The Economic Value of Equity Implied Volatility Forecasting with Machine Learning
Year of publication: |
[2023]
|
---|---|
Authors: | Zhao, Yanhui ; Borochin, Paul |
Publisher: |
[S.l.] : SSRN |
Subject: | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Künstliche Intelligenz | Artificial intelligence | ARCH-Modell | ARCH model |
-
Forecasting bitcoin volatility using hybrid GARCH models with machine learning
Zahid, Mamoona, (2022)
-
Does herding effect help forecast market volatility? : evidence from the Chinese stock market
Wang, Yide, (2023)
-
Nõu, Anders, (2023)
- More ...
-
Belief heterogeneity in the option markets and the cross-section of stock returns
Borochin, Paul, (2019)
-
Risk Neutral Skewness Predicts Price Rebounds and so can Improve Momentum Performance
Borochin, Paul, (2020)
-
The Effect of Option-implied Skewness on Delta- and Vega-Hedged Option Returns
Borochin, Paul, (2020)
- More ...