Forecasting the Volatility of Australian Stock Returns
Do Common Factors Help
Bibliographic Data
| ID | 19419006 |
|---|---|
| Authors | Heather M Anderson (0000-0002-7668-1151, Australian National University), Farshid Vahid (0000-0002-5136-8361, Australian National University) |
| Year | 2007 |
| Volume | 25 |
| Issue | 1 |
| Pages | 76-90 |
| Publication date | 2007-01-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/073500106000000440 |
| OpenAlex | W1988433741 |
| Language | EN |
| Citations received | 1 |
| References cited | 34 |
This article develops multivariate factor models for forecasting volatility in Australian stocks. We suggest estimation procedures for approximate factor models that are robust to jumps when the cross-sectional dimension is not very large, and also work with volatility measures that have been constructed so that they contain no jump components. Out-of-sample forecast analysis shows that multivariate factor models of volatility outperform univariate models, but there is little difference between simple and sophisticated factor models
Dynamic factor · Econometrics · Economics · Factor analysis · Forward volatility · Jump · Multivariate statistics · Realized variance · Statistics · Stochastic volatility · Univariate · Engineering · Financial Risk and Volatility Modeling · Hydrology and Drought Analysis · Mathematics · Monetary Policy and Economic Impact
An introduction to multivariate statistical analysis
The Estimation and Application of Long Memory Time Series Models
ARCH modeling in finance
Multivariate Simultaneous Generalized ARCH
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Modeling and Forecasting Realized Volatility
Determining the Number of Factors in Approximate Factor Models
Expected stock returns and volatility
Dynamic Conditional Correlation
Modelling the Coherence in Short-Run Nominal Exchange Rates
The Generalized Dynamic-Factor Model
| Citations per year | 0.05 |
|---|---|
| Citation span | 2007 - 2007 (1) |
| Highly cited | No |