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Implied volatility directional forecasting : a machine learning approach
Vrontos, Spyridon D.; Galakis, John; Vrontos, Ioannis D. - In: Quantitative finance 21 (2021) 10, pp. 1687-1706
Persistent link: https://www.econbiz.de/10012653707
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Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
Achab, Massil; Bacry, E.; Muzy, J. F.; Rambaldi, M. - In: Quantitative finance 18 (2018) 2, pp. 199-212
Persistent link: https://www.econbiz.de/10011905857
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A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao; Gerlach, Richard; Chen, Qian - In: Quantitative finance 23 (2023) 2, pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
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Time-dependent relations between gaps and returns in a Bitcoin order book
Mota-Navarro, Roberto; Monroy-Castillero, Paulino; … - In: Quantitative finance 22 (2022) 7, pp. 1343-1354
Persistent link: https://www.econbiz.de/10013367903
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Unraveling S&P500 stock volatility and networks : an encoding-and-decoding approach
Wang, Xiaodong; Hsieh, Fushing - In: Quantitative finance 22 (2022) 5, pp. 997-1016
Persistent link: https://www.econbiz.de/10013367879
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Bayesian nonparametric portfolio selection with rolling maximum drawdown control
Mei, Xiaoling; Wang, Yachong; Zhu, Weixuan - In: Quantitative finance 23 (2023) 10, pp. 1497-1510
Persistent link: https://www.econbiz.de/10014419173
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The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy : a latent likelihood approach
Hanke, M.; Poulsen, R.; Weissensteiner, A. - In: Quantitative finance 19 (2019) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10012194613
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Reduction of estimation error impact in the risk parity strategiesv
Kim, Hyuksoo; Kim, Saejoon - In: Quantitative finance 21 (2021) 8, pp. 1351-1364
Persistent link: https://www.econbiz.de/10012608651
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Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - In: Quantitative finance 21 (2021) 5, pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
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Uncertainty shocks of Trump election in an interval model of stock market
Sun, Yuying; Qiao, Kenan; Wang, Shouyang - In: Quantitative finance 21 (2021) 5, pp. 865-879
Persistent link: https://www.econbiz.de/10012500201