Forecasting realized volatility: Does anything beat linear models?-Reference-Cited by-同舟云学术

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Forecasting realized volatility: Does anything beat linear models?

Published:2024-09 Issue: Volume:78 Page:101524
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

Branco Rafael R.,Rubesam Alexandre^ORCID,Zevallos Mauricio

Funder

FAPESP

Publisher

Elsevier BV

Reference77 articles.

1. Prediction of cryptocurrency returns using machine learning;Akyildirim;Ann. Oper. Res.,2020

2. Market Risk Analysis, Value at Risk Models;Alexander,2009

3. Parametric and nonparametric volatility measurement;Andersen,2010

4. The distribution of realized stock return volatility;Andersen;J. Financ. Econ.,2001

5. The distribution of realized exchange rate volatility;Andersen;J. Amer. Statist. Assoc.,2001

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