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Nonlinear dynamics of realized minimum-variance hedge ratios : a two-regime self-exciting threshold autoregressive approach
Lai, Yu-Sheng - In: The empirical economics letters : a monthly … 14 (2015) 9, pp. 899-905
Persistent link: https://www.econbiz.de/10011459137
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Can we forecast the implied volatility surface dynamics of equity options? : predictability and economic value tests
Bernales, Alejandro; Guidolin, Massimo - In: Journal of banking & finance 46 (2014), pp. 326-342
Persistent link: https://www.econbiz.de/10010468417
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Artificial Neural Networks Performance in WIG20 Index Options Pricing
Wysockia, Maciej; Ślepaczuk, Robert - 2020
Persistent link: https://www.econbiz.de/10012322176
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Can we forecast the implied volatility surface dynamics of equity options? : predictability and economic value tests
Bernales, Alejandro; Guidolin, Massimo - 2012 - This version: October, 2012
Persistent link: https://www.econbiz.de/10011814410
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Intraday return forecasts and high-frequency trading of stock index futures : a hybrid wavelet-deep learning approach
Liang, Dawei; Xu, Yue; Hu, Yan; Du, Qianqian - In: Emerging markets, finance & trade : a journal of the … 59 (2023) 7, pp. 2118-2128
Persistent link: https://www.econbiz.de/10014290403
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The predictability of KLSE CI stock index futures returns and the conditional multifactor APT model
Ford, James L.; Pok, Wee Ching; Poshakwale, Sunil S. - 2006
Persistent link: https://www.econbiz.de/10003349102
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Regression-based modeling of market option prices : with application to S&P500 options
Pandher, Gurupdesh S. - In: Journal of forecasting 26 (2007) 7, pp. 475-495
Persistent link: https://www.econbiz.de/10003593891
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On the relationship of ex-ante and ex-post volatility : a sub-period analysis of S&P CNX Nifty Index options
Shaikh, Imlak; Padhi, Puja - In: Journal of emerging market finance 14 (2015) 2, pp. 140-175
Persistent link: https://www.econbiz.de/10011378502
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Forecasting stock market volatility and the informational efficiency of the DAX-index options market
Claessen, Holger; Mittnik, Stefan - 2002
Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors, such as GARCH models, are investigated, to determine...
Persistent link: https://www.econbiz.de/10009767118
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Feature extraction with hybrid neural networks
Wegmann, Georg - 2000
optimizer. The mathematical motivation for such hybrid networks is presented, using the Kolmogorov theory of metric entropy. As … options written on the S&P 500 stock index. While option pricing theory typically requires a highly complex statistical model …
Persistent link: https://www.econbiz.de/10010504308