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Forecasting realized volatility with wavelet decomposition
16 references·0 citing·42 second hop
Forecasting realized volatility with wavelet decomposition (2023)Forecasting realized volatility with wave…Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…The short of it: Investor sentiment and anomalies (2011)The short of it: Investor sen…Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Out-of-Sample Equity Premium …Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…The Adaptive Markets Hypothesis (2004)The Adaptive Markets Hypothes…Investor sentiment and the near-term stock market (2003)Investor sentiment and the ne…Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Differences of Opinion, Short…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Does the Stock Market Overreact? (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Market underreaction to open market share repurchases (1995)Do Investors Trade Too Much? (1999)Improved Methods for Tests of Long‐Run Abnormal Stock Returns (1999)The equity premium: A puzzle (1985)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Expected stock returns and volatility (1987)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Macroeconomic Forecasting Using Diffusion Indexes (2002)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Policy Uncertainty and Corporate Investment (2015)Investor Psychology and Security Market Under‐ and Overreactions (1998)In Search of Attention (2011)
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References

  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
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  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
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  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,298 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,868 cited
  • 2011The short of it: Investor sentiment and anomalies1,781 cited
  • 2004The Adaptive Markets Hypothesis1,708 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
  • 2003Differences of Opinion, Short-Sales Constraints, and Market Crashes

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1,356 cited
  • 2003Investor sentiment and the near-term stock market1,336 cited
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