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Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility
16 references·0 citing·26 second hop
Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility (2022)Score-driven location plus scale models: …Dynamic Models for Volatility and Heavy Tails (2013)Dynamic Models for Volatility…GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)GENERALIZED AUTOREGRESSIVE SC…Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Does Anything Beat 5-Minute R…A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (2011)A Dynamic Multivariate Heavy-…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach (2006)Quasi-maximum-likelihood esti…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model (1999)Stock Market Overreactions to…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Studies of stock market volatility changes (1976)Studies of stock market volat…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)The variation of certain speculative prices (1997)Risk, Return, and Equilibrium: Empirical Tests (1973)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Comparing Predictive Accuracy (1994)A Test for Superior Predictive Ability (2005)Approximately normal tests for equal predictive accuracy in nested models (2006)Volatility forecast comparison using imperfect volatility proxies (2010)Econometric Analysis of Cross Section and Panel Data (2001)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)The Cross‐Section of Volatility and Expected Returns (2006)A review of copula models for economic time series (2012)Copula Methods for Forecasting Multivariate Time Series (2013)Forecasting: theory and practice (2022)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
  • 1993A long memory property of stock market returns and a new model3,282 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,576 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,878 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 2012GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS998 cited
  • 1999Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model997 cited
  • 1976Studies of stock market volatility changes885 cited
  • 2012Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes629 cited
  • 2013Dynamic Models for Volatility and Heavy Tails540 cited

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2006
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach
395 cited
  • 2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations294 cited
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