On the public citation graph

Forecasting Stock Index Realized Volatility with an Asymmetric HAR-FIGARCH Model: The Case of S&P 500 and DJI Stock Indices

https://doi.org/10.2139/ssrn.1524861
0 signed · 42 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.
Claim with ORCID
Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.
See reference health

What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/for.841openalex-extracted
Volatility forecasting for risk management
inferredcites →https://doi.org/10.1002/for.868openalex-extracted
Selection of Value‐at‐Risk models
inferredcites →https://doi.org/10.1002/fut.10016openalex-extracted
Measuring and forecasting S&P 500 index‐futures volatility using high‐frequency data
inferredcites →https://doi.org/10.1002/ijfe.281openalex-extracted
Volatility dynamics and heterogeneous markets
inferredcites →https://doi.org/10.1016/0304-4076(80)90092-5openalex-extracted
Long memory relationships and the aggregation of dynamic models
inferredcites →https://doi.org/10.1016/0304-4076(95)01736-4openalex-extracted
Modeling and pricing long memory in stock market volatility
inferredcites →https://doi.org/10.1016/j.ijforecast.2009.01.010openalex-extracted
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.intfin.2007.07.001openalex-extracted
Volatility forecasting: Intra-day versus inter-day models
inferredcites →https://doi.org/10.1016/j.jbankfin.2003.10.015openalex-extracted
Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models
inferredcites →https://doi.org/10.1016/j.jempfin.2004.04.009openalex-extracted
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements
inferredcites →https://doi.org/10.1016/j.jempfin.2007.12.001openalex-extracted
Quantile forecasts of daily exchange rate returns from forecasts of realized volatility
inferredcites →https://doi.org/10.1016/s0304-4076(95)01749-6openalex-extracted
Fractionally integrated generalized autoregressive conditional heteroskedasticity
inferredcites →https://doi.org/10.1016/s0927-5398(02)00052-xopenalex-extracted
Realized volatility in the futures markets
inferredcites →https://doi.org/10.1016/s0927-5398(97)00007-8openalex-extracted
Volatilities of different time resolutions — Analyzing the dynamics of market components
inferredcites →https://doi.org/10.1016/s1573-4412(05)80018-2openalex-extracted
Chapter 49 Arch models
inferredcites →https://doi.org/10.1080/01621459.1994.10476870openalex-extracted
The Stationary Bootstrap
inferredcites →https://doi.org/10.1080/02664760802271017openalex-extracted
ARFIMAX and ARFIMAX-TARCH realized volatility modeling
inferredcites →https://doi.org/10.1080/07350015.1996.10524640openalex-extracted
Periodic Autoregressive Conditional Heteroscedasticity
inferredcites →https://doi.org/10.1080/07474930701853616openalex-extracted
The Volatility of Realized Volatility
inferredcites →https://doi.org/10.1080/17446540500426722openalex-extracted
Market trader heterogeneity and high frequency volatility dynamics: further evidence from intra-day FTSE-100 futures data
inferredcites →https://doi.org/10.1093/jjfinec/nbj014openalex-extracted
Leverage and Volatility Feedback Effects in High-Frequency Data
inferredcites →https://doi.org/10.1093/jjfinec/nbp001openalex-extracted
A Simple Approximate Long-Memory Model of Realized Volatility
inferredcites →https://doi.org/10.1111/1467-6419.00174openalex-extracted
G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models
inferredcites →https://doi.org/10.1111/1468-0262.00418openalex-extracted
Modeling and Forecasting Realized Volatility
inferredcites →https://doi.org/10.1162/rest.89.4.701openalex-extracted
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
inferredcites →https://doi.org/10.1198/016214501750332965openalex-extracted
The Distribution of Realized Exchange Rate Volatility
inferredcites →https://doi.org/10.1198/073500105000000063openalex-extracted
A Test for Superior Predictive Ability
inferredcites →https://doi.org/10.1257/002205103765762743openalex-extracted
Forecasting Volatility in Financial Markets: A Review
inferredcites →https://doi.org/10.2139/ssrn.267791openalex-extracted
The Distribution of Realized Exchange Rate Volatility
inferredcites →https://doi.org/10.2139/ssrn.782768openalex-extracted
inferredcites →https://doi.org/10.2202/1558-3708.1145openalex-extracted
Forecasting Stock Market Volatility with Regime-Switching GARCH Models
inferredcites →https://doi.org/10.2307/2527341openalex-extracted
Evaluating Interval Forecasts
inferredcites →https://doi.org/10.2307/2527343openalex-extracted
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
inferredcites →https://doi.org/10.2307/2938260openalex-extracted
Conditional Heteroskedasticity in Asset Returns: A New Approach
inferredcites →https://doi.org/10.3386/t0169openalex-extracted
Comparing Predictive Accuracy
inferredcites →https://doi.org/10.3386/w7933openalex-extracted
The Distribution of Stock Return Volatility
inferredcites →https://doi.org/10.1016/0304-4076(90)90101-xopenalex-snapshot
Alternative models for conditional stock volatility
inferredcites →https://doi.org/10.1080/07474930701853509openalex-snapshot
Realized Volatility: A Review
inferredcites →https://doi.org/10.21314/jor.2005.119openalex-snapshot
Statistical benefits of value-at-risk with long memory

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.1016/j.intfin.2024.102002openalex-snapshot
Fintech and financial stability: Evidence from spatial analysis for 25 countries
inferred← citeshttps://doi.org/10.20965/jaciii.2019.p0641openalex-snapshot
Forecasting Realized Volatility in Financial Markets Based on a Time-Varying Non-Parametric Model
inferred← citeshttps://doi.org/10.20965/jaciii.2020.p0299openalex-snapshot
Forecasting Realized Volatility Based on Sentiment Index and GRU Model
Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.