QUANTILE FORECASTS OF FINANCIAL RETURNS USING REALIZED GARCH MODELS

By Toshiaki Watanabe. 2012

73 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/31dc67d96f691a634e1d593f8a2a031bb25c434e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Makoto Takahashi
2. Yasuhiro Omori
3. Toshiaki Watanabe

In Finance

1. Yasuhiro Omori
2. Makoto Takahashi
3. Toshiaki Watanabe
4. Michael Mcaleer
5. Manabu Asai

Citations in the corpus

• Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution (2016, methodology): “Abstract The predictive performance of the realized stochastic volatility model of Takahashi, Omori, and Watanabe (2009), which incorporates the asymmetric stochastic volatility model with the realized volatility, is investigated.”