Concepedia

Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information

Chao Liang, Yan Li, Feng Ma, Yu Wei

International Review of Financial Analysis · 2021 · 77 citations · 47 references

DOI

Concepts

References

47

Modeling and Forecasting Realized Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Econometrica · 2003 · 4K citations

, , +10

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

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

, , +17

A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

Tim Bollerslev · The Review of Economics and Statistics · 1987 · 2.6K citations

, , +14

A Simple Approximate Long-Memory Model of Realized Volatility

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

, , +17

Approximately normal tests for equal predictive accuracy in nested models

Todd E. Clark, Kenneth D. West · Journal of Econometrics · 2006 · 2.4K citations

, , +13