Search Results - subject:"volatility forecasting"

Forecasting Ethereum’s volatility: an expansive approach using HAR models and structural breaks

Chen, Ruijie - In: Cogent Economics & Finance 12 (2024) 1, pp. 1-17

Cryptocurrencies have become a popular investment option and the Ethereum has become a mainstream cryptocurrency because of the additional functionality that can be accomplished with the backing of the powerful Ethereum network compared to Bitcoin. The high volatility of Ethereum offers both...

Persistent link: https://www.econbiz.de/10015426016

Forecasting Bitcoin volatility using machine learning techniques

Huang, Zih-Chun; Sangiorgi, Ivan; Urquhart, Andrew - In: Journal of international financial markets, … 97 (2024), pp. 1-20

Persistent link: https://www.econbiz.de/10015405611

Forecasting exchange rate volatility : an amalgamation approach

Alexandridis, Antonios K.; Panopulu, Aikaterinē; … - In: Journal of international financial markets, … 97 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10015405627

Forecasting Ethereum's volatility : an expansive approach using HAR models and structural breaks

Chen, Ruijie - In: Cogent economics & finance 12 (2024) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10015394270

Bayesian inference for long memory stochastic volatility models

Chaim, Pedro; Laurini, Márcio Poletti - In: Econometrics : open access journal 12 (2024) 4, pp. 1-28

We explore the application of integrated nested Laplace approximations for the Bayesian estimation of stochastic volatility models characterized by long memory. The logarithmic variance persistence in these models is represented by a Fractional Gaussian Noise process, which we approximate as a...

Persistent link: https://www.econbiz.de/10015272743