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Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns
Chen, Shiyi - 2017
financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange …
Persistent link: https://www.econbiz.de/10012966267
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Support vector regression based GARCH model with application to forecasting volatility of financial returns
Chen, Shiyi (contributor); Jeong, Kiho (contributor);  … - 2008
financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange … examined to the free parameters. Keywords: recurrent support vector regression ; GARCH model ; volatility forecasting …
Persistent link: https://www.econbiz.de/10003636113
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Long Memory Persistence in the Factor of Implied Volatility Dynamics
Härdle, Wolfgang - 2017
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied … Volatility Surface (IV S). Practical applications require reducing the dimension and characterize its dynamics through a small … investigating long range dependence in the factor loadings series. Our result reveals that shocks to volatility persist for a very …
Persistent link: https://www.econbiz.de/10012966247
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Value-at-Risk and Expected Shortfall When There Is Long Range Dependence
Härdle, Wolfgang - 2017
characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …
Persistent link: https://www.econbiz.de/10012966258
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Semiparametric diffusion estimation and application to a stock market index
Härdle, Wolfgang; Kleinow, Torsten; Korostelev, … - 2001
The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...
Persistent link: https://www.econbiz.de/10009613611
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Long memory persistence in the factor of Implied volatility dynamics
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2007
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied … Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small … investigating long range dependence in the factor loadings series. Our result reveals that shocks to volatility persist for a very …
Persistent link: https://www.econbiz.de/10003633787
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …
Persistent link: https://www.econbiz.de/10003636008
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Modeling asset prices
Gentle, James E.; Härdle, Wolfgang - 2010
time diffusion models ; models with jumps ; stochastic volatility ; GARCH …
Persistent link: https://www.econbiz.de/10003973644
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Testing monotonicity of pricing Kernels
Golubev, Yuri (contributor); Härdle, Wolfgang (contributor) - 2008
The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described by von Neumann and Morgenstern (1944) via a concave utility function, is considered to be a cornerstone of classical economics. Agents prefer a fixed profit over uncertain...
Persistent link: https://www.econbiz.de/10003635940
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Flexible stochastic volatility structures for high frequency financial data
Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998
Persistent link: https://www.econbiz.de/10000992362