Volatility Forecasting in a Data Rich Environment

Macroeconomic Forecasting in the Era of Big Data - Advanced Studies in Theoretical and Applied Econometrics ◽

10.1007/978-3-030-31150-6_5 ◽

2019 ◽

pp. 127-160

Author(s):

Mauro Bernardi ◽

Giovanni Bonaccolto ◽

Massimiliano Caporin ◽

Michele Costola

Keyword(s):

Volatility Forecasting

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Variance Risk Premiums and Volatility Forecasting: Evidence from Korean, Taiwan and US Markets

Korean Journal of Financial Engineering ◽

10.35527/kfedoi.2018.17.3.002 ◽

2018 ◽

Vol 17 (3) ◽

pp. 29-52

Author(s):

윤선중

Keyword(s):

Volatility Forecasting ◽

Risk Premiums ◽

Variance Risk

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Volatility Forecasting and Explanatory Variables: A Tractable Bayesian Approach to Stochastic Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.1747945 ◽

2012 ◽

Author(s):

Christian Dorion ◽

Nicolas Chapados

Keyword(s):

Stochastic Volatility ◽

Bayesian Approach ◽

Volatility Forecasting ◽

Explanatory Variables

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Long-Term Volatility Forecasting

SSRN Electronic Journal ◽

10.2139/ssrn.2046192 ◽

2012 ◽

Cited By ~ 2

Author(s):

Nicholas Reitter

Keyword(s):

Volatility Forecasting

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Realized Range Volatility Forecasting: Dynamic Features and Predictive Variables

SSRN Electronic Journal ◽

10.2139/ssrn.2322637 ◽

2013 ◽

Author(s):

Massimiliano Caporin ◽

Gabriel G. Velo

Keyword(s):

Volatility Forecasting ◽

Dynamic Features ◽

Predictive Variables

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Pre-Shrinkage: Improved Volatility Forecasting Using Biased Time-Series

SSRN Electronic Journal ◽

10.2139/ssrn.3716425 ◽

2020 ◽

Author(s):

Rogier Quaedvlieg

Keyword(s):

Time Series ◽

Volatility Forecasting

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Stochastic volatility forecasting of the Finnish housing market

Applied Economics ◽

10.1080/00036846.2020.1795074 ◽

2020 ◽

Vol 53 (1) ◽

pp. 98-114

Author(s):

Josephine Dufitinema

Keyword(s):

Housing Market ◽

Stochastic Volatility ◽

Volatility Forecasting

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The role of news sentiment in oil futures returns and volatility forecasting: Data-decomposition based deep learning approach

Energy Economics ◽

10.1016/j.eneco.2021.105140 ◽

2021 ◽

Vol 95 ◽

pp. 105140

Author(s):

Yuze Li ◽

Shangrong Jiang ◽

Xuerong Li ◽

Shouyang Wang

Keyword(s):

Deep Learning ◽

Learning Approach ◽

Volatility Forecasting ◽

Data Decomposition ◽

Oil Futures ◽

News Sentiment

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Cryptocurrency volatility forecasting: What can we learn from the first wave of the COVID-19 outbreak?

Annals of Operations Research ◽

10.1007/s10479-021-04116-x ◽

2021 ◽

Author(s):

Zied Ftiti ◽

Wael Louhichi ◽

Hachmi Ben Ameur

Keyword(s):

Volatility Forecasting

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The role of coronavirus news in the volatility forecasting of crude oil futures markets: Evidence from China

Resources Policy ◽

10.1016/j.resourpol.2021.102173 ◽

2021 ◽

Vol 73 ◽

pp. 102173

Author(s):

Zibo Niu ◽

Yuanyuan Liu ◽

Wang Gao ◽

Hongwei Zhang

Keyword(s):

Crude Oil ◽

Futures Markets ◽

Volatility Forecasting ◽

Oil Futures ◽

Crude Oil Futures

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Global equity market volatility forecasting: New evidence

International Journal of Finance & Economics ◽

10.1002/ijfe.2170 ◽

2020 ◽

Author(s):

Chao Liang ◽

Yu Wei ◽

Likun Lei ◽

Feng Ma

Keyword(s):

Equity Market ◽

Market Volatility ◽

Volatility Forecasting ◽

New Evidence

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