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Does happiness forecast implied volatility? : evidence from nonparametric wave-based Granger causality testing

Li, Yue; Goodell, John W.; Shen, Dehua - In: The quarterly review of economics and finance : journal … 81 (2021), pp. 113-122

Persistent link: https://www.econbiz.de/10012656244

Modeling asset returns under time-varying semi-nonparametric distributions

León Valle, Ángel Manuel; Ñíguez, Trino-Manuel - In: Journal of banking & finance 118 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012520880

Forecasting the impact of information security breaches on stock market returns and VaR backtest

Colivicchi, Ilaria; Vignaroli, Riccardo - In: Journal of mathematical finance 9 (2019) 3, pp. 402-454

Persistent link: https://www.econbiz.de/10012210337

Stock Price Forecasting and Hypothesis Testing Using Neural Networks

Varaku, Kerda - 2020

In this work we use Recurrent Neural Networks and Multilayer Perceptrons, to predict NYSE, NASDAQ and AMEX stock prices from historical data. We experiment with different architectures and compare data normalization techniques. Then, we leverage those findings to question the efficient-market...

Persistent link: https://www.econbiz.de/10012834485