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The use of open source internet to analysis and predict stock market trading volume

Moussa, Faten; Ben Ouda, Olfa; Delhoumi, Ezzeddine - In: Research in international business and finance 41 (2017), pp. 399-411

Persistent link: https://www.econbiz.de/10011914519

Volatility forecasting when the noise variance Is time-varying

Chaker, Selma; Meddahi, Nour - 2013

This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the...

Persistent link: https://www.econbiz.de/10010225492

Volatility and time series econometrics : essays in honor of Robert Engle

Bollerslev, Tim (ed.); Engle, Robert F. (honouree); … - 2010 - 1. publ.

Volatility and Time Series Econometrics: Essays in Honor of Robert F. .Engle Edited by … History of Econometrics at the University of California, San Diego: A Personal Viewpoint 1 … 6 7 Wives 8 8 The Econometrics Research Project …

Persistent link: https://www.econbiz.de/10003861657

Identification of volatility proxies as expectations of squared financial returns

Sucarrat, Genaro - In: International journal of forecasting 37 (2021) 4, pp. 1677-1690

Persistent link: https://www.econbiz.de/10013274330

Analysis of market volatility via a dynamically purified option price process

Luong, Chuong; Dokučaev, Nikolaj G. - In: Annals of financial economics 9 (2014) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10010391659

Modeling and valuation of energy structures : analylsis., econometrics, and numerics

Mahoney, Daniel - 2016

Persistent link: https://www.econbiz.de/10011399615

Modeling and Valuation of Energy Structures : Analytics, Econometrics, and Numerics

Mahoney, Daniel - 2016

Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...

Persistent link: https://www.econbiz.de/10014306581

Value-at-risk : techniques to account for leptokurtosis and asymmetric behavior in returns distribtions

Lechner, Lindsay A.; Ovaert, Timothy C. - In: Journal of risk finance : the convergence of financial … 11 (2010) 5, pp. 464-480

Persistent link: https://www.econbiz.de/10008778709

Estimation of a self-exciting poisson jump diffusion model by the empirical characteristic function method

Yu, Jun - 1999

Persistent link: https://www.econbiz.de/10001435268

Stable paretian models in finance

Račev, Svetlozar T.; Mittnik, Stefan - 2000

Persistent link: https://www.econbiz.de/10001354951