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RISK MEASUREMENT AND MANAGEMENT

Practical Issues in Forecasting Volatility

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Pages 45-56 | Published online: 02 Jan 2019

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Wei-Jie Chen, Jing-Jing Yao & Yuan-Hai Shao. (2023) Volatility forecasting using deep neural network with time-series feature embedding. Economic Research-Ekonomska Istraživanja 36:1, pages 1377-1401.
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Marie-Hélène Gagnon, Gabriel J. Power & Dominique Toupin. (2022) Forecasting market index volatility using Ross-recovered distributions. Quantitative Finance 22:2, pages 255-271.
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Albert Antwi, Kwabena A. Kyei & Ryan Gill. (2021) Forecasting long term exchange rate volatility with stochastic mean-reverting unconditional volatility. Journal of Statistics and Management Systems 24:7, pages 1405-1427.
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Barbara Swart & Jaco van Zyl. (2016) Recovery of asset information from options prices. Investment Analysts Journal 45:2, pages 110-122.
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Jinlan Ni, Mark E. Wohar & Beichen Wang. (2016) Structural Breaks in Volatility: The Case of Chinese Stock Returns. The Chinese Economy 49:2, pages 81-93.
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Yang-Cheng Lu, Yu-Chen Wei & Chien-Wei Chang. (2012) Nonlinear Dynamics Between the Investor Fear Gauge and Market Index in the Emerging Taiwan Equity Market. Emerging Markets Finance and Trade 48:sup1, pages 171-191.
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David G. McMillan & Mark E. Wohar. (2011) Structural breaks in volatility: the case of UK sector returns. Applied Financial Economics 21:15, pages 1079-1093.
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Alex YiHou Huang. (2011) Volatility forecasting in emerging markets with application of stochastic volatility model. Applied Financial Economics 21:9, pages 665-681.
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David G. McMillan & Raquel Quiroga Garcia. (2009) Intra-day volatility forecasts. Applied Financial Economics 19:8, pages 611-623.
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Twm Evans & David G. McMillan. (2007) Volatility forecasts: the role of asymmetric and long-memory dynamics and regional evidence. Applied Financial Economics 17:17, pages 1421-1430.
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