Forecasting volatility in financial markets: A review

SH Poon, CWJ Granger - Journal of economic literature, 2003 - aeaweb.org
Financial market volatility is an important input for investment, option pricing, and financial
market regulation. The emphasis of this review article is on forecasting instead of modelling; …

Answering the skeptics: Yes, standard volatility models do provide accurate forecasts

TG Andersen, T Bollerslev - International economic review, 1998 - JSTOR
A voluminous literature has emerged for modeling the temporal dependencies in financial
market volatility using ARCH and stochastic volatility models. While most of these studies …

A quantile regression neural network approach to estimating the conditional density of multiperiod returns

JW Taylor - Journal of forecasting, 2000 - Wiley Online Library
This paper presents a new approach to estimating the conditional probability distribution of
multiperiod financial returns. Estimation of the tails of the distribution is particularly important …

[BOOK][B] A practical guide to forecasting financial market volatility

SH Poon - 2005 - books.google.com
Financial market volatility forecasting is one of today's most important areas of expertise for
professionals and academics in investment, option pricing, and financial market regulation …

Value‐at‐risk analysis: a review and the potential for agricultural applications

MR Manfredo, RM Leuthold - Applied Economic Perspectives …, 1999 - Wiley Online Library
Abstract Value‐at‐risk (VaR) determines the probability of a portfolio of assets losing a
certain amount in a given period at a particular level of confidence. Value‐at‐risk is …

Volatility forecasting with smooth transition exponential smoothing

JW Taylor - International Journal of Forecasting, 2004 - Elsevier
Adaptive exponential smoothing methods allow smoothing parameters to change over time,
in order to adapt to changes in the characteristics of the time series. This paper presents a …

[BOOK][B] ARCH models for financial applications

E Xekalaki, S Degiannakis - 2010 - books.google.com
Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to
model asset price volatility over time. This book introduces both the theory and applications …

[BOOK][B] Risk budgeting: portfolio problem solving with value-at-risk

ND Pearson - 2011 - books.google.com
Institutionelle Anleger, Fonds-und Portfoliomanager müssen Risiken eingehen, wenn sie
Spitzengewinne erzielen wollen. Die Frage ist nur wieviel Risiko." Risk Budgeting: Portfolio …

Forecasting stock market volatility using realized GARCH model: International evidence

P Sharma - The Quarterly Review of Economics and Finance, 2016 - Elsevier
This article compares the forecasting ability of the recently proposed Realized GARCH
model with that of the standard GARCH models that use only the daily returns, and the other …

[BOOK][B] Understanding market, credit, and operational risk: the value at risk approach

L Allen, J Boudoukh, A Saunders - 2009 - books.google.com
A step-by-step, real world guide to the use of Value at Risk (VaR) models, this text applies
the VaR approach to the measurement of market risk, credit risk and operational risk. The …