Smooth transition exponential smoothing
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DOI: 10.1002/for.918
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References listed on IDEAS
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Citations
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- Liu, Min & Taylor, James W. & Choo, Wei-Chong, 2020. "Further empirical evidence on the forecasting of volatility with smooth transition exponential smoothing," Economic Modelling, Elsevier, vol. 93(C), pages 651-659.
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- Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009. "Non-linear predictability in stock and bond returns: when and where is it exploitable?," Working Papers 2008-010, Federal Reserve Bank of St. Louis.
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- George-Jason Siouris & Alex Karagrigoriou, 2017. "A Low Price Correction for Improved Volatility Estimation and Forecasting," Risks, MDPI, vol. 5(3), pages 1-14, August.
- Trapero, Juan R., 2016. "Calculation of solar irradiation prediction intervals combining volatility and kernel density estimates," Energy, Elsevier, vol. 114(C), pages 266-274.
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- Chin-Yin Huang & Philip K.P. Lin, 2014. "Application of integrated data mining techniques in stock market forecasting," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-18, December.
- Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004.
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- Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics.
- Leandro Maciel, 2013.
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- Leandro Maciel, 2012. "A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(3), pages 337-367.
- Mircea ASANDULUI, 2012. "A Multi-Horizon Comparison Of Volatility Forecasts: An Application To Stock Options Traded At Euronext Exchange Amsterdam," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 179-190, December.
- Koehler, Anne B. & Snyder, Ralph D. & Ord, J. Keith & Beaumont, Adrian, 2012. "A study of outliers in the exponential smoothing approach to forecasting," International Journal of Forecasting, Elsevier, vol. 28(2), pages 477-484.
- Francesco Audrino & Yujia Hu, 2016.
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- Audrino, Francesco & Hu, Yujia, 2011. "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Economics Working Paper Series 1138, University of St. Gallen, School of Economics and Political Science.
- Chiang, Min-Hsien & Huang, Hsin-Yi, 2011. "Stock market momentum, business conditions, and GARCH option pricing models," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 488-505, June.
- Edson Vengesai & Farai Kwenda, 2018. "Cash Flow Volatility and Firm Investment Behaviour: Evidence from African Listed Firms," Journal of Economics and Behavioral Studies, AMH International, vol. 10(6), pages 129-149.
- Prateek Sharma & Vipul _, 2015. "Forecasting stock index volatility with GARCH models: international evidence," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 32(4), pages 445-463, October.
- Gardner, Everette Jr., 2006. "Exponential smoothing: The state of the art--Part II," International Journal of Forecasting, Elsevier, vol. 22(4), pages 637-666.
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