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Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information
16 references·10 citing·34 second hop
Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information (2021)Global equity market volatilities forecas…Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Good Volatility, Bad Volatili…Out-of-Sample Forecast Tests Robust to the Choice of Window Size (2012)Out-of-Sample Forecast Tests …Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Does Anything Beat 5-Minute R…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…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Estimating quadratic variation using realized variance (2002)Estimating quadratic variatio…The distribution of realized stock return volatility (2001)The distribution of realized …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Forecasting stock market volatility using (non-linear) Garch models (1996)Forecasting stock market vola…A Simple Nonparametric Test of Predictive Performance (1992)A Simple Nonparametric Test o…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…More attention and better volatility forecast accuracy: How does war attention affect stock volatility predictability? (2023)More attention and better vol…Global financial stress index and long-term volatility forecast for international stock markets (2023)Global financial stress index…Whether dimensionality reduction techniques can improve the ability of sentiment proxies to predict stock market returns (2022)Whether dimensionality reduct…Investor sentiment based on scaled PCA method: A powerful predictor of realized volatility in the Chinese stock market (2022)Investor sentiment based on s…Geopolitical risk and oil price volatility: Evidence from Markov-switching model (2022)Geopolitical risk and oil pri…Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect (2022)Futures volatility forecastin…Prediction of consumer repurchase behavior based on LSTM neural network model (2021)Prediction of consumer repurc…Is investor sentiment stronger than VIX and uncertainty indices in predicting energy volatility? (2021)Is investor sentiment stronge…Forecasting stock market volatility using commodity futures volatility information (2021)Forecasting stock market vola…Forecasting China's crude oil futures volatility: New evidence from the MIDAS-RV model and COVID-19 pandemic (2021)Forecasting China's crude oil…The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Specification Tests in Econometrics (1978)Forecasting tourism demand: A review of empirical research (1995)Predictability of Stock Returns: Robustness and Economic Significance (1995)Introductory Econometrics for Finance (2008)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Microstructure noise in the continuous case: The pre-averaging approach (2008)Realized GARCH: a joint model for returns and realized measures of volatility (2011)A long memory property of stock market returns and a new model (1993)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)Comparing Predictive Accuracy (1994)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Macroeconomic Forecasting Using Diffusion Indexes (2002)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Policy Uncertainty and Corporate Investment (2015)The VIX, the variance premium and stock market volatility (2014)The Cross‐Section of Volatility and Expected Returns (2006)
this work references cited by second hop

References

  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 2010Volatility forecast comparison using imperfect volatility proxies1,281 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
  • 1992A Simple Nonparametric Test of Predictive Performance897 cited
  • 2015Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility772 cited
  • 2012Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes629 cited
  • 2002Estimating quadratic variation using realized variance618 cited
  • 2010Threshold bipower variation and the impact of jumps on volatility forecasting561 cited

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2012
Out-of-Sample Forecast Tests Robust to the Choice of Window Size
404 cited
  • 1996Forecasting stock market volatility using (non-linear) Garch models394 cited
  • Cited by

    • 2022Geopolitical risk and oil price volatility: Evidence from Markov-switching model102 cited
    • 2021Is investor sentiment stronger than VIX and uncertainty indices in predicting energy volatility?74 cited
    • 2023Global financial stress index and long-term volatility forecast for international stock markets68 cited
    • 2023More attention and better volatility forecast accuracy: How does war attention affect stock volatility predictability?66 cited
    • 2022Investor sentiment based on scaled PCA method: A powerful predictor of realized volatility in the Chinese stock market37 cited
    • 2022Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect34 cited
    • 2021Forecasting China's crude oil futures volatility: New evidence from the MIDAS-RV model and COVID-19 pandemic28 cited
    • 2022Whether dimensionality reduction techniques can improve the ability of sentiment proxies to predict stock market returns26 cited
    • 2021Forecasting stock market volatility using commodity futures volatility information24 cited
    • 2021Prediction of consumer repurchase behavior based on LSTM neural network model12 cited