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Firm predicted exchange rates and nonlinearities in pricing-to-market
Nguyen, Thi-Ngoc Anh; Satō, Kiyotaka - In: Journal of the Japanese and international economies : … 53 (2019), pp. 1-16
Persistent link: https://www.econbiz.de/10012260550
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Firm predicted exchange rates and nonlinearities in pricing-to-market
Nguyen, Thi-Ngoc Anh; Satō, Kiyotaka - 2018
Persistent link: https://www.econbiz.de/10012133811
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Forecasting exchange rate volatility : GARCH models versus implied volatility forecasts
Pilbeam, Keith; Langeland, Kjell Noralf - In: International economics and economic policy : IEEP 12 (2015) 1, pp. 127-142
Persistent link: https://www.econbiz.de/10011375830
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Conditional heteroskedasticity in the volatility of asset returns
Ding, Yashuang - 2021
Persistent link: https://www.econbiz.de/10013262866
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On the predictive value of the (shadow) real interest rate for the realized volatility of gold-price returns
Pierdzioch, Christian; Rohloff, Sebastian; Campe, Roland von - In: Annals of financial economics 18 (2023) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10014442354
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The predictive ability of several models of exchange rate volatility
West, Kenneth D.; Cho, Dongchul - 1994
Persistent link: https://www.econbiz.de/10000884768
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The predictive ability of several models of exchange rate volatility
West, Kenneth D.; Cho, Dongchul - 1994 - Rev
Persistent link: https://www.econbiz.de/10000892226
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Support vector regression based GARCH model with application to forecasting volatility of financial returns
Chen, Shiyi (contributor); Jeong, Kiho (contributor);  … - 2008
financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange … examined to the free parameters. Keywords: recurrent support vector regression ; GARCH model ; volatility forecasting …
Persistent link: https://www.econbiz.de/10003636113
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Forecasting realized volatility : a Bayesian model-averaging approach
Liu, Chun; Maheu, John M. - In: Journal of applied econometrics 24 (2009) 5, pp. 709-733
Persistent link: https://www.econbiz.de/10003931571
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Forecasting volatility with support vector machine-based GARCH model
Shiyi, Chen; Härdle, Wolfgang; Jeong, Kiho - In: Journal of forecasting 29 (2010) 4, pp. 406-433
Persistent link: https://www.econbiz.de/10003989791