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Volatility forecasting in European government bond markets · Study

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ArticleVolatility forecasting in European government bond markets

Ali Gencay Özbekler2021

Article2021

Volatility forecasting in European government bond markets

Ali Gencay Özbekler · Alexandros Kontonikas · Athanasios Triantafyllou

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

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1994Comparing Predictive Accuracy 1995Comparing Predictive Accuracy 2003Modeling and Forecasting Realized Volatility 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1987Parsimonious Modeling of Yield Curves 2008A Simple Approximate Long-Memory Model of Realized Volatility 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2004Power and Bipower Variation with Stochastic Volatility and Jumps

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Year2021

Typearticle

Published2021-06-12

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations16

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ijforecast.2021.03.009

openalex_workW3026472569

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