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Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
Khashanah, Khaldoun; Shao, Chenjie - In: Quantitative finance 22 (2022) 2, pp. 241-253
Persistent link: https://www.econbiz.de/10013167735
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Liquidity fluctuations and the latent dynamics of price impact
Mertens, Luca Philippe; Ciacci, Alberto; Lillo, Fabrizio; … - In: Quantitative finance 22 (2022) 1, pp. 149-169
Persistent link: https://www.econbiz.de/10012872529
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Computation of expected shortfall by fast detection of worst scenarios
Bouchard, Bruno; Reghai, Adil; Virrion, Benjamin - In: Quantitative finance 21 (2021) 7, pp. 1087-1108
Persistent link: https://www.econbiz.de/10012588021
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Backtesting expected shortfall and beyond
Deng, Kaihua; Qiu, Jie - In: Quantitative finance 21 (2021) 7, pp. 1109-1125
Persistent link: https://www.econbiz.de/10012588022
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Bayesian model averaging and the conditional volatility process : an application to predicting aggregate equity returns by conditioning on economic variables
Nonejad, Nima - In: Quantitative finance 21 (2021) 8, pp. 1387-1411
Persistent link: https://www.econbiz.de/10012608655
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Forecasting robust value-at-risk estimates : evidence from UK banks
Sampid, Marius Galabe; Hasim, Haslifah Mohamad - In: Quantitative finance 21 (2021) 11, pp. 1955-1975
Persistent link: https://www.econbiz.de/10012696799
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CME iceberg order detection and prediction
Zotikov, Dmitry; Antonov, Anton - In: Quantitative finance 21 (2021) 11, pp. 1977-1992
Persistent link: https://www.econbiz.de/10012696802
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A neural network enhanced volatility component model
Zhai, Jia; Cao, Yi; Liu, Xiaoquan - In: Quantitative finance 20 (2020) 5, pp. 783-797
Persistent link: https://www.econbiz.de/10012262620
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Algorithmic trading in a microstructural limit order book model
Abergel, Frédéric; Huré, Côme; Pham, Huyên - In: Quantitative finance 20 (2020) 8, pp. 1263-1283
Persistent link: https://www.econbiz.de/10012262662
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Macroeconomic fundamentals, jump dynamics and expected volatility
Pan, Zhiyuan; Bu, Ruijun; Liu, Li; Wang, Yudong - In: Quantitative finance 20 (2020) 8, pp. 1345-1371
Persistent link: https://www.econbiz.de/10012262666