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Predicting bitcoin prices : ANN approach
Gopal, Naresh; Senthilkumar, K. S. - In: International journal of electronic finance : IJEF 10 (2020) 1/2, pp. 67-78
Persistent link: https://www.econbiz.de/10012509280
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The role of trading volume in forecasting market risk
Slim, Skander - In: Inventi impact: international trade (2016) 3, pp. 169-181
Persistent link: https://www.econbiz.de/10011567980
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Copula-based vMEM specifications versus alternatives : the case of trading activity
Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - In: Econometrics : open access journal 5 (2017) 2, pp. 1-24
simultaneously estimated. Results with realized volatility, volumes and number of trades of the JNJ stock show that significantly … superior realized volatility forecasts are delivered with a fully interdependent vMEM relative to a single equation …
Persistent link: https://www.econbiz.de/10011654447
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Why does higher variability of trading activity predict lower expected returns?
Barinov, Alexander - In: Journal of banking & finance 58 (2015), pp. 457-470
Persistent link: https://www.econbiz.de/10011544044
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Volatility forecasting : the role of lunch-break returns, overnight returns, trading volume and leverage effects
Wang, Xunxiao; Wu, Chongfeng; Xu, Weidong - In: International journal of forecasting 31 (2015) 3, pp. 609-619
Persistent link: https://www.econbiz.de/10011474428
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Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph - 2000
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...
Persistent link: https://www.econbiz.de/10012471074
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Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph - 2010
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...
Persistent link: https://www.econbiz.de/10012763325
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Do VIX and Trading Volume Subsume Incremental Information above GARCH-Type Models for the Volatility Forecast?
Li, Fan - 2019
The VIX index and trading volume (VO) can subsume information of the future volatility in financial markets, and … therefore, have been commonly used as volatility forecasting instruments. Previous studies have identified superior VIX- and VO … GARCH-type models, this paper evaluates the volatility forecast efficiency of VIX, VO and GARCH.Latest daily VIX, VO and SPX …
Persistent link: https://www.econbiz.de/10012858226
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Forecasting volatility via stock return, range, trading volume and spillover effects : the case of Brazil
Asai, Manabu; Brugal, Ivan - In: The North American journal of economics and finance : a … 25 (2013), pp. 202-213
Persistent link: https://www.econbiz.de/10009779296
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Heterogeneous component multiplicative error models for forecasting trading volumes
Naimoli, Antonio; Storti, Giuseppe - In: International journal of forecasting 35 (2019) 4, pp. 1332-1355
Persistent link: https://www.econbiz.de/10012305333