SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Out‐of‐sample volatility prediction: Rolling window, expanding window, or both?
16 references·0 citing·42 second hop
Out‐of‐sample volatility prediction: Rolling window, expanding window, or both? (2023)Out‐of‐sample volatility prediction: Roll…Risk Everywhere: Modeling and Managing Volatility (2018)Risk Everywhere: Modeling and…Exploiting the errors: A simple approach for improved volatility forecasting (2015)Exploiting the errors: A simp…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…Realized kernels in practice: trades and quotes (2009)Realized kernels in practice:…Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Out-of-Sample Equity Premium …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…Why Has U.S. Inflation Become Harder to Forecast? (2007)Why Has U.S. Inflation Become…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Selection of estimation window in the presence of breaks (2006)Selection of estimation windo…Combination forecasts of output growth in a seven‐country data set (2004)Combination forecasts of outp…Forecasting Output and Inflation: The Role of Asset Prices (2003)Forecasting Output and Inflat…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)The VIX, the variance premium and stock market volatility (2014)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)The Combination of Forecasts (1969)Forecasting Using Principal Components From a Large Number of Predictors (2002)Macroeconomic Forecasting Using Diffusion Indexes (2002)Forecasting Stock Returns (2013)Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)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)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Continuous Auctions and Insider Trading (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Has the Business Cycle Changed and Why? (2002)Risk Matters: The Real Effects of Volatility Shocks (2011)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Government Spending Multipliers in Good Times and in Bad: Evidence from US Historical Data (2017)Common risk factors in the returns on stocks and bonds (1993)Comparing Predictive Accuracy (1994)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Manager sentiment and stock returns (2018)Option pricing when underlying stock returns are discontinuous (1976)Expected Stock Returns and Variance Risk Premia (2009)Does Corporate Headquarters Location Matter for Stock Returns? (2006)Macroeconomic Effects From Government Purchases and Taxes * (2011)Credit Spreads and Business Cycle Fluctuations (2012)
this work references cited by second hop

References

  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2007Why Has U.S. Inflation Become Harder to Forecast?1,719 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 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
  • 2004Combination forecasts of output growth in a seven‐country data set1,138 cited
  • 2003Forecasting Output and Inflation: The Role of Asset Prices864 cited
  • 2009Realized kernels in practice: trades and quotes642 cited
  • 2012Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes629 cited
  • 2010Threshold bipower variation and the impact of jumps on volatility forecasting561 cited
  • 2006Selection of estimation window in the presence of breaks473 cited
  • 2015Exploiting the errors: A simple approach for improved volatility forecasting448 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2012Out-of-Sample Forecast Tests Robust to the Choice of Window Size404 cited
  • 2018Risk Everywhere: Modeling and Managing Volatility357 cited
  • Cited by

    No citing works inside the corpus for this window.