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Volatility Forecast Evaluation and Comparison Using Imperfect Volatility Proxies
16 references·12 citing·26 second hop
Volatility Forecast Evaluation and Comparison Using Imperfect Volatility Proxies (2005)Volatility Forecast Evaluation and Compar…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …An Overview of Value at Risk (1997)An Overview of Value at RiskAsymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Forecasting realized volatility: HAR against Principal Components Combining, neural networks and GARCH (2015)Forecasting realized volatili…Automated Model Selection in Finance: General‐to‐Specific Modelling of the Mean and Volatility Specifications* (2011)Automated Model Selection in …FORECASTING REALIZED VOLATILITY WITH LINEAR AND NONLINEAR UNIVARIATE MODELS (2010)FORECASTING REALIZED VOLATILI…A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations (2010)A General Multivariate Thresh…Splines for Financial Volatility (2009)Splines for Financial Volatil…Sequential conditional correlations: Inference and evaluation (2009)Sequential conditional correl…NUISANCE PARAMETERS, COMPOSITE LIKELIHOODS AND A PANEL OF GARCH MODELS (2009)NUISANCE PARAMETERS, COMPOSIT…Multi-Period Forecasts of Volatility: Direct, Iterated, and Mixed-Data Approaches (2009)Multi-Period Forecasts of Vol…Finite sample accuracy and choice of sampling frequency in integrated volatility estimation (2007)Finite sample accuracy and ch…Backtesting VaR models:a two-stage procedure (2007)Backtesting VaR models:a two-…A GMM procedure for combining volatility forecasts (2007)A GMM procedure for combining…A note on the importance of overnight information in risk management models (2006)A note on the importance of o…The Behavior of Stock-Market Prices (1965)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Expected Stock Returns and Variance Risk Premia (2009)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)Econometric Analysis of Cross Section and Panel Data (2001)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Volatility forecast comparison using imperfect volatility proxies (2010)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 1997

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An Overview of Value at Risk
1,320 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • Cited by

    • 2015Forecasting realized volatility: HAR against Principal Components Combining, neural networks and GARCH62 cited
    • 2006A note on the importance of overnight information in risk management models56 cited
    • 2009Multi-Period Forecasts of Volatility: Direct, Iterated, and Mixed-Data Approaches53 cited
    • 2011Automated Model Selection in Finance: General‐to‐Specific Modelling of the Mean and Volatility Specifications*45 cited
    • 2009Sequential conditional correlations: Inference and evaluation43 cited
    • 2007Backtesting VaR models:a two-stage procedure39 cited
    • 2007Finite sample accuracy and choice of sampling frequency in integrated volatility estimation34 cited
    • 2009Splines for Financial Volatility30 cited
    • 2009NUISANCE PARAMETERS, COMPOSITE LIKELIHOODS AND A PANEL OF GARCH MODELS29 cited
    • 2007A GMM procedure for combining volatility forecasts28 cited
    • 2010FORECASTING REALIZED VOLATILITY WITH LINEAR AND NONLINEAR UNIVARIATE MODELS28 cited
    • 2010A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations27 cited