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Are low-frequency data really uninformative? A forecasting combination perspective
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
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The conditional heteroscedasticity of the yen-dollar exchange rate
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Evaluating the predictive accuracy of volatility models
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Forecasting Stock Market Volatility in Central and Eastern European Countries
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Volatility Forecasting via MIDAS, HAR and their Combination: An Empirical Comparative Study for IBOVESPA
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Model Uncertainty and Forecast Combination in High‐Dimensional Multivariate Volatility Prediction
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Structural change and the combination of forecasts
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Combination forecasts of output growth in a seven‐country data set
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Predicting financial volatility: High‐frequency time‐series forecasts vis‐à‐vis implied volatility
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On the forecasting accuracy of multivariate GARCH models
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A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
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Combining forecasts: A review and annotated bibliography
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Combining forecasts: A review and annotated bibliography
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Generalized autoregressive conditional heteroskedasticity
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Modeling and pricing long memory in stock market volatility
inferredcites →https://doi.org/10.1016/0927-5398(93)90006-dopenalex-snapshot
A long memory property of stock market returns and a new model
inferredcites →https://doi.org/10.1016/j.econmod.2012.06.029openalex-snapshot
A study of Shanghai fuel oil futures price volatility based on high frequency data: Long-range dependence, modeling and forecasting
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Forecasting the volatility of crude oil futures using intraday data
inferredcites →https://doi.org/10.1016/j.eneco.2008.11.001openalex-snapshot
Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models
inferredcites →https://doi.org/10.1016/j.eneco.2010.07.009openalex-snapshot
Forecasting crude oil market volatility: Further evidence using GARCH-class models
inferredcites →https://doi.org/10.1016/j.ijforecast.2004.05.002openalex-snapshot
To combine or not to combine: selecting among forecasts and their combinations
inferredcites →https://doi.org/10.1016/j.ijforecast.2009.01.010openalex-snapshot
Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
inferredcites →https://doi.org/10.1016/j.ijforecast.2009.09.006openalex-snapshot
A hierarchical procedure for the combination of forecasts
inferredcites →https://doi.org/10.1016/j.jbankfin.2014.05.026openalex-snapshot
Forecasting volatility of the U.S. oil market
inferredcites →https://doi.org/10.1016/j.jbankfin.2015.12.010openalex-snapshot
Forecasting realized volatility in a changing world: A dynamic model averaging approach
inferredcites →https://doi.org/10.1016/j.jeconom.2006.06.012openalex-snapshot
Realized range-based estimation of integrated variance
inferredcites →https://doi.org/10.1016/j.jeconom.2008.09.015openalex-snapshot
Out of sample forecasts of quadratic variation
inferredcites →https://doi.org/10.1016/j.jeconom.2010.03.014openalex-snapshot
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
inferredcites →https://doi.org/10.1016/j.jeconom.2010.03.032openalex-snapshot
Realized volatility forecasting and market microstructure noise
inferredcites →https://doi.org/10.1016/j.jeconom.2010.03.034openalex-snapshot
Volatility forecast comparison using imperfect volatility proxies
inferredcites →https://doi.org/10.1016/j.jeconom.2010.07.008openalex-snapshot
Threshold bipower variation and the impact of jumps on volatility forecasting
inferredcites →https://doi.org/10.1016/j.jeconom.2011.09.035openalex-snapshot
Robust forecast combinations
inferredcites →https://doi.org/10.1016/j.jeconom.2013.11.003openalex-snapshot
Is there an optimal forecast combination?
inferredcites →https://doi.org/10.1016/j.jeconom.2014.06.021openalex-snapshot
Bad environments, good environments: A non-Gaussian asymmetric volatility model
inferredcites →https://doi.org/10.1016/j.jeconom.2015.02.008openalex-snapshot
Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes
inferredcites →https://doi.org/10.1016/j.jeconom.2015.10.007openalex-snapshot
Exploiting the errors: A simple approach for improved volatility forecasting
inferredcites →https://doi.org/10.1016/j.jedc.2006.12.004openalex-snapshot
Asset allocation under multivariate regime switching
inferredcites →https://doi.org/10.1016/j.jempfin.2004.04.009openalex-snapshot
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements
inferredcites →https://doi.org/10.1016/j.jfineco.2014.07.015openalex-snapshot
Forecasting stock returns under economic constraints
inferredcites →https://doi.org/10.1016/j.physa.2011.08.071openalex-snapshot
Forecasting volatility of fuel oil futures in China: GARCH-type, SV or realized volatility models?
inferredcites →https://doi.org/10.1016/s0169-7161(96)14010-4openalex-snapshot
8 Forecast evaluation and combination
inferredcites →https://doi.org/10.1016/s0304-405x(01)00055-1openalex-snapshot
The distribution of realized stock return volatility
inferredcites →https://doi.org/10.1016/s0304-405x(02)00259-3openalex-snapshot
The economic value of volatility timing using “realized” volatility
inferredcites →https://doi.org/10.1016/s0304-4076(95)01749-6openalex-snapshot
Fractionally integrated generalized autoregressive conditional heteroskedasticity
inferredcites →https://doi.org/10.1080/07350015.1995.10524601openalex-snapshot
Lag Order and Critical Values of the Augmented Dickey-Fuller Test
inferredcites →https://doi.org/10.1080/07474930701853509openalex-snapshot
Realized Volatility: A Review
inferredcites →https://doi.org/10.1080/07474938608800095openalex-snapshot
Modelling the persistence of conditional variances
inferredcites →https://doi.org/10.1080/09603107.2011.613760openalex-snapshot
The impact of overnight returns on realized volatility
inferredcites →https://doi.org/10.1080/13504851.2015.1031867openalex-snapshot
Forecasting realized range volatility: a regime-switching approach
inferredcites →https://doi.org/10.1093/biomet/65.2.297openalex-snapshot
On a Measure of Lack of Fit in Time Series Models
inferredcites →https://doi.org/10.1093/jjfinec/nbh001openalex-snapshot
Power and Bipower Variation with Stochastic Volatility and Jumps
inferredcites →https://doi.org/10.1093/jjfinec/nbn006openalex-snapshot
Are There Structural Breaks in Realized Volatility?
inferredcites →https://doi.org/10.1093/jjfinec/nbp001openalex-snapshot
A Simple Approximate Long-Memory Model of Realized Volatility
inferredcites →https://doi.org/10.1093/jjfinec/nbr019openalex-snapshot
Asymptotic Theory of Range-Based Multipower Variation
inferredcites →https://doi.org/10.1093/rfs/hhi016openalex-snapshot
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
inferredcites →https://doi.org/10.1093/rfs/hhm055openalex-snapshot
Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
inferredcites →https://doi.org/10.1093/rfs/hhp063openalex-snapshot
Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy
inferredcites →https://doi.org/10.1093/rfs/hhq071openalex-snapshot
News—Good or Bad—and Its Impact on Volatility Predictions over Multiple Horizons
inferredcites →https://doi.org/10.1111/1468-0262.00418openalex-snapshot
Modeling and Forecasting Realized Volatility
inferredcites →https://doi.org/10.1111/ectj.12058openalex-snapshot
Validity of Edgeworth expansions for realized volatility estimators
inferredcites →https://doi.org/10.1111/j.1368-423x.2004.00119.xopenalex-snapshot
Pooling of forecasts
inferredcites →https://doi.org/10.1111/j.1368-423x.2008.00275.xopenalex-snapshot
Realized kernels in practice: trades and quotes
inferredcites →https://doi.org/10.1111/j.1467-937x.2008.00474.xopenalex-snapshot
Microstructure Noise, Realized Variance, and Optimal Sampling
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05128.xopenalex-snapshot
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
inferredcites →https://doi.org/10.1162/rest.89.4.701openalex-snapshot
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
inferredcites →https://doi.org/10.1198/073500103288619359openalex-snapshot
Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model
inferredcites →https://doi.org/10.1287/mnsc.2013.1838openalex-snapshot
Forecasting the Equity Risk Premium: The Role of Technical Indicators
inferredcites →https://doi.org/10.17877/de290r-15405openalex-snapshot
Range-based estimation of quadratic variation
inferredcites →https://doi.org/10.20955/wp.2006.059openalex-snapshot
The Economic and Statistical Value of Forecast Combinations under Regime Switching: An Application to Predictable US Returns
inferredcites →https://doi.org/10.2139/ssrn.276921openalex-snapshot
The Economic Value of Volatility Timing Using 'Realized' Volatility
inferredcites →https://doi.org/10.2139/ssrn.942019openalex-snapshot
The Economic and Statistical Value of Forecast Combinations Under Regime Switching: An Application to Predictable Us Returns
inferredcites →https://doi.org/10.2202/1558-3708.1490openalex-snapshot
The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing
inferredcites →https://doi.org/10.2202/1558-3708.1671openalex-snapshot
Modeling Jump and Continuous Components in the Volatility of Oil Futures
inferredcites →https://doi.org/10.2307/1912773openalex-snapshot
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
inferredcites →https://doi.org/10.2307/2527343openalex-snapshot
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
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Conditional Heteroskedasticity in Asset Returns: A New Approach
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A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data
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Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
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Out‐of‐sample volatility prediction: A new mixed‐frequency approach
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Forecasting Chinese Stock Market Volatility With Volatilities in Bond Markets
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Forecasting Realized Volatility: The Choice of Window Size
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A Fuzzy Framework for Realized Volatility Prediction: Empirical Evidence From Equity Markets
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Forecasting the volatility of the A ustralian dollar using high‐frequency data: D oes estimator accuracy improve forecast evaluation?
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Forecasting the volatility of Chinese stock market: An international volatility index
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Forecasting the oil price realized volatility: A multivariate heterogeneous autoregressive model
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Equity risk premium forecasting: a comparative analysis of bootstrap bagging and combination forecast
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Predicting risk in energy markets: Low-frequency data still matter
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A novel approach to using modern portfolio theory
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High-frequency volatility measurement on Borsa Istanbul: A TTSE-anchored comparison of range estimators
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Forecasting the aggregate oil price volatility in a data-rich environment
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Forecasting stock returns: Do less powerful predictors help?
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Forecasting the prices of crude oil: An iterated combination approach
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Forecasting oil price volatility: Forecast combination versus shrinkage method
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Improving stock market volatility forecasts with complete subset linear and quantile HAR models
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FX market volatility modelling: Can we use low-frequency data?
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Predicting gold volatility: Exploring the impact of extreme risk in the international commodity market
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A Model Confidence Set approach to the combination of multivariate volatility forecasts
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Forecasting global equity market volatilities
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Stock market volatility forecasting: Do we need high-frequency data?
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Do the dynamics of macroeconomic attention drive the yen/dollar exchange market volatility?
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Economic constraints and stock return predictability: A new approach
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Forecast on silver futures linked with structural breaks and day-of-the-week effect
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