Forecasting the volatility of financial processes with conditional variance models

被引：0
|
作者：
Bidyuk, P.I. [1 ]
Kuznetsova, N.V. [1 ]
机构：
[1] Bidyuk, P.I.
[2] Kuznetsova, N.V.
来源：
| 1600年 / Begell House Inc.卷 / 46期
关键词：
9;
D O I：
10.1615/JAutomatInfScien.v46.i10.20
中图分类号：
学科分类号：
摘要：
引用
收藏
页码：11 / 19
相关论文
共 50 条
  • [21] Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models
    He, Yanan
    Han, Ai
    Hong, Yongmiao
    Sun, Yuying
    Wang, Shouyang
    ECONOMETRIC REVIEWS, 2021, 40 (06) : 584 - 606
  • [22] Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models
    Arouri, Mohamed El Hedi
    Lahiani, Amine
    Levy, Aldo
    Duc Khuong Nguyen
    ENERGY ECONOMICS, 2012, 34 (01) : 283 - 293
  • [23] Stochastic volatility models for the Brent oil futures market: forecasting and e]xtracting conditional moments
    Solibakke, Bjarte
    OPEC ENERGY REVIEW, 2015, 39 (02) : 184 - 221
  • [24] Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations
    Dendramis, Yiannis
    Spungin, Giles E.
    Tzavalis, Elias
    JOURNAL OF FORECASTING, 2014, 33 (07) : 515 - 531
  • [25] Forecasting UHF Financial Data: Realized Volatility versus UHF-GARCH Models
    François-Éric Racicot
    Raymond Théoret
    Alain Coën
    International Advances in Economic Research, 2007, 13 (2) : 243 - 244
  • [26] SCIENTIFIC STOCHASTIC VOLATILITY MODELS FOR THE SALMON FORWARD MARKET: FORECASTING (UN-)CONDITIONAL MOMENTS
    Solibakke, Per Bjarte
    AQUACULTURE ECONOMICS & MANAGEMENT, 2012, 16 (03) : 222 - 249
  • [27] Forecasting volatility with component conditional autoregressive range model
    Wu, Xinyu
    Hou, Xinmeng
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2020, 51
  • [28] Forecasting UHF Financial Data: Realized Volatility versus UHF-GARCH Models
    Racicot, Francois-Eric
    Theoret, Raymond
    Coen, Alain
    INTERNATIONAL ADVANCES IN ECONOMIC RESEARCH, 2007, 13 (02) : 243 - 244
  • [29] The application of signed range to forecasting the volatility of financial
    Liu Y.
    Qu J.
    Dong X.
    Zhang L.
    Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice, 2021, 41 (09): : 2256 - 2270
  • [30] The Volatility Forecasting Power of Financial Network Analysis
    Magner, Nicolas S.
    Lavin, Jaime F.
    Valle, Mauricio A.
    Hardy, Nicolas
    COMPLEXITY, 2020, 2020
12345