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Prediction of realized volatility and implied volatility indices using AI and machine learning : a review

Gunnarsson, Elias Søvik; Isern, Håkon Ramon; … - In: International review of financial analysis 93 (2024), pp. 1-20

Persistent link: https://www.econbiz.de/10014543698

Enhancing cryptocurrency market volatility forecasting with daily dynamic tuning strategy

Feng, Lingbing; Qi, Jiajun; Lucey, Brian M. - In: International review of financial analysis 94 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014543914

Cross-exchange crypto risk : a high-frequency dynamic network perspective

Wang, Yifu; Lu, Wanbo; Lin, Min-Bin; Ren, Rui; Härdle, … - In: International review of financial analysis 94 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014543953

Heterogeneity in the volatility spillover of cryptocurrencies and exchanges

Wu, Meiyu; Wang, Li; Yang, Haijun - In: Financial innovation : FIN 10 (2024), pp. 1-46

This study examines the volatility spillovers in four representative exchanges and for six liquid cryptocurrencies …. Using the high-frequency trading data of exchanges, the heterogeneity of exchanges in terms of volatility spillover can be …, we identify the determinants of total connectedness in two types of volatility spillover, which can explain …

Persistent link: https://www.econbiz.de/10014547084

Valuation of spread options under correlated skew Brownian motions

Song, Shiyu; Wang, Xingchun; Zhang, Xiaowen - In: The European journal of finance 30 (2024) 5, pp. 503-523

Persistent link: https://www.econbiz.de/10014547897

Are the systemic risk spillovers of good and bad volatility in oil and global equity markets alike?

Xie, Qichang; Qin, Jingrui; Li, Jianwei - In: Energy strategy reviews 49 (2023), pp. 1-15

models and implied volatility indices to examine risk spillover under bad and good volatility changes. The results reveal …-stock volatility is greater than that from decreases in volatility, showing an apparent asymmetric phenomenon. Additionally, asymmetric … risk spillovers are caused by volatility in the oil market. In particular, the ability to predict systemic risk driven by …

Persistent link: https://www.econbiz.de/10014548058

Stress from attention : the relationship between climate change attention and crude oil markets

Lin, Boqiang; Chen, Yiyang; Gong, Xu - In: Journal of commodity markets : JCM 34 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10014548327

Coal price shock propagation through sectoral financial interconnectedness in China's stock market : quantile coherency network modelling and shock decomposition analysis

Zhang, Yan; Xu, Yushi; Zhu, Xintong; Huang, Jionghao - In: Journal of commodity markets : JCM 34 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10014548333

Pattern recognition in microtrading behaviors preceding stock price jumps : a study based on mutual information for multivariate time series

Kong, Ao; Azencott, Robert; Zhu, Hongliang; Li, Xindan - In: Computational economics 63 (2024) 4, pp. 1401-1429

Persistent link: https://www.econbiz.de/10014549027

Valuations of variance and volatility swaps under double Heston jump‑diffusion model with approximative fractional stochastic volatility

Wang, Ke; Guo, Xunxiang - In: Computational economics 63 (2024) 4, pp. 1543-1573

Persistent link: https://www.econbiz.de/10014549124