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Volatility analysis of Bitcoin price time series
Pichl, Lukáš; Kaizoji, Taisei - In: Quantitative finance and economics 1 (2017) 4, pp. 474-485
Persistent link: https://www.econbiz.de/10012137891
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Does artificial neural network forecast better for excessively volatile currency pairs?
Inani, Sarveshwar Kumar; Tripathi, Manas; Kumar, Saurabh - In: The journal of prediction markets 10 (2016) 2, pp. 47-61
Persistent link: https://www.econbiz.de/10011904939
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High frequency volatility forecasting : a new approach using a hybrid ANN-MC-GARCH model
Jumoorty, Aneessa Firdaus; Thoplan, Ruben; Narsoo, Jason - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 4156-4175
Persistent link: https://www.econbiz.de/10014429300
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GJR-GARCH volatility modeling under NIG and ANN for predicting top cryptocurrencies
Mostafa, Fahad; Saha, Pritam; Islam, Mohammad Rafiqul; … - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-22
Cryptocurrencies are currently traded worldwide, with hundreds of different currencies in existence and even more on the way. This study implements some statistical and machine learning approaches for cryptocurrency investments. First, we implement GJR-GARCH over the GARCH model to estimate the...
Persistent link: https://www.econbiz.de/10012628344
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An artificial neural network representation of the SABR stochastic volatility model
McGhee, William A. - In: The journal of computational finance 25 (2021) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10012938882
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Volatility forecasting using hybrid GARCH Neural Network models : the case of the Italian stock market
Kartsonakis Mademlis, Dimitrios; Dritsakis, Nikolaos - In: International journal of economics and financial issues … 11 (2021) 1, pp. 49-60
Persistent link: https://www.econbiz.de/10012436893
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Forecasting stock market using discrete wavelet transforms and artificial neural networks model
Tripathy, Nalini Prava; Jaipuria, Sanjita - In: The empirical economics letters : a monthly … 19 (2020) 11, pp. 1263-1277
Persistent link: https://www.econbiz.de/10012599697
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A hybrid neural network GARCH approach to forecasting Zimbabwean inflation volatility
Chitambo, Nigel E. N.; Lee, Darren; Mataramvura, Sure - In: African finance journal 23 (2021) 1, pp. 56-73
Persistent link: https://www.econbiz.de/10012654658
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Forecasting stock market realized volatility using random forest and artificial neural network in South Africa
Diane, Lamine; Brijlal, Pradeep - In: International journal of economics and financial issues … 14 (2024) 2, pp. 5-14
Persistent link: https://www.econbiz.de/10014581568
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Alternate Models for Forecasting Hedge Fund Returns
Holden, Michael A - 2011
Alternate Models for Forecasting Hedge Fund ReturnsMichael HoldenFaculty Sponsor: Gordon Dash, Finance and Decision SciencesInvestors have always wanted to improve the efficiency of modeling realized volatility to maximize directional trading returns and substantially improve profitability. As...
Persistent link: https://www.econbiz.de/10009455888