Search Results - subject:"Volatility Modeling"

Valuation and returns on stock return volatility

Lyle, Matthew R. - In: The accounting review : a publication of the American … 100 (2025) 2, pp. 299-328

Persistent link: https://www.econbiz.de/10015641378

Control charts for measurement error models

Golosnoy, Vasyl; Hildebrandt, Benno; Köhler, Steffen; … - In: AStA Advances in Statistical Analysis 107 (2022) 4, pp. 693-712

We consider a linear measurement error model (MEM) with AR(1) process in the state equation which is widely used in applied research. This MEM could be equivalently re-written as ARMA(1,1) process, where the MA(1) parameter is related to the variance of measurement errors. As the MA(1) parameter...

Persistent link: https://www.econbiz.de/10015165616

Stock-oil comovements through fear, uncertainty, and expectations : evidence from conditional comoments

Noori, Mohammad - In: International review of economics & finance : IREF 93 (2024) 1, pp. 529-551

Persistent link: https://www.econbiz.de/10014535373

High frequency volatility of oil futures in China : components, modeling, and prediction

Hong, Yi; Xu, Xiaofan; Yang, Chen - In: Journal of forecasting 43 (2024) 8, pp. 3104-3127

Persistent link: https://www.econbiz.de/10015110604

Cryptocurrency Market Volatility and Forecasting : a comparative analysis of modern machine learning models for cryptocurrencies predicting accuracy

Iqbal, Robina; Riaz, Madhia; Sorwar, Ghulam; Qadir, Junaid - In: Review of Pacific Basin financial markets and policies … 27 (2024) 4, pp. 1-32

Persistent link: https://www.econbiz.de/10015556600

Quantitative methods for economics and finance

Trinidad Segovia, Juan Evangelista (ed.); … - 2021

This book is a collection of papers for the Special Issue "Quantitative Methods for Economics and Finance" of the journal Mathematics. This Special Issue reflects on the latest developments in different fields of economics and finance where mathematics plays a significant role. The book gathers...

Persistent link: https://www.econbiz.de/10012586869

Quantitative methods for economics and finance

Trinidad Segovia, Juan Evangelista (contributor); … - 2021

Persistent link: https://www.econbiz.de/10012606041

A statistical recurrent stochastic volatility model for stock markets

Trong-Nghia Nguyen; Minh-Ngoc Tran; Gunawan, David; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 414-428

Persistent link: https://www.econbiz.de/10014448201

Volatility is (mostly) path-dependent

Guyon, Julien; Lekeufack, Jordan - In: Quantitative finance 23 (2023) 9, pp. 1221-1258

Persistent link: https://www.econbiz.de/10014339908

Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27

In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...

Persistent link: https://www.econbiz.de/10012023869