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An approximate long-memory range-based approach for value at risk estimation

Xiaochun Meng, James W. Taylor

International Journal of Forecasting · 2018 · 33 citations · 36 references

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References

36

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle · The Journal of Finance · 1993 · 8.7K citations

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Strictly Proper Scoring Rules, Prediction, and Estimation

Tilmann Gneiting, Adrian E. Raftery · Journal of the American Statistical Association · 2007 · 5.5K citations

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Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

Torben G. Andersen, Tim Bollerslev · International Economic Review · 1998 · 3.5K citations

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A Simple Approximate Long-Memory Model of Realized Volatility

Fulvio Corsi · Journal of Financial Econometrics · 2008 · 2.5K citations

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The distribution of realized stock return volatility

Torben G. Andersen · Journal of Financial Economics · 2001 · 2.4K citations

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