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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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Conditions for bubbles to arise under heterogeneous beliefs
Lee, Seunghyun; Park, Hyungbin - In: Quantitative finance 22 (2022) 3, pp. 409-421
Persistent link: https://www.econbiz.de/10013167765
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State-dependent Hawkes processes and their application to limit order book modelling
Morariu-Patrichi, Maxime; Pakkanen, Mikko S. - In: Quantitative finance 22 (2022) 3, pp. 563-583
Persistent link: https://www.econbiz.de/10013167781
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Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin - In: Quantitative finance 22 (2022) 3, pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
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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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From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect
Dandapani, Aditi; Jusselin, Paul; Rosenbaum, Mathieu - In: Quantitative finance 21 (2021) 8, pp. 1235-1247
Persistent link: https://www.econbiz.de/10012608638
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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