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forecasting. To further improve the forecasting, we modify our calibration approach by increasing the trader information set …
Persistent link: https://www.econbiz.de/10010463489
Forecasting the stock returns in the emerging markets is challenging due to their peculiar characteristics. These … markets exhibit linear as well as nonlinear features and Conventional forecasting methods partially succeed in dealing with … which caters both the linear and nonlinear markets. This paper investigates the forecasting ability of ANN by using Fama and …
Persistent link: https://www.econbiz.de/10012175006
This study is the first attempt to investigate both the linear and non-linear Granger causality between wavelet transformed spot and futures oil prices. Our findings consistently indicate bidirectional causality between the spot and futures oil markets at different time scales, under linear and...
Persistent link: https://www.econbiz.de/10013051470
The aim of this study is to investigate Ichimoku Clouds, as a technical analysis indicator, can serve to better predict stock prices of leading US energy companies. The methodology centers on the application of the Ichimoku clouds as a trading system. Daily stock prices from the top ten...
Persistent link: https://www.econbiz.de/10012843906
Persistent link: https://www.econbiz.de/10011489292
The aim of this paper is to investigate the ability of the Dynamic Variance Gamma model, recently proposed by Bellini and Mercuri (2010), to evaluate option prices on the S&P500 index. We also provide a simple relation between the Dynamic Variance Gamma model and the Vix index. We use this...
Persistent link: https://www.econbiz.de/10013038504
A market recovery model, defined as a jump-diffusion model for the asset price where the jumps and the diffusion are not independent, is proposed. In this model a jump will be triggered when there is an unusually large downward movement over a certain time interval, and the jump size is...
Persistent link: https://www.econbiz.de/10012853238
The quintic Ornstein-Uhlenbeck volatility model is a stochastic volatility model where the volatility process is a polynomial function of degree five of a single Ornstein-Uhlenbeck process with fast mean reversion and large vol-of-vol. The model is able to achieve remarkable joint fits of the...
Persistent link: https://www.econbiz.de/10014255182
Persistent link: https://www.econbiz.de/10011398992
Persistent link: https://www.econbiz.de/10013535898