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Predictability and herding of bourse volatility : an econophysics analogue

Ghosh, Bikramaditya; Krishna, Mysore Chidambareswaran; … - In: Investment management and financial innovations 15 (2018) 2, pp. 317-326

Persistent link: https://www.econbiz.de/10012055468

Multifractal models, intertrade durations and return volatility

Segnon, Mawuli - 2015

Persistent link: https://www.econbiz.de/10011299266

A Markov-switching multifractal approach to forecasting realized volatility

Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - 2011

The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism … for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by … volatility models of asset returns. An intra-day data set for five major international stock market indices is used to evaluate …

Persistent link: https://www.econbiz.de/10009314521

The Markov-switching multifractal model of asset returns : GMM estimation and linear forecasting of volatility

Lux, Thomas - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 2, pp. 194-210

Persistent link: https://www.econbiz.de/10003675695

Option implied moments obtained through fuzzy regression

Muzzioli, Silvia; Gambarelli, Luca; De Baets, Bernard - In: Fuzzy optimization and decision making : a journal of … 19 (2020) 2, pp. 211-238

Persistent link: https://www.econbiz.de/10012225083

Information-theoretic approach to quantifying currency risk

Fiedor, Pawel; Holda, Artur - In: Journal of risk finance : the convergence of financial … 17 (2016) 1, pp. 93-109

Persistent link: https://www.econbiz.de/10011537513

Description, modelling and forecasting of data with optimal wavelets

Pont, Oriol; Turiel, Antonio; Perez-Vicente, Conrad J. - In: Journal of economic interaction and coordination : JEIC 4 (2009) 1, pp. 39-54

Persistent link: https://www.econbiz.de/10003840542

Überführung von quantitativem Research in implementierbare Handelsstrategien : Möglichkeiten und Grenzen der Automatisierung

Fabozzi, Frank J.; Focardi, Sergio; Ma, Christopher - 2006

Persistent link: https://www.econbiz.de/10003376827

Deterministic chaos and forecasting in Amazon's share prices

Hanias, Michael; Tsakonas, Stefanos; Magafas, Lykourgos; … - In: Equilibrium : quarterly journal of economics and … 15 (2020) 2, pp. 253-273

Persistent link: https://www.econbiz.de/10012259965

An econophysics approach to forecast bulk shipbuilding orderbook : an application of Newton's law of gravitation

Sakalayen, Quazi Mohammed Habibus; Duru, Okan; Hirata, Enna - In: Maritime business review 6 (2021) 3, pp. 234-255

Persistent link: https://www.econbiz.de/10012614135

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