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, insbesondere der Zeitreihenanalyse liegt. Das Konzept besteht darin, sämtliche wiederkehrenden Aufgaben mit Hilfe von Java …
Persistent link: https://www.econbiz.de/10009467166
Persistent link: https://www.econbiz.de/10009449118
This paper empirically examines the impact of oil price levels and volatility on key macroeconomic indicators of … Indonesia. In particular, two measures of volatility – historical volatility and realized volatility – are utilized and compared … for their different macroeconomic impacts. The relationships between oil price levels, the two volatility measurements …
Persistent link: https://www.econbiz.de/10009449289
into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …
Persistent link: https://www.econbiz.de/10009460735
volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …
Persistent link: https://www.econbiz.de/10009471738
In this study, a new discriminative learning framework, called soft margin estimation (SME), is proposed for estimating the parameters of continuous density hidden Markov models (HMMs). The proposed method makes direct use of the successful ideas of margin in support vector machines to improve...
Persistent link: https://www.econbiz.de/10009475793
Conference Paper
Persistent link: https://www.econbiz.de/10009441923
The huge popularity of Hidden Markov models in pattern recognition is due to the ability to 'learn' model parameters from an observation sequence through Baum-Welch and other re-estimation procedures. In the case of HMM parameter estimation from an ensemble of observation sequences, rather than...
Persistent link: https://www.econbiz.de/10009448055
pairs. A hybrid model based on microstructure approach was proposed. GARCH approach is used to reflect the volatility …
Persistent link: https://www.econbiz.de/10009434490
Most high-frequency asset returns exhibit seasonal volatility patterns. This article proposes a new class of models …-time periodic representations of stochastic volatility models subject to time deformation are briefly discussed. …
Persistent link: https://www.econbiz.de/10009475497