The DOI matches its Crossref record; 29 of the 29 references it cites were found in a registry or an index.
Modeling and predicting the CBOE market volatility index
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Citations
Cites
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
Andrews, D. W. K. (1991) · Econometrica · doi:10.2307/2938229 · Cited by 4,030
A Theory of Intraday Patterns: Volume and Price Variability
Admati, A. R., & Pfleiderer, P. (1988) · Review of Financial Studies · doi:10.1093/rfs/1.1.3 · Cited by 3,119
A Simple Approximate Long-Memory Model of Realized Volatility
Corsi, F. (2008) · Journal of Financial Econometrics · doi:10.1093/jjfinec/nbp001 · Cited by 2,495
The Term Structure as a Predictor of Real Economic Activity
ESTRELLA, A., & HARDOUVELIS, G. A. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb02674.x · Cited by 1,738
Tests of Conditional Predictive Ability
Giacomini, R., & White, H. (2006) · Econometrica · doi:10.1111/j.1468-0262.2006.00718.x · Cited by 1,646
A Test for Superior Predictive Ability
Hansen, P. R. (2005) · Journal of Business & Economic Statistics · doi:10.1198/073500105000000063 · Cited by 1,230
Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects
LAMOUREUX, C. G., & LASTRAPES, W. D. (1990) · The Journal of Finance · doi:10.1111/j.1540-6261.1990.tb05088.x · Cited by 1,113
The relation between implied and realized volatility
Christensen, B. J., & Prabhala, N. R. (1998) · Journal of Financial Economics · doi:10.1016/s0304-405x(98)00034-8 · Cited by 1,112
Whaley, R. E. (2000) · The Journal of Portfolio Management · doi:10.3905/jpm.2000.319728 · Cited by 1,055
The Model-Free Implied Volatility and Its Information Content
Jiang, G. J., & Tian, Y. S. (2005) · Review of Financial Studies · doi:10.1093/rfs/hhi027 · Cited by 1,011
Cited by
Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500
Krauss, C., Do, X. A., & Huck, N. (2017) · European Journal of Operational Research · doi:10.1016/j.ejor.2016.10.031 · Cited by 750
Metadata
- Authors
- Fernandes, M., Medeiros, M. C., & Scharth, M.
- Venue
- Journal of Banking & Finance
- Publisher
- Elsevier BV
- Published
- 2014-03
- Volume
- 40
- Pages
- 1-10
- ISSN
- 0378-4266 (ISSN-L)
- OpenAlex
- W1594348241
- Cited by
- 278
- References
- 29
- FWCI
- 28.50
- Type
- journal article
- Language
- en
- Open access
- green
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- Fernandes, M., Medeiros, M. C., & Scharth, M. (2014). Modeling and predicting the CBOE market volatility index. Journal of Banking & Finance. https://doi.org/10.1016/j.jbankfin.2013.11.004
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
