Volatility Forecasting Using Global Stochastic Financial Trends Extracted from Non-Synchronous Data-Reference-Cited by-同舟云学术

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Volatility Forecasting Using Global Stochastic Financial Trends Extracted from Non-Synchronous Data

Published:2015 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Grigoryeva Lyudmila,Ortega Juan-Pablo,Peresetsky Anatoly

Publisher

Elsevier BV

Reference40 articles.

1. Dynamic Conditional Correlation: on Properties and Estimation;G P Aielli;Journal of Business & Economic Statistics,2013

2. On the tvGARCH(1,1) model: Existence, CLT, and tail index;D Ambro?evi?it;Lithuanian Mathematical Journal,2008

3. Global and Regional Yield Curve Dynamics and Interactions: The Case of Some Asian Countries;B Y Bae;International Economic Journal,2011

4. Volatility During the Financial Crisis Through the Lens of High Frequency Data: A Realized GARCH Approach

5. Comparing density forecast models

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