Predicting Financial Volatility: High-Frequency Time-Series Forecasts Vis-a-Vis Implied Volatility
By M. Martens, Jason Zein. 2002
201 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/6d2e04f8e9a258966bbc65e1f684360f11c369b1
How researchers see this paper
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In Economics and Econometrics
- Asger Lunde
- P. R. Hansen
- Andrew J. Patton
- M. Shackleton
- Xinzhong Xu
- Ser-Huang Poon
- Stephen J. Taylor
- Xiaoquan Liu
In Finance
- Asger Lunde
- P. R. Hansen
- Andrew J. Patton
- Xinzhong Xu
- M. Shackleton
- Ser-Huang Poon
- Stephen J. Taylor
- N. Shephard
Citations in the corpus
- Forecasting Currency Volatility: A Comparison of Implied Volatilities and AR(FI)MA Models (2004, background): “They are also made in independent and concurrent research by Li (2002) for exchange rates and by Martens and Zein (2002) for the S&P 500 index, the yen/$ rate and crude oil prices.”
- A Practical Guide to Forecasting Financial Market Volatility (2005, background): “Volatility Forecasting Records 127 Moreno, 1990; Wei and Frankel, 1991) and ARCH class models (see Guo, 1996a, 1996b; Jorion, 1995, 1996; Martens and Zein, 2004; Pong, Shackleton, Taylor and Xu, 2002; Szakmary, Ors, Kim and Davidson, 2002; Xu and Taylor, 1995).”
- Forecasting Volatility Using High-Frequency Data (2011, background): “In contrast, Martens and Zein (2002) use unrefined implied volatilities directly as extracted from option prices.”
- The Volatility of Realized Volatility (2005, unknown): “The relevance of our findings for extended realized-volatility models, for example models including leverage effects (see Martens et al., 2004), will be subject of future research.”
- Refined Inference on Long Memory in Realized Volatility (2008, unknown): “…journal Article views: 184 View related articles Citing articles: 16 View citing articles Econometric Reviews, 27(1–3):254–267, 2008 Copyright © Taylor & Francis Group, LLC ISSN: 0747-4938 print/1532-4168 online DOI: 10.1080/07474930701873374 REFINED INFERENCE ON LONG MEMORY IN REALIZED VOLATILITY”
- Closed-form transformations from risk-neutral to real-world distributions (2007, background): “2 Mixtures of lognormal densities Following Ritchey (1990), Melick and Thomas (1997) and Brigo and Mercurio (2002), the risk-neutral density of the asset price when options expire can be defined as a mixture of lognormal densities (hereafter MLN densities).”
- Comparison of Volatility Measures: A Risk Management Perspective (2010, unknown): “Andersen et al. (2003), Martens & Zein (2004) , Koopman, Jungbacker & Hol”