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A two-step framework for arbitrage-free prediction of the implied volatility surface
Zhang, Wenyong; Li, Lingfei; Zhang, Gongqiu - In: Quantitative finance 23 (2023) 1, pp. 21-34
Persistent link: https://www.econbiz.de/10013490950
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Data-driven hedging of stock index options via deep learning
Chen, Jie; Li, Lingfei - In: Operations research letters 51 (2023) 4, pp. 408-413
Persistent link: https://www.econbiz.de/10014426577
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Predicting macro-financial instability : how relevant is sentiment? : evidence from long short-term memory networks
Kanzari, Dalel; Nakhli, Mohamed Sahbi; Gaies, Brahim; … - In: Research in international business and finance 65 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014436130
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A neural network approach to understanding implied volatility movements
Cao, Jay; Chen, Jacky; Hull, John - In: Options - 45 years since the publication of the …, (pp. 235-256). 2023
Persistent link: https://www.econbiz.de/10014366653
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Portfolio optimization with feedback strategies based on artificial neural networks
Kopeliovich, Yaacov; Pokojovy, Michael - In: Finance research letters 69 (2024) 2, pp. 1-8
Persistent link: https://www.econbiz.de/10015191872
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DeepVol : volatility forecasting from high-frequency data with dilated causal convolutions
Moreno-Pino, Fernando; Zohren, Stefan - In: Quantitative finance 24 (2024) 8, pp. 1105-1127
Persistent link: https://www.econbiz.de/10015196873
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Drilling deeper : non-linear, non-parametric natural gas price and volatility forecasting
Bajatovic, Dusan; Erdemlioglu, Deniz; Gradojevic, Nikola - In: The energy journal 45 (2024) 4, pp. 1-25
Persistent link: https://www.econbiz.de/10015323327
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Analysis of early warning of RMB exchange rate fluctuation and value at risk measurement based on deep learning
Lu, Chunyi; Teng, Zhuoqi; Gao, Yu; Wu, Renhong; … - In: Computational economics 59 (2022) 4, pp. 1501-1524
Persistent link: https://www.econbiz.de/10013261898
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Asset returns in deep learning methods : an empirical analysis on SSE 50 and CSI 300
Li, Weiping; Mei, Feng - In: Research in international business and finance 54 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012581422
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Factor-augmented HAR model improves realized volatility forecasting
Kim, Dongwoo; Baek, Changryong - In: Applied economics letters 27 (2020) 12, pp. 1002-1009
Persistent link: https://www.econbiz.de/10012267030