Narrow search
Showing 1 - 10 of 421
Cover Image
Volatility models for cryptocurrencies and applications in the options market
Chi, Yeguang; Hao, Wenyan - In: Journal of international financial markets, … 75 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012820318
Cover Image
Volatility model applications in China's SSE50 options market
Chi, Yeguang; Hao, Wenyan; Zhang, Yifei - In: The journal of futures markets 42 (2022) 9, pp. 1704-1720
Persistent link: https://www.econbiz.de/10013465807
Cover Image
Jump detection and noise separation by a singular wavelet method for predictive analytics of high-frequency data
Chen, Yi-Ting; Lai, Wan-Ni; Sun, Edward W. - In: Computational economics 54 (2019) 2, pp. 809-844
Persistent link: https://www.econbiz.de/10012134380
Cover Image
Modelling and forecasting short-term interest rate volatility : a semiparametric approach
Hou, Ai Jun; Suardi, Sandy - In: Journal of empirical finance 18 (2011) 4, pp. 692-710
Persistent link: https://www.econbiz.de/10009306533
Cover Image
A nonparametric GARCH model of crude oil price return volatility
Hou, Aijun; Suardi, Sandy - In: Energy economics 34 (2012) 2, pp. 618-626
Persistent link: https://www.econbiz.de/10009618668
Cover Image
Alternative bankruptcy prediction models using option-pricing theory
Charitou, Andreas; Dionysiou, Dionysia; Lambertides, … - In: Journal of banking & finance 37 (2013) 7, pp. 2329-2341
Persistent link: https://www.econbiz.de/10009760656
Cover Image
Assessing the quality of volatility estimators via option pricing
Sanfelici, Simona; Uboldi, Adamo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 2, pp. 103-124
Persistent link: https://www.econbiz.de/10010347332
Cover Image
Volatility estimation and forecasts based on price durations
Hong, Seok Young; Nolte, Ingmar; Taylor, Stephen; Zhao, … - In: Journal of financial econometrics 21 (2023) 1, pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Cover Image
A study of Bitcoin-based intraday volatility forecasting for cross-market spreads
Yang, Longguang; Hou, Fengshuang; Shi, Huihong - In: Emerging markets, finance & trade : a journal of the … 59 (2023) 14, pp. 3941-3951
Persistent link: https://www.econbiz.de/10014419375
Cover Image
Machine learning portfolio allocation
Pinelis, Michael; Ruppert, David - In: The Journal of finance and data science : JFDS 8 (2022), pp. 35-54
We find economically and statistically significant gains when using machine learning for portfolio allocation between the market index and risk-free asset. Optimal portfolio rules for time-varying expected returns and volatility are implemented with two Random Forest models. One model is...
Persistent link: https://www.econbiz.de/10014433682