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The nonlinear dynamic relationship between stock prices and exchange rates in Asian countries

Sakemoto, Ryuta - In: International journal of financial research 8 (2017) 2, pp. 40-50

Persistent link: https://www.econbiz.de/10011779388

Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model

Engle, Robert F.; Russell, Jeffrey R. - 1995

Persistent link: https://www.econbiz.de/10000929607

Is the effect of the exchange rate on stock prices symmetric or asymmetric? : evidence from Sudan

Mohamed, Omer Ahmed Sayed; Elmahgop, Faiza Omer Mohammed - In: International journal of economics and financial issues … 10 (2020) 2, pp. 209-215

Persistent link: https://www.econbiz.de/10012215152

Forecasting comparison between two nonlinear models : fuzzy regression versus SETAR

Feng, Hui - In: Applied economics letters 18 (2011) 16/18, pp. 1623-1627

Persistent link: https://www.econbiz.de/10009383409

Volatility forecasting revisited using Markov-switching with time-varying probability transition

Wang, Jiqian; Ma, Feng; Liang, Chao; Chen, Zhonglu - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 1387-1400

Persistent link: https://www.econbiz.de/10012815077

A hybrid model for forecasting realized volatility based on heterogeneous autoregressive model and support vector regression

Zhuo, Yue; Morimoto, Takayuki - In: Risks : open access journal 12 (2024) 1, pp. 1-16

In this study, we proposed two types of hybrid models based on the heterogeneous autoregressive (HAR) model and support vector regression (SVR) model to forecast realized volatility (RV). The first model is a residual-type model, where the RV is first predicted using the HAR model, and the...

Persistent link: https://www.econbiz.de/10014480965