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When the blockchain does not block : on hackings and uncertainty in the cryptocurrency market
Grobys, Klaus - In: Quantitative finance 21 (2021) 8, pp. 1267-1279
Persistent link: https://www.econbiz.de/10012608645
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Forecasting interval-valued crude oil prices using asymmetric interval models
Lu, Quanying; Sun, Yuying; Hong, Yongmiao; Wang, Shouyang - In: Quantitative finance 22 (2022) 11, pp. 2047-2061
Persistent link: https://www.econbiz.de/10013490921
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A tale of two sentiment scales : disentangling short-run and long-run components in multivariate sentiment dynamics
Vassallo, Danilo; Bormetti, Giacomo; Lillo, Fabrizio - In: Quantitative finance 22 (2022) 12, pp. 2237-2255
Persistent link: https://www.econbiz.de/10013490941
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A two-step framework for arbitrage-free prediction of the implied volatility surface
Zhang, Wenyong; Li, Lingfei; Zhang, Gongqiu - In: Quantitative finance 23 (2023) 1, pp. 21-34
Persistent link: https://www.econbiz.de/10013490950
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Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua; Zhao, Ran - In: Quantitative finance 23 (2023) 1, pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
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Predicting credit ratings and transition probabilities : a simple cumulative link model with firm-specific frailty
Hwang, Ruey-Ching; Chu, Chih-Kang; Chen, Yi-Chi - In: Quantitative finance 23 (2023) 1, pp. 149-168
Persistent link: https://www.econbiz.de/10013490962
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FuNVol : multi-asset implied volatility market simulator using functional principal components and neural SDEs
Choudhary, Vedant; Jaimungal, Sebastian; Bergeron, Maxime - In: Quantitative finance 24 (2024) 8, pp. 1077-1103
Persistent link: https://www.econbiz.de/10015196872
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DeepVol : volatility forecasting from high-frequency data with dilated causal convolutions
Moreno-Pino, Fernando; Zohren, Stefan - In: Quantitative finance 24 (2024) 8, pp. 1105-1127
Persistent link: https://www.econbiz.de/10015196873
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Path shadowing Monte Carlo
Morel, Rudy; Bouchaud, Jean-Philippe - In: Quantitative finance 24 (2024) 9, pp. 1199-1225
Persistent link: https://www.econbiz.de/10015196880
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On the pricing of capped volatility swaps using machine learning techniques
Höcht, Stephan; Schoutens, Wim; Verschueren, Eva - In: Quantitative finance 24 (2024) 9, pp. 1287-1300
Persistent link: https://www.econbiz.de/10015196887