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https://doi.org/10.2139/ssrn.3259862

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inferredcites →https://doi.org/10.1002/1099-131x(200012)19:7<537::aid-for769>3.0.co;2-gopenalex-extracted
Economic and statistical measures of forecast accuracy
inferredcites →https://doi.org/10.1002/9780470688014openalex-extracted
ARCH Models for Financial Applications
inferredcites →https://doi.org/10.1016/0304-4076(95)01732-1openalex-extracted
Long memory processes and fractional integration in econometrics
inferredcites →https://doi.org/10.1016/j.csda.2004.05.030openalex-extracted
Evaluating volatility forecasts in option pricing in the context of a simulated options market
inferredcites →https://doi.org/10.1016/j.ribaf.2012.09.001openalex-extracted
Modeling CAC40 volatility using ultra-high frequency data
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(97)00007-8openalex-extracted
Volatilities of different time resolutions — Analyzing the dynamics of market components
inferredcites →https://doi.org/10.1016/s0927-5398(99)00013-4openalex-extracted
Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon
inferredcites →https://doi.org/10.1017/cbo9780511614491.014openalex-extracted
How Accurate is the Asymptotic Approximation to the Distribution of Realised Variance?
inferredcites →https://doi.org/10.1080/00036840600994039openalex-extracted
Rolling-sampled parameters of ARCH and Levy-stable models
inferredcites →https://doi.org/10.1080/01621459.1998.10474117openalex-extracted
On Bayesian Modeling of Fat Tails and Skewness
inferredcites →https://doi.org/10.1080/02664760802271017openalex-extracted
ARFIMAX and ARFIMAX-TARCH realized volatility modeling
inferredcites →https://doi.org/10.1080/07474930701853616openalex-extracted
The Volatility of Realized Volatility
inferredcites →https://doi.org/10.1093/jjfinec/nbh001openalex-extracted
Power and Bipower Variation with Stochastic Volatility and Jumps
inferredcites →https://doi.org/10.1111/1467-9868.00336openalex-extracted
Econometric analysis of realised volatility and its use in estimating stochastic volatility models
inferredcites →https://doi.org/10.1111/manc.12001openalex-extracted
A M onte C arlo Simulation Approach to Forecasting Multi‐period V alue‐at‐ R isk and E xpected S hortfall Using the FIGARCH ‐ skT Specification
inferredcites →https://doi.org/10.1162/003355303321675473openalex-extracted
Measuring The Reaction of Monetary Policy to the Stock Market
inferredcites →https://doi.org/10.1214/aoms/1177729694openalex-extracted
On Information and Sufficiency
inferredcites →https://doi.org/10.1214/aoms/1177730491openalex-extracted
On a Test of Whether one of Two Random Variables is Stochastically Larger than the Other
inferredcites →https://doi.org/10.1257/aer.91.2.253openalex-extracted
Should Central Banks Respond to Movements in Asset Prices?
inferredcites →https://doi.org/10.2139/ssrn.2804983openalex-extracted
inferredcites →https://doi.org/10.2307/2527343openalex-extracted
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
inferredcites →https://doi.org/10.3386/w2955openalex-extracted
Alternative Models For Conditional Stock Volatility
inferredcites →https://doi.org/10.3386/w3350openalex-extracted
Valuation of Variance Forecast with Simulated Option Markets
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