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Quantitative Finance Volume 13, 2013 - Issue 9
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Research Papers

Relative forecasting performance of volatility models: Monte Carlo evidence

Thomas Lux University of Kiel, and Kiel Institute for the World Economy, Department of Economics, Kiel, Germany; University Jaume I, Banco de España Chair in Computational Economics, Castellón, SpainCorrespondence[email protected]
&
Leonardo Morales-Arias WINGAS GmbH, Kassel, Germany
Pages 1375-1394 | Received 12 Sep 2012, Accepted 04 Apr 2013, Published online: 22 Jul 2013

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Khaldoun Khashanah & Chenjie Shao. (2022) Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model. Quantitative Finance 22:2, pages 241-253.
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Fei Liu, Athanasios A. Pantelous & Hans-Jörg von Mettenheim. (2018) Forecasting and trading high frequency volatility on large indices. Quantitative Finance 18:5, pages 737-748.
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Articles from other publishers (6)

Zhi-Qiang Jiang, Wen-Jie Xie, Wei-Xing Zhou & Didier Sornette. (2019) Multifractal analysis of financial markets: a review. Reports on Progress in Physics 82:12, pages 125901.
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Yongjian Lyu, Peng Wang, Yu Wei & Rui Ke. (2017) Forecasting the VaR of crude oil market: Do alternative distributions help?. Energy Economics 66, pages 523-534.
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Barbara Tchórzewska-Cieślak, Katarzyna PIETRUCHA-URBANIK & Marek Urbanik. (2016) Analysis of the gas network failure and failure prediction using the Monte Carlo simulation method. Eksploatacja i Niezawodnosc - Maintenance and Reliability 18:2, pages 254-259.
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Juan He, Jian Wang & Xianglin Jiang. (2016) The Effects of Long Memory in Price Volatility of Inventories Pledged on Portfolio Optimization of Supply Chain Finance. Journal of Mathematical Finance 06:01, pages 134-155.
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Thomas Lux, Leonardo Morales‐Arias & Cristina Sattarhoff. (2014) Forecasting Daily Variations of Stock Index Returns with a Multifractal Model of Realized Volatility. Journal of Forecasting 33:7, pages 532-541.
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Fei Liu, Athanasios A. Pantelous & Hans-J org von Mettenheim. (2016) Forecasting and Trading High Frequency Volatility on Large Indices. SSRN Electronic Journal.
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