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An efficient estimate and forecast of the implied volatility surface : a nonlinear Kalman filter approach
Chen, Si; Zhou, Zhen; Li, Shenghong - In: Economic modelling 58 (2016), pp. 655-664
Persistent link: https://www.econbiz.de/10011647943
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On business cycle fluctuations in USA macroeconomic time series
Kiani, Khurshid M. - In: Economic modelling 53 (2016), pp. 179-186
Persistent link: https://www.econbiz.de/10011640993
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A novel jump diffusion model based on SGT distribution and its applications
Xu, Weijun; Liu, Guifang; Li, Hongyi - In: Economic modelling 59 (2016), pp. 74-92
Persistent link: https://www.econbiz.de/10011647763
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Pricing cryptocurrency options with machine learning regression for handling market volatility
Brini, Alessio; Lenz, Jimmie - In: Economic modelling 136 (2024), pp. 1-11
Persistent link: https://www.econbiz.de/10014549153
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Collective behavior and options volatility smile : an agent-based explanation
Liu, Yi-fang; Zhang, Wei; Xu, Hai-chuan - In: Economic modelling 39 (2014), pp. 232-239
Persistent link: https://www.econbiz.de/10010421855
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Financing with equity-for-guarantee swaps and dynamic investment under incomplete markets
Xia, Xin; Gan, Liu - In: Economic modelling 98 (2021), pp. 349-360
Persistent link: https://www.econbiz.de/10012793994
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Sudden changes in extreme value volatility estimator : modeling and forecasting with economic significance analysis
Kumar, Dilip - In: Economic modelling 49 (2015), pp. 354-371
Persistent link: https://www.econbiz.de/10011439594
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Can signal extraction help predict risk premia in foreign exchange rates
Kiani, Khurshid M. - In: Economic modelling 33 (2013), pp. 926-939
Persistent link: https://www.econbiz.de/10010195543
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The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range
Todorova, Neda; Souček, Michael - In: Economic modelling 36 (2014), pp. 332-340
Persistent link: https://www.econbiz.de/10010415483
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Realized volatility models and alternative Value-at-Risk prediction strategies
Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - In: Economic modelling 40 (2014), pp. 101-116
Persistent link: https://www.econbiz.de/10010425716