Forecasting Realized Volatility Using A Nonnegative Semiparametric Model
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- Anders Eriksson & Daniel P. A. Preve & Jun Yu, 2019. "Forecasting Realized Volatility Using a Nonnegative Semiparametric Model," JRFM, MDPI, vol. 12(3), pages 1-23, August.
- Daniel PREVE & Anders ERIKSSON & Jun YU, 2009. "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Working Papers 22-2009, Singapore Management University, School of Economics.
- Daniel Preve & Anders Eriksson & Jun Yu, "undated". "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Working Papers CoFie-02-2007, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
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Cited by:
- Preve, Daniel, 2015.
"Linear programming-based estimators in nonnegative autoregression,"
Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 225-234.
- Daniel Preve, "undated". "Linear programming-based estimators in nonnegative autoregression," GRU Working Paper Series GRU_2016_001, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Yiu-Kuen Tse, 2019. "Editorial for the Special Issue on Financial Econometrics," JRFM, MDPI, vol. 12(3), pages 1-2, September.
- Puneet Prakash & Vikas Sangwan & Kewal Singh, 2021. "Transformational Approach to Analytical Value-at-Risk for near Normal Distributions," JRFM, MDPI, vol. 14(2), pages 1-19, January.
- Bhimasankaram Pochiraju & Sridhar Seshadri & Dimitrios D. Thomakos & Konstantinos Nikolopoulos, 2020. "Non-Negativity of a Quadratic form with Applications to Panel Data Estimation, Forecasting and Optimization," Stats, MDPI, vol. 3(3), pages 1-18, July.
- Thanasis Stengos, 2020. "Recent Advancements in Section “Economics and Finance”," JRFM, MDPI, vol. 13(11), pages 1-2, November.
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More about this item
Keywords
Autoregression; nonlinear/non-Gaussian time series; realized volatility; semiparametric model; volatility forecast;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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