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On financial time series decompositions with applications to volatility
Doksum, Kjell A.; Miura, Ryozo; Yamauchi, Hiroaki - 1998
Persistent link: https://www.econbiz.de/10000990977
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The Great Moderation Under the Microscope : Decomposition of Macroeconomic Cycles in US and UK Aggregate Demand
Crowley, Patrick M.; Hughes Hallett, Andrew - 2011
why: the predictions of traditional real business cycle theory often appear not to be upheld in the data …
Persistent link: https://www.econbiz.de/10014181451
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Decomposing Short-Term Return Reversal
Da, Zhi - 2011
during our 1982-2009 sampling period. Our decomposition suggests that short-term return reversal is pervasive, much greater …
Persistent link: https://www.econbiz.de/10013133909
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Multifractional Properties of Stock Indices Decomposed by Filtering Their Pointwise Holder Regularity
Bianchi, Sergio - 2011
We propose a decomposition of financial time series into Gaussian subsequences characterized by a constant Hölder …
Persistent link: https://www.econbiz.de/10013134120
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Decomposing Cross-Sectional Volatility (September 2010)
Menchero, Jose - 2010
Cross-sectional volatility is given by the standard deviation of a set of asset returns over a single time period. CSV is critical because it represents the opportunity to outperform a benchmark. In this Research Insight, we present an exact methodology for decomposing CSV into contributions...
Persistent link: https://www.econbiz.de/10013136079
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Decomposing Short-Term Return Reversal
Da, Zhi - 2011
during our 1982-2009 sampling period. Our decomposition suggests that short-term return reversal is pervasive, much greater …
Persistent link: https://www.econbiz.de/10013120611
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Machine Learning Techniques for Deciphering Implied Volatility Surface Data in a Hostile Environment : Scenario Based Particle Filter, Risk Factor Decomposition & Arbitrage Constra...
Mahdavi-Damghani, Babak - 2019
risk factor decomposition of the the Implied Volatility surface Parameterization (IVP) recently introduced in order to …
Persistent link: https://www.econbiz.de/10012899881
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Return Decomposition Over the Business Cycle
Cenesizoglu, Tolga - 2014
and variances, we analyze the decomposition of the conditional variance of returns on the S&P 500 index over the business …
Persistent link: https://www.econbiz.de/10013058542
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Enhancing Volatility Forecasting : A Dual Empirical Mode Decomposition Approach
Liu, Yi; Yang, Hao; Zhang, Lei - 2023
Decomposition (DEMD) method that allows for the extraction of incremental information related to volatility prediction in raw …
Persistent link: https://www.econbiz.de/10014345502
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Decomposing uncertainty : how foreign policy risks shape Chinese stock market dynamics
Li, Bing; Lu, Pu; Wang, yong - In: International review of economics & finance : IREF 96 (2024) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10015271590