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Using interpolated implied volatility for analysing exogenous market changes

Maciak, Matúš; Vitali, Sebastiano - In: Computational management science 21 (2024) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10014636790

Investment disputes and their explicit role in option market uncertainty and overall risk instability

Drábek, Zdeněk; Kopa, Miloš; Maciak, Matúš; … - In: Computational management science 20 (2023) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10014391957

Changepoint detection with the use of the RESPERM method : a Monte Carlo study

Kończak, Grzegorz; Stapor, Katarzyna - In: Statistics in transition : an international journal of … 24 (2023) 5, pp. 167-184

RESPERM (residuals permutation-based method) is a single changepoint detection method based on regression residuals …. This article presents the results of a Monte Carlo study on the properties of the RESPERM method for single changepoint … detection in a linear regression model. We compared our method with a well-known segmented method for detection breakpoint in …

Persistent link: https://www.econbiz.de/10015125226