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Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
16 references·0 citing·42 second hop
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 2005A Test for Superior Predictive Ability1,227 cited
  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
  • 2022Forecasting: theory and practice942 cited
  • 2011Realized GARCH: a joint model for returns and realized measures of volatility670 cited
  • 1992Inequality Constraints in the Univariate GARCH Model611 cited
  • 2005Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model366 cited
  • 2017Large Dynamic Covariance Matrices278 cited
  • 2006A No‐Arbitrage Approach to Range‐Based Estimation of Return Covariances and Correlations*199 cited

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  • 2003Selection of Value‐at‐Risk models190 cited
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