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Improving realised volatility forecast for emerging markets
16 references·0 citing·29 second hop
Improving realised volatility forecast for emerging markets (2024)Improving realised volatility forecast fo…Volatility Is Rough (2018)Volatility Is RoughGood Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Good Volatility, Bad Volatili…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Modeling and pricing long memory in stock market volatility (1996)Modeling and pricing long mem…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Book Review: Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Independence and Dependence (1961)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)The Typical Spectral Shape of an Economic Variable (2001)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Behavior of Stock-Market Prices (1965)Introductory Econometrics for Finance (2008)A long memory property of stock market returns and a new model (1993)Modeling and Forecasting Realized Volatility (2003)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2018)Forecasting: theory and practice (2022)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Cross‐Section of Volatility and Expected Returns (2006)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root26,976 cited
  • 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 Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,727 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,841 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,297 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,878 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,586 cited
  • 1996Modeling and pricing long memory in stock market volatility

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1,208 cited
  • 2018Volatility Is Rough869 cited
  • 2015Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility772 cited
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