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Forecasting trading-session return volatility in Taiwan futures market : a periodic regime switching with jump approach

Lai, Yi-Hao; Wang, Yi-Chiuan; Chang, Yu Ching - In: Asia Pacific financial markets 31 (2024) 2, pp. 285-305

Persistent link: https://www.econbiz.de/10014548365

A study on asset price bubble dynamics : explosive trend or quadratic variation?

Jarrow, Robert A.; Kwok, Simon Sai Man - In: Quantitative finance 24 (2024) 5, pp. 613-626

Persistent link: https://www.econbiz.de/10014552111

Dynamic partial (co)variance forecasting model

Chen, Zirong; Zhou, Yao - In: Quantitative finance 24 (2024) 5, pp. 643-653

Persistent link: https://www.econbiz.de/10014552126

Pattern recognition in microtrading behaviors preceding stock price jumps : a study based on mutual information for multivariate time series

Kong, Ao; Azencott, Robert; Zhu, Hongliang; Li, Xindan - In: Computational economics 63 (2024) 4, pp. 1401-1429

Persistent link: https://www.econbiz.de/10014549027

Tobin tax, carry trade, and the exchange rate dynamics

Li, Xiaoping; Zhou, Chunyang - In: Computational economics 63 (2024) 4, pp. 1627-1647

Persistent link: https://www.econbiz.de/10014549140

Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm

Bağcı, Mahmut; Soylu, Pınar Kaya - In: Financial innovation : FIN 10 (2024), pp. 1-28

We propose a high-frequency rebalancing algorithm (HFRA) and compare its performance with periodic rebalancing (PR) and threshold rebalancing (TR) strategies. PR refers to the process of adjusting the relative weight of assets within portfolios at regular time intervals, whereas TR is a process...

Persistent link: https://www.econbiz.de/10014541693

The term structure of judgement : interpreting survey disagreement

Brenna, Federica; Budrys, Žymantas - 2024

Persistent link: https://www.econbiz.de/10014553879