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Gerba, Eddie; Żochowski, Dawid - 2017

The Great Recession has been characterised by the two stylized facts: the buildup of leverage in the household sector in the period preceding the recession and a protracted economic recovery that followed. We attempt to explain these two facts as an information friction, whereby agents are...

Persistent link: https://www.econbiz.de/10011656163

Practical applications of evolutionary computation to financial engineering : robust techniques for forecasting, trading and hedging

Iba, Hitoshi; Aranha, Claus C. - 2012 - 1., Aufl.

Persistent link: https://www.econbiz.de/10009522784

Realized hedge ratio : predictability and hedging performance

Markopoulou, Chrysi E.; Skintzi, Vasiliki D.; Refenes, … - In: International review of financial analysis 45 (2016), pp. 121-133

Persistent link: https://www.econbiz.de/10011581934

Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction

Duong, Diep; Swanson, Norman R. - 2013

asset management are predicated on the importance of jumps, or discontinuous movements in asset returns. In light of this, a … number of recent papers have addressed volatility predictability, some from the perspective of the usefulness of jumps in …

Persistent link: https://www.econbiz.de/10009771770

Forecasting the volatility of crude oil futures using intraday data

Sévi, Benoît - In: European journal of operational research : EJOR 235 (2014) 3, pp. 643-659

Persistent link: https://www.econbiz.de/10010341244

Systemic co-jumps

Caporin, Massimiliano; Kolokolov, Alexey; Renò, Roberto - 2016

The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short …

Persistent link: https://www.econbiz.de/10011544772

The economic value of volatility timing with realized jumps

Nolte, Ingmar; Xu, Qi - In: Journal of empirical finance 34 (2015), pp. 45-59

Persistent link: https://www.econbiz.de/10011556992

Modeling and forecasting exchange rate volatility in time-frequency domain

Barunik, Jozef; Krehlik, Tomas; Vacha, Lukas - In: European journal of operational research : EJOR 251 (2016) 1, pp. 329-340

Persistent link: https://www.econbiz.de/10011446589

The risk premia embedded in index options

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584

Persistent link: https://www.econbiz.de/10011480313

Modeling and forecasting exchange rate volatility in time-frequency domain

Barunik, Jozef; Krehlik, Tomas; Vacha, Lukas - 2016

impact of jumps due to a recently proposed jump wavelet two scale realized volatility estimator. We propose a realized Jump …

Persistent link: https://www.econbiz.de/10011412440