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ECONIS (ZBW)
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1
Predicting the direction of US stock markets using industry returns
Pönkä, Harri
-
Volkswirtschaftliche Fakultät, …
-
2014
directional component of the market returns because, for investment purposes,
forecasting
the direction of return correctly is … in
forecasting
the direction of the market return. Finally, we test trading strategies and find that a number of industry …
Persistent link: https://www.econbiz.de/10011211851
Saved in:
2
A Hybrid Approach for
Forecasting
of Oil Prices Volatility
Komijani, Akbar
;
Naderi, Esmaeil
;
Gandali Alikhani, Nadiya
-
Volkswirtschaftliche Fakultät, …
-
2013
This study aims to introduce an ideal model for
forecasting
crude oil price volatility. For this purpose, the …
Persistent link: https://www.econbiz.de/10011258951
Saved in:
3
A New Index of Financial Conditions
Koop, Gary
;
Korobilis, Dimitris
-
Volkswirtschaftliche Fakultät, …
-
2013
We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each financial variable in the index to evolve over time. Furthermore, we develop methods for...
Persistent link: https://www.econbiz.de/10011108998
Saved in:
4
Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask
Fantazzini, Dean
;
Geraskin, Petr
-
Volkswirtschaftliche Fakultät, …
-
2011
Sornette et al. (1996), Sornette and Johansen (1997), Johansen et al. (2000) and Sornette (2003a) proposed that, prior to crashes, the mean function of a stock index price time series is characterized by a power law decorated with log-periodic oscillations, leading to a critical point that...
Persistent link: https://www.econbiz.de/10011113835
Saved in:
5
On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.
;
Ledenyov, Viktor O.
-
Volkswirtschaftliche Fakultät, …
-
2014
In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...
Persistent link: https://www.econbiz.de/10011156962
Saved in:
6
On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.
;
Ledenyov, Viktor O.
-
Volkswirtschaftliche Fakultät, …
-
2014
In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...
Persistent link: https://www.econbiz.de/10011110289
Saved in:
7
Multi-jumps
Caporin, Massimiliano
;
Kolokolov, Aleksey
;
Renò, Roberto
-
Volkswirtschaftliche Fakultät, …
-
2014
increases of the variance risk-premium, and possess a statistically significant
forecasting
power for future volatility and …
Persistent link: https://www.econbiz.de/10011114447
Saved in:
8
Value-at-risk Predictions of Precious Metals with Long Memory Volatility Models
Demiralay, Sercan
;
Ulusoy, Veysel
-
Volkswirtschaftliche Fakultät, …
-
2014
volatility models under student-t distribution perform well in
forecasting
a one-day-ahead VaR for both long and short positions …, as well as fat-tails, outperforms other models in VaR
forecasting
. Our results have potential implications for portfolio …
Persistent link: https://www.econbiz.de/10011260522
Saved in:
9
A multivariate model for the prediction of stock returns in an emerging market: A comparison of parametric and non-parametric models
Bonga-Bonga, Lumengo
;
Mwamba, Muteba
-
Volkswirtschaftliche Fakultät, …
-
2015
This paper compares the
forecasting
performance of three structural econometric models, namely the non …
Persistent link: https://www.econbiz.de/10011166039
Saved in:
10
Beyond location and dispersion models: The Generalized Structural Time Series Model with Applications
Djennad, Abdelmajid
;
Rigby, Robert
;
Stasinopoulos, Dimitrios
-
Volkswirtschaftliche Fakultät, …
-
2015
contribution in the development of a fast local
estimation
algorithm for the evaluation of a penalised likelihood function to …
Persistent link: https://www.econbiz.de/10011201261
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