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Forecasting copper prices with dynamic averaging and selection models
Buncic, Daniel; Moretto, Carlo - 2014
Persistent link: https://www.econbiz.de/10010437480
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Forecasting the price of gold using dynamic model averaging
Aye, Goodness C.; Gupta, Rangan; Hammoudeh, Shawkat; … - In: International review of financial analysis 41 (2015), pp. 257-266
Persistent link: https://www.econbiz.de/10011508954
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Combining Wavelet Decomposition with Machine Learning to Forecast Gold Returns
Risse, Marian - 2017
I combine the discrete wavelet transform with support vector regression to forecast gold-pricedynamics. I investigate …
Persistent link: https://www.econbiz.de/10012944906
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Multifractal behavior in precious metals : wavelet coherency and forecasting by VARIMA and V-FARIMA models
Doğangün, Itir; Ünal, Gazanfer - In: Annals of financial economics 14 (2019) 2, pp. 1-12
Persistent link: https://www.econbiz.de/10012030827
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Estimating probability distributions of future asset prices : empirical transformations from option-implied risk-neutral to real-world density functions
Vincent-Humphreys, Rupert de; Noss, Joseph - 2012
Persistent link: https://www.econbiz.de/10009559811
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The effect of option-implied skewness on delta- and vega-hedged option returns
Borochin, Paul; Wu, Zekun; Zhao, Yanhui - In: Journal of international financial markets, … 74 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012803250
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Did option prices predict the ERM crises?
Mizrach, Bruce Marshall - 1996
procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …
Persistent link: https://www.econbiz.de/10011577049
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The discontinuation of the EUR/CHF minimum exchange rate in January 2015 : was it expected?
Funke, Michael; Loermann, Julius; Moessner, Richhild - 2017
Persistent link: https://www.econbiz.de/10011758406
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Regime-switching stochastic volatility model : estimation and calibration to VIX options
Goutte, Stéphane; Ismail, Amine; Pham, Huyên - In: Applied mathematical finance 24 (2017) 1/2, pp. 38-75
Persistent link: https://www.econbiz.de/10011746993
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The discontinuation of the EUR/CHF minimum exchange rate : information from option-implied break probabilities
Funke, Michael; Loermann, Julius; Moessner, Richhild - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 3, pp. 63-79
Persistent link: https://www.econbiz.de/10012594159