Narrow search
Showing 1 - 10 of 7,526
Cover Image
Variance risk premiums in foreign exchange markets
Ammann, Manuel; Buesser, Ralf - 2013
Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums in foreign exchange markets. We find significantly negative risk premiums when realized variance is computed from intraday data with low frequency. As a likely consequence of...
Persistent link: https://www.econbiz.de/10010410031
Cover Image
The Volatility Forecasting of Tehran & International Stock Exchanges
Khaleghi Moghaddam, Hamid - 2010
very challenging, if not impossible. In this paper, we apply a battery of linear and nonlinear models to forecast the …
Persistent link: https://www.econbiz.de/10013138023
Cover Image
A Comprehensive Look at Financial Volatility Prediction by Economic Variables
Christiansen, Charlotte - 2012
-rich forecast methodology to handle a large set of potential predictors in a Bayesian Model Averaging approach, and, second, we take …
Persistent link: https://www.econbiz.de/10013115338
Cover Image
Information Content in Sneer Asymmetry : An Application to OOS Implied Volatility Forecasting
Choi, Youngsoo - 2012
robust across several dimensions, including: time period, forecast horizon, moneyness, and model specification …
Persistent link: https://www.econbiz.de/10013097543
Cover Image
A Comprehensive Look at Financial Volatility Prediction by Economic Variables
Christiansen, Charlotte - 2014
-rich forecast methodology to handle a large set of potential predictors in a Bayesian Model Averaging approach, and, second, we take …
Persistent link: https://www.econbiz.de/10013066491
Cover Image
Modern Currency Exchange Rate Behaviour and Proposed Trend-Like Forecasting Model
Tweneboah Senzu, Emmanuel - 2020
-regression integrated moving average as a reliable model forecast for future pricing of the volatile assets. However, the current model …
Persistent link: https://www.econbiz.de/10012835628
Cover Image
An Artificial Neural Network Representation of the SABR Stochastic Volatility Model
McGhee, William A - 2018
In this article, the Universal Approximation Theorem of Artificial Neural Networks (ANNs) is applied to the SABR stochastic volatility model in order to construct highly efficient representations. Initially, the SABR approximation of Hagan et al. [2002] is considered, then a more accurate...
Persistent link: https://www.econbiz.de/10012907596
Cover Image
Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets
Ledenyov, Dimitri - 2015
The accurate forecast of the foreign currencies exchange rates at the ultra high frequency electronic trading in the … markets in Asia, Europe and North America; 2) the research review on the classic forecast techniques of the foreign currencies … quantum forecast techniques of the foreign currencies exchange rates dynamics in the foreign currencies exchange markets with …
Persistent link: https://www.econbiz.de/10013013057
Cover Image
Forecasting Market Index Volatility Using Ross-Recovered Distributions
Gagnon, Marie-Hélène - 2020
risk preference factor. We investigate whether these factors perform better to forecast realized volatility if constructed …
Persistent link: https://www.econbiz.de/10012851207
Cover Image
Variance Risk Premium in Individual Stocks : Aggregating Factor Variance Risk
Pyun, Sungjune - 2020
The risk premium of stocks due to priced variance risk is summarized to two variables -- the stock-specific price of variance risk (the difference between realized and option-implied variance) and the quantity (i.e., how stock prices respond to their variance shocks) of variance risk....
Persistent link: https://www.econbiz.de/10012855216