Narrow search
Showing 1 - 10 of 11,078
Cover Image
Artificial market experiments with the U-Mart system
Shiozawa, Yoshinori (ed.); Nakajima, Yoshihiro (ed.);  … - 2008 - 1. Ed.
Persistent link: https://www.econbiz.de/10003557323
Cover Image
Consistent high-precision volatility from high-frequency data
Corsi, Fulvio (contributor) - In: Economic notes : economic review of Banca Monte dei … 30 (2001) 2, pp. 183-204
Persistent link: https://www.econbiz.de/10001603712
Cover Image
The distribution of index futures realised volatility under seasonality and microstructure noise
Alemany, Nuria; Aragó, Vicent; Salvador, Enrique - In: Economic modelling 93 (2020), pp. 398-414
Persistent link: https://www.econbiz.de/10012430196
Cover Image
Artificial Market Experiments with the U-Mart System
Shiozawa, Yoshinori - 2008
Persistent link: https://www.econbiz.de/10013521078
Cover Image
An index of co-movements in financial time series
Sentana, Enrique; Shah, Mushtaq - 1994
Persistent link: https://www.econbiz.de/10000893176
Cover Image
Verteilungsprognose für den Deutschen Aktienindex : Einsatz neuronaler Netze
Baun, Susanne - 1997
Persistent link: https://www.econbiz.de/10000956636
Cover Image
Asymmetry with respect to the memory in stock market volatilities
Lönnbark, Carl - In: Empirical economics : a journal of the Institute for … 50 (2016) 4, pp. 1409-1419
Persistent link: https://www.econbiz.de/10011481716
Cover Image
ARCH-Prozesse und ihre Erweiterungen : eine empirische Untersuchung für Finanzmarktzeitreihen
Jacobi, Frank (contributor) - 2005
The volatility clustering observed in financial market data implies that large net yield shocks increase the … probability of a higher future volatility during the price formation. Starting from the ARCH models which were suggested by Engle …
Persistent link: https://www.econbiz.de/10002847530
Cover Image
Support Vector Machine GARCH and Neural Network GARCH Models in Modeling Conditional Volatility : An Application to Turkish Financial Markets
Bildirici, Melike - 2013
application to daily returns in Istanbul ISE100 stock index is provided. Results suggest that volatility clustering, asymmetry and …
Persistent link: https://www.econbiz.de/10013085814
Cover Image
NetVIX - A Network Volatility Index of Financial Markets
Ahelegbey, Daniel Felix - 2020
We construct a network volatility index (NetVIX) via market interconnectedness and volatilities to measure global … market turbulence. The NetVIX multiplicatively decomposes into an average volatility and a network amplifier index. It also … additively decomposes into marginal volatility indices for measuring individual contribution to global turmoil. We apply our …
Persistent link: https://www.econbiz.de/10012823040