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Forecasting the realized volatility of CSI 300
16 references·0 citing·28 second hop
Forecasting the realized volatility of CSI 300 (2019)Forecasting the realized volatility of CS…Multifractal analysis of financial markets: a review (2019)Multifractal analysis of fina…Volatility forecast comparison using imperfect volatility proxies (2010)Volatility forecast compariso…Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Threshold bipower variation a…The Volatility of Realized Volatility (2008)The Volatility of Realized Vo…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…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 …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …The Distribution of Exchange Rate Volatility (1999)The Distribution of Exchange …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)MODELING STOCHASTIC VOLATILIT…Chapter 49 Arch models (1994)Chapter 49 Arch modelsGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Comparing Predictive Accuracy (1994)Realized Variance and Market Microstructure Noise (2006)Making and Evaluating Point Forecasts (2011)The VIX, the variance premium and stock market volatility (2014)The Behavior of Stock-Market Prices (1965)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)A long memory property of stock market returns and a new model (1993)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2018)Forecasting: theory and practice (2022)Coherent Measures of Risk (1999)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Econometric Analysis of Cross Section and Panel Data (2001)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,836 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,695 cited
  • 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
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,113 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,828 cited
  • 2010Volatility forecast comparison using imperfect volatility proxies1,307 cited
  • 1994Chapter 49 Arch models880 cited
  • 1994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY646 cited
  • 2010Threshold bipower variation and the impact of jumps on volatility forecasting561 cited
  • 1999The Distribution of Exchange Rate Volatility463 cited
  • 2019Multifractal analysis of financial markets: a review

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429 cited
  • 2008The Volatility of Realized Volatility421 cited
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