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Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution

Citations

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Cited by:

  1. Yuta Kurose, 2021. "Stochastic volatility model with range-based correction and leverage," Papers 2110.00039, arXiv.org, revised Oct 2021.
  2. Toshiaki Ogawa & Masato Ubukata & Toshiaki Watanabe, 2020. "Stock Return Predictability and Variance Risk Premia around the ZLB," IMES Discussion Paper Series 20-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
  3. Yuta Kurose & Yasuhiro Omori, "undated". "Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity," CIRJE F-Series CIRJE-F-1075, CIRJE, Faculty of Economics, University of Tokyo.
  4. Polanski, Arnold & Stoja, Evarist, 2017. "Forecasting multidimensional tail risk at short and long horizons," International Journal of Forecasting, Elsevier, vol. 33(4), pages 958-969.
  5. Polanski, Arnold & Stoja, Evarist, 2017. "Forecasting multidimensional tail risk at short and long horizons," Bank of England working papers 660, Bank of England.
  6. Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2021. "Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility," Discussion paper series HIAS-E-104, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
  7. Kurose, Yuta & Omori, Yasuhiro, 2020. "Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity," Econometrics and Statistics, Elsevier, vol. 13(C), pages 46-68.
  8. Didit Nugroho & Takayuki Morimoto, 2015. "Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-Based methods," Computational Statistics, Springer, vol. 30(2), pages 491-516, June.
  9. Yaming Chang, 2025. "Improving volatility forecasts of the Nikkei 225 stock index using a realized EGARCH model with realized and realized range-based volatilities," Papers 2502.02695, arXiv.org, revised Feb 2025.
  10. Cathy W. S. Chen & Edward M. H. Lin & Tara F. J. Huang, 2022. "Bayesian quantile forecasting via the realized hysteretic GARCH model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(7), pages 1317-1337, November.
  11. Yuta yamauchi & Yasuhiro Omori, 2019. "Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations," CIRJE F-Series CIRJE-F-1117, CIRJE, Faculty of Economics, University of Tokyo.
  12. Yuta Yamauchi & Yasuhiro Omori, 2020. "Dynamic Factor, Leverage and Realized Covariances in Multivariate Stochastic Volatility," CIRJE F-Series CIRJE-F-1158, CIRJE, Faculty of Economics, University of Tokyo.
  13. Shang, Yuhuang & Zheng, Tingguo, 2021. "Mixed-frequency SV model for stock volatility and macroeconomics," Economic Modelling, Elsevier, vol. 95(C), pages 462-472.
  14. Markus Vogl, 2022. "Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019)," SN Business & Economics, Springer, vol. 2(12), pages 1-69, December.
  15. Yuta Kurose & Yasuhiro Omori, 2016. "Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity," CIRJE F-Series CIRJE-F-1022, CIRJE, Faculty of Economics, University of Tokyo.
  16. Asai Manabu & So Mike K. P., 2023. "Realized BEKK-CAW Models," Journal of Time Series Econometrics, De Gruyter, vol. 15(1), pages 49-77, January.
  17. Yuta Yamauchi & Yasuhiro Omori, 2020. "Dynamic factor, leverage and realized covariances in multivariate stochastic volatility," Papers 2011.06909, arXiv.org, revised Sep 2021.
  18. Yuta Yamauchi & Yasuhiro Omori, 2018. "Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations," Papers 1809.09928, arXiv.org, revised Mar 2019.
  19. Cathy W.S. Chen & Toshiaki Watanabe, 2019. "Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 35(3), pages 747-765, May.
  20. Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2024. "Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility," Econometrics and Statistics, Elsevier, vol. 32(C), pages 34-56.
  21. Chiranjit Dutta & Kara Karpman & Sumanta Basu & Nalini Ravishanker, 2023. "Review of Statistical Approaches for Modeling High-Frequency Trading Data," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 1-48, May.
  22. Yuta Yamauchi & Yasuhiro Omori, 2021. "Dynamic Factor, Leverage and Realized Covariances in Multivariate Stochastic Volatility," CIRJE F-Series CIRJE-F-1176, CIRJE, Faculty of Economics, University of Tokyo.
  23. Yuta Yamauchi & Yasuhiro Omori, 2016. "Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations ," CIRJE F-Series CIRJE-F-1029, CIRJE, Faculty of Economics, University of Tokyo.
  24. Didit Budi Nugroho & Takayuki Morimoto, 2019. "Incorporating Realized Quarticity into a Realized Stochastic Volatility Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(4), pages 495-528, December.
  25. Watanabe, Toshiaki & Nakajima, Jouchi, 2023. "High-frequency realized stochastic volatility model," Discussion paper series HIAS-E-127, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
  26. Ahmed BenSaïda & Sabri Boubaker & Duc Khuong Nguyen & Skander Slim, 2018. "Value‐at‐risk under market shifts through highly flexible models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(8), pages 790-804, December.
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