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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
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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
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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 means of best linear forecasts derived via the...
Persistent link: https://www.econbiz.de/10009314521
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Multifractal models, intertrade durations and return volatility
Segnon, Mawuli - 2015
Persistent link: https://www.econbiz.de/10011299266
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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
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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
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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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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
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Predictive methods in economics : the link between econophysics and Artificial Intelligence
Simeone, Antonio - In: Monetary Policy Normalization : One Hundred Years After …, (pp. 107-122). 2023
Persistent link: https://www.econbiz.de/10014341065
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Systemic real and financial risks : measurement, forecasting, and stress testing
De Nicolò, Gianni; Lucchetta, Marcella - 2012
Persistent link: https://www.econbiz.de/10009572513