting based on…Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Good Volatility, Bad Volatili…Forecasting realized volatility in a changing world: A dynamic model averaging approach (2015)Forecasting realized volatili…Exploiting the errors: A simple approach for improved volatility forecasting (2015)Exploiting the errors: A simp…Forecasting the volatility of crude oil futures using intraday data (2014)Forecasting the volatility of…A reduced form framework for modeling volatility of speculative prices based on realized variation measures (2010)A reduced form framework for …Understanding the VIX (2009)Understanding the VIXA Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…A Tale of Two Indices (2006)A Tale of Two IndicesThe Model-Free Implied Volatility and Its Information Content (2005)The Model-Free Implied Volati…Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…A Simple Long Memory Model of Realized Volatility (2004)A Simple Long Memory Model of…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Predicting stock market volatility: A new measure (1995)Predicting stock market volat…Derivatives on Market Volatility (1993)Derivatives on Market Volatil…Evaluating influential nodes for the Chinese energy stocks based on jump volatility spillover network (2021)Evaluating influential nodes …Economic policy uncertainty and stock market returns: New evidence (2021)Economic policy uncertainty a…The Pricing of Options and Corporate Liabilities (1973)Specification Tests in Econometrics (1978)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)What's Vol Got to Do with It (2010)Tails, Fears, and Risk Premia (2011)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Information Externalities along the Supply Chain: The Economic Determinants of Suppliers’ Stock Price Reaction to Their Customers’ Earnings Announcements* (2011)Cognitive Dissonance, Sentiment, and Momentum (2012)Is gold the best hedge and a safe haven under changing stock market volatility? (2013)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The quality of market volatility forecasts implied by S&P 100 index option prices (1998)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Parametric and Nonparametric Volatility Measurement (2010)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Comparing Predictive Accuracy (1994)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Economic policy uncertainty and stock market volatility (2015)Good and bad uncertainty: Macroeconomic and financial market implications (2015)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Option pricing: A simplified approach (1979)Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility (1997)Relationships Between Implied Volatility Indexes and Stock Index Returns (2005)Theory of rational option pricing (2005)Stochastic Integration and Differential Equations (2005)The Relative Contribution of Jumps to Total Price Variance (2005)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)A long memory property of stock market returns and a new model (1993)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)
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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
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
  • 2005The Model-Free Implied Volatility and Its Information Content1,012 cited
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  • 2015Forecasting realized volatility in a changing world: A dynamic model averaging approach292 cited
  • 2014Forecasting the volatility of crude oil futures using intraday data263 cited
  • 2004A Simple Long Memory Model of Realized Volatility249 cited

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  • 2010A reduced form framework for modeling volatility of speculative prices based on realized variation measures239 cited
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    • 2021Economic policy uncertainty and stock market returns: New evidence77 cited
    • 2021Evaluating influential nodes for the Chinese energy stocks based on jump volatility spillover network23 cited