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Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements. (2009). van Dijk, Dick ; De Pooter, Michiel ; Martens, Martin .
In: International Journal of Forecasting.
RePEc:eee:intfor:v:25:y:2009:i:2:p:282-303.

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    In: Physica A: Statistical Mechanics and its Applications.
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  21. Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets. (2019). Zhang, Yaojie ; Wahab, M. I. M., ; Ma, Feng.
    In: Pacific-Basin Finance Journal.
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  22. Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets. (2019). Ma, Feng ; Chen, Yixiang ; Zhang, Yaojie.
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    In: Empirical Economics.
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    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:493:y:2018:i:c:p:148-154.

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    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:492:y:2018:i:c:p:916-922.

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    In: International Journal of Forecasting.
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    In: Energy Economics.
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    In: The North American Journal of Economics and Finance.
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    In: Documentos de Trabajo del ICAE.
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    In: Hannover Economic Papers (HEP).
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  36. Building News Measures from Textual Data and an Application to Volatility Forecasting. (2017). Caporin, Massimiliano ; Poli, Francesco.
    In: Econometrics.
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    In: International Review of Economics & Finance.
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    In: Physica A: Statistical Mechanics and its Applications.
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    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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    In: International Review of Financial Analysis.
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    In: Energy Economics.
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    In: Journal of Econometrics.
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    RePEc:arx:papers:1712.08057.

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    In: CREATES Research Papers.
    RePEc:aah:create:2017-16.

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  45. Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models. (2016). Medeiros, Marcelo ; Hillebrand, Eric.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:34:y:2016:i:1:p:23-41.

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  46. Forecasting the realized volatility in the Chinese stock market: further evidence. (2016). Pu, Wang ; Ma, Feng ; Chen, Yixiang.
    In: Applied Economics.
    RePEc:taf:applec:v:48:y:2016:i:33:p:3116-3130.

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    In: MPRA Paper.
    RePEc:pra:mprapa:74670.

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    RePEc:han:dpaper:dp-571.

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  49. Forecasting realized volatility in a changing world: A dynamic model averaging approach. (2016). Wang, Yudong ; Wu, Chongfeng ; Wei, YU ; Ma, Feng.
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    RePEc:eee:jbfina:v:64:y:2016:i:c:p:136-149.

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  50. Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?. (2016). Fuertes, Ana-Maria ; Andrada-Felix, Julian ; Fernandez-Rodriguez, Fernando.
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    RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501.

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  52. Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael .
    In: CREATES Research Papers.
    RePEc:aah:create:2016-17.

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  53. QUANTILE CORRELATIONS: UNCOVERING TEMPORAL DEPENDENCIES IN FINANCIAL TIME SERIES. (2015). Schmitt, Thilo A ; Guhr, Thomas ; Dette, Holger ; Schafer, Rudi .
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  54. Out?of?sample evaluation of macro announcements, linearity, long memory, heterogeneity and jumps in mini?futures markets. (2015). VORTELINOS, DIMITRIOS.
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  55. Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach. (2015). Grassi, Stefano ; Delle Monache, Davide ; Santucci, Paolo .
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  56. Ex-ante Determinants of Volatility in the Crude Oil Market. (2015). Le, Duong T.
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  57. Out-of-sample evaluation of macro announcements, linearity, long memory, heterogeneity and jumps in mini-futures markets. (2015). Vortelinos, Dimitrios I.
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  58. Realized range volatility forecasting: Dynamic features and predictive variables. (2015). Caporin, Massimiliano ; Velo, Gabriel G.
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  59. Its all about volatility of volatility: Evidence from a two-factor stochastic volatility model. (2015). Santucci de Magistris, Paolo ; Grassi, Stefano.
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  71. Forecasting the volatility of crude oil futures using intraday data. (2014). Sévi, Benoît ; Sevi, Benoit.
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