Results 261 to 270 of about 583,999 (299)
Some of the next articles are maybe not open access.
Earnings forecasts and idiosyncratic volatilities
International Review of Financial Analysis, 2008Abstract We test the theoretical relation between idiosyncratic return volatilities and the volatilities of cash-flow news based on the expected returns on equity (ROE) for CRSP stocks over the period 1977–2008. Consistent with economic intuition, we find that using analyst forecasts of earnings is superior to using realized earnings to proxy for ...
Lawrence Kryzanowski, sana mohsni
openaire +1 more source
Financial Markets, Institutions & Instruments, 1997
This monograph puts together results from several lines of research that I have pursued over a period of years, on the general topic of volatility forecasting for option pricing applications. It is not meant to be a complete survey of the extensive literature on the subject, nor is it a definitive set of prescriptions on how to get the best volatility ...
openaire +1 more source
This monograph puts together results from several lines of research that I have pursued over a period of years, on the general topic of volatility forecasting for option pricing applications. It is not meant to be a complete survey of the extensive literature on the subject, nor is it a definitive set of prescriptions on how to get the best volatility ...
openaire +1 more source
Volatility Forecasting and Microstructure Noise
SSRN Electronic Journal, 2006zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ghysels, Eric, Sinko, Arthur
openaire +1 more source
Volatility forecasts evaluation and comparison
WIREs Computational Statistics, 2011AbstractThis article surveys the most important developments in volatility forecast comparison and model selection. We review a number of evaluation methods and testing procedures for predictive accuracy based on statistical loss functions. We also review recent contributions on the admissible form of loss functions ensuring consistency of the ordering
VIOLANTE, FRANCESCO +1 more
openaire +5 more sources
Volatility forecasting: combinations of realized volatility measures and forecasting models
Applied Economics, 2017This article examines financial time series volatility forecasting performance. Different from other studies which either focus on combining individual realized measures or combining forecasting mo...
Linlan Xiao +3 more
openaire +1 more source
Forecasting Volatility with Many Predictors
Journal of Forecasting, 2013ABSTRACTThis study investigates the forecasting performance of the GARCH(1,1) model by adding an effective covariate. Based on the assumption that many volatility predictors are available to help forecast the volatility of a target variable, this study shows how to construct a covariate from these predictors and plug it into the GARCH(1,1) model.
Ke, Tsung-Han, Hu, Yu-Pin
openaire +2 more sources
Volatility homogenisation decomposition for forecasting
2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr), 2014We explore the idea that by modeling a financial time series at regular points in space (i.e. price) rather than regular points in time, more predictive power can be extracted from the time series. We will term this concept of modeling time series at regular points in space as “volatility homogenisation”. Our hypothesis is that if we select the correct
Adam W. Kowalewski +2 more
openaire +2 more sources
Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects
SSRN Electronic Journal, 2018Abstract Predicting volatility is of primary importance for business applications in risk management, asset allocation, and the pricing of derivative instruments. This paper proposes a measurement model that considers the possibly time-varying interaction of realized volatility and asset returns according to a bivariate model to capture its major ...
Catania, L, Proietti, T
openaire +3 more sources
Forecasting realized volatility: A review
Journal of the Korean Statistical Society, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +1 more source
Forecasting exchange rate volatility
Economics Letters, 2002zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +1 more source