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Combining Dimensionality Reduction with Neural Networks for Realized Volatility Forecasting

He, Lidan; Bucci, Andrea; Liu, Zhi - 2021

Factorization (NMF) and Least Absolute Shrinkage and Selection Operator (LASSO) with hybrid artificial neutral networks to forecast …

Persistent link: https://www.econbiz.de/10013233916

Learning and Forecasts about Option Returns through the Volatility Risk Premium

Bernales, Alejandro - 2019

We use learning in an equilibrium model to explain the puzzling predictive power of the volatility risk premium (VRP) for option returns. In the model, a representative agent follows a rational Bayesian learning process in an economy under incomplete information with the objective of pricing...

Persistent link: https://www.econbiz.de/10012892623

Volatility Forecasting Using Financial Statement Information

Sridharan, Suhas A. - 2015

. My main hypothesis is accounting-based drivers can be used to forecast future volatility incremental to either past …

Persistent link: https://www.econbiz.de/10013037345

Forecasting USD/EUR FX Rate Volatilities

Park, Jungjun - 2022

As many international transactions are settled in the future, forecasting exchange rates is a very useful endeavor for risk management purposes. We estimate GARCH models to capture the behavior of the conditional volatility. The expected daily volatility converges to the unconditional variance...

Persistent link: https://www.econbiz.de/10014236565

The Role of 'Other Information' in Analysts’ Forecasts in Understanding Stock Return Volatility

Shan, Yaowen - 2013

This study proposes and validates “other information” in analysts' forecasts as a legitimate proxy for future cash flows, and examines its incremental role in explaining stock return volatility. We suggest that “other information” contains information about fundamentals beyond that...

Persistent link: https://www.econbiz.de/10013075116

Management Forecasts of Volatility

Ellahie, Atif - 2020

forecast volatility …

Persistent link: https://www.econbiz.de/10012846404

Volatility Spreads and Expected Stock Returns

Bali, Turan G. - 2012

This paper investigates whether realized and implied volatilities of individual stocks can predict the cross-sectional variation in expected returns. Although the levels of volatilities from the physical and risk-neutral distributions cannot predict future returns, there is a significant...

Persistent link: https://www.econbiz.de/10013116882

Predictability of Implied Volatility : Evidence from the Over-the-counter Currency Option Markets

Wong, Alfred H.S. - 2011

This paper provides an empirical study on the predictability of implied volatility using dataset collected from the London over-the-counter currency option market. The present work is motivated by the lack of empirical studies that address implied volatility characteristics across various...

Persistent link: https://www.econbiz.de/10013121151

Oil and Equity Return Predictability : The Importance of Dissecting Oil Price Changes

Jiang, Haibo - 2018

Based on data until the mid 2000s, oil price changes were shown to predict international equity index returns with a negative predictive slope. Extending the sample to 2015, we document that this relationship has been reversed over the last ten years and therefore has not been stable over time....

Persistent link: https://www.econbiz.de/10012935742

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

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