Similar Search Results

Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis

Mozumder, Sharif; Choudhry, Taufiq; Dempsey, Michael - In: Computational economics 57 (2021) 4, pp. 1287-1305

Persistent link: https://www.econbiz.de/10012543312

Approximating class-departure variability in tandem queues with downtime events : regression-based variability function

Sagron, Ruth; Rabinowitz, Gad; Tirkel, Israel - In: Computers & operations research : and their … 88 (2017), pp. 161-174

Persistent link: https://www.econbiz.de/10011747937

Exchange rate volatility, stock prices and returns in BRICS : the moderating effect of inflation with wavelength analysis

Umoru, David; Igbinovia, Beauty; Odegha, Benjamin - In: Economic forum 15 (2025) 1, pp. 38-57

This study aimed to evaluate the conditional effect of exchange rate volatility on stock prices and returns in the … volatility, market performance becomes highly responsive to fluctuations in currency values. The findings of this research will …

Persistent link: https://www.econbiz.de/10015402817

Semiparametric GARCH via Bayesian model averaging

Chen, Wilson Ye; Gerlach, Richard H. - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 437-452

Persistent link: https://www.econbiz.de/10012499090

Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model

Khashanah, Khaldoun; Shao, Chenjie - In: Quantitative finance 22 (2022) 2, pp. 241-253

Persistent link: https://www.econbiz.de/10013167735

Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity

Norets, Andriy; Pelenis, Justinas - In: Journal of econometrics 230 (2022) 1, pp. 62-82

Persistent link: https://www.econbiz.de/10013441915

Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models

Elliott, Robert J.; Krishnamurthy, Vikram; Sass, Jörn - In: The econometrics journal 11 (2008) 2, pp. 244-270

Persistent link: https://www.econbiz.de/10003750782

Predicting volatility based on interval regression models

Qu, Hui; He, Mengying - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-21

Considering the inferior volatility tracking capability of the point-data-based models, we propose using the more … informative price interval data and building interval regression models for volatility forecasting. To characterize the … heterogeneity of the market and the nonlinearity of volatility, we incorporated the heterogeneous autoregressive structure and the …

Persistent link: https://www.econbiz.de/10014284403

Generalized jump regressions for local moments

Bollerslev, Tim; Li, Jia; Chaves, Leonardo Salim Saker - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1015-1025

Persistent link: https://www.econbiz.de/10012653221

Tales of tails : jumps in currency markets

Lee, Suzanne S.; Wang, Minho - In: Journal of financial markets 48 (2020), pp. 1-29

Persistent link: https://www.econbiz.de/10012631807