Keyword

volatility forecasting

Description: The use of statistical or computational methods to predict future variability in financial asset prices or returns.

Primary topic: Financial Risk and Volatility Modeling (76%)

OpenAlex ID: keywords/volatility-forecasting

Modeling and Forecasting Realized Volatility

2003 · Torben G. Andersen, Tim Bollerslev, et al. · Econometrica · 3,879

Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

1998 · Torben G. Andersen, Tim Bollerslev · International Economic Review · 3,377

A Simple Approximate Long-Memory Model of Realized Volatility

2008 · F. Corsi · Journal of Financial Econometrics · 2,515

Autoregressive conditional heteroskedasticity and changes in regime

1994 · James D Hamilton, Raul Susmel · Journal of Econometrics · 1,833

A forecast comparison of volatility models: does anything beat a GARCH(1,1)?

2005 · Peter R. Hansen, Asger Lunde · Journal of Applied Econometrics · 1,775

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Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy

2009 · David E. Rapach, Jack K. Strauss, et al. · Review of Financial Studies · 1,682

Modelling Financial Time Series

2007 · Stephen J. Taylor · WORLD SCIENTIFIC eBooks · 1,415

Forecasting Volatility in Financial Markets: A Review

2003 · Ser-Huang Poon, Clive W. J Granger · Journal of Economic Literature · 1,372

Volatility forecast comparison using imperfect volatility proxies

2010 · Andrew J. Patton · Journal of Econometrics · 1,269

GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics

2001 · Robert Engle · The Journal of Economic Perspectives · 1,220

The relation between implied and realized volatility

1998 · B.J. Christensen, N.R. Prabhala · Journal of Financial Economics · 1,112

Nonlinear Time Series Models in Empirical Finance

2000 · Philip Hans Franses, Dick van Dijk · Cambridge University Press eBooks · 1,109

MIDAS Regressions: Further Results and New Directions

2007 · Eric Ghysels, Arthur Sinko, et al. · Econometric Reviews · 1,001

Option Prices, Implied Price Processes, and Stochastic Volatility

2000 · Mark Britten‐Jones, Anthony Neuberger · The Journal of Finance · 937

Chapter 49 Arch models

1994 · Tim Bollerslev, Robert F. Engle, et al. · Handbook of econometrics · 879

The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes

2008 · Robert F. Engle, Jose Gonzalo Rangel · Review of Financial Studies · 878

Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts

1989 · Vedat Akgiray · The Journal of Business · 856

Modeling and Forecasting Realized Volatility

2001 · Torben G. Andersen, Tim Bollerslev, et al. · SSRN Electronic Journal · 824

The VIX, the variance premium and stock market volatility

2014 · Geert Bekaert, Marie Hoerova · Journal of Econometrics · 811

Predicting volatility: getting the most out of return data sampled at different frequencies

2005 · Eric Ghysels, Pedro Santa-Clara, et al. · Journal of Econometrics · 811

Forecasting Volatility in Financial Markets: A Review

2003 · Ser-Huang Poon, Clive W. J Granger · Journal of Economic Literature · 798

Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns

2004 · Clive W.J. Granger, Namwon Hyung · Journal of Empirical Finance · 784

Stock market volatility and the business cycle

1996 · James D. Hamilton, Gang Lin · Journal of Applied Econometrics · 777

Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility

2015 · Andrew J. Patton, Kevin Sheppard · The Review of Economics and Statistics · 771

The Informational Content of Implied Volatility

1993 · Linda Canina, Stephen Figlewski · Review of Financial Studies · 761

Works count: 10,920

Citation count: 157,000