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A scientific classification of volatility models
Caporin, Massimiliano; McAleer, Michael - In: Journal of economic surveys 24 (2010) 1, pp. 192-195
Persistent link: https://www.econbiz.de/10003948949
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A Scientific Classification of Volatility Models
Caporin, Massimiliano; McAleer, Michael - 2009
volatility, many temporal and spatial variables would simply be constants. Our purpose is to propose a scientific classification …. This scientific classification is used because the literature has evolved as a living organism, with the birth of numerous …
Persistent link: https://www.econbiz.de/10014212183
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Multi-criteria classification for pricing European options
Gradojevic, Nikola - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 2, pp. 123-139
Persistent link: https://www.econbiz.de/10011507441
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Categorical coherence, classification volatility and examiner-added citations
Tan, David; Roberts, Peter W. - In: Research policy : policy, management and economic … 39 (2010) 1, pp. 89-102
Persistent link: https://www.econbiz.de/10003943767
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Forecasting returns in the US market through fuzzy rule-based classification systems
Muzzioli, Silvia; Campisi, Giovanni; De Baets, Bernard; … - 2022
Persistent link: https://www.econbiz.de/10013258692
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Spillover effects according to classification of cryptocurrency
Zhao, Yingxiu; Goodell, John W.; Shen, Dehua - In: Finance research letters 65 (2024), pp. 1-7
Persistent link: https://www.econbiz.de/10014563833
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Forecasting of realised volatility with the random forests algorithm
Luong, Chuong; Dokučaev, Nikolaj G. - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-15
The paper addresses the forecasting of realised volatility for financial time series using the heterogeneous autoregressive model (HAR) and machine learning techniques. We consider an extended version of the existing HAR model with included purified implied volatility. For this extended model,...
Persistent link: https://www.econbiz.de/10011961374
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A decision support system that incorporates price volatility in risk classifying regional food security
Laryea, Rueben; Carling, Kenneth; Cialani, Catia - In: International journal of risk assessment and management … 23 (2020) 3/4, pp. 223-235
Persistent link: https://www.econbiz.de/10012521722
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Non-fundamental exchange rate volatility and welfare
Straub, Roland; Tchakarov, Ivan - 2004
We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on economic activity and welfare. In the first part of the paper, the GARCH-SVARmodel is applied to measure empirically the effect of the conditional exogenous exchange rate...
Persistent link: https://www.econbiz.de/10009636551
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Sources of real exchange rate fluctuations : how important are nominal shocks?
Clarida, Richard H.; Galí, Jordi - 1994
Persistent link: https://www.econbiz.de/10000883655