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Forecasting high-frequency volatility shocks : an analytical real-time monitoring system
Kömm, Holger - 2016 - 1st ed. 2016
Persistent link: https://www.econbiz.de/10011411472
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Forecasting High-Frequency Volatility Shocks : An Analytical Real-Time Monitoring System
Kömm, Holger - 2016 - 1st ed. 2016
Integrated Volatility -- Zero-inflated Data Generation Processes -- Algorithmic Text Forecasting. …-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring … system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two …
Persistent link: https://www.econbiz.de/10014018810
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Unrealistic expectations: the futility of precisely estimating a stock's expected return
Das, Sanjiv R.; Ostrov, Daniel - In: Journal of investment management : JOIM 22 (2024) 1, pp. 58-64
Persistent link: https://www.econbiz.de/10014546370
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Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2018
Persistent link: https://www.econbiz.de/10012583570
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Bayesian estimation of NIG-parameters by Markov chain Monte Carlo methods
Lillestøl, Jostein - 2000
Persistent link: https://www.econbiz.de/10001582162
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Local parametric analysis of derivatives pricing and hedging
Bossaerts, Peter L.; Hillion, Pierre Henri - 1997
Persistent link: https://www.econbiz.de/10000980780
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Local parametric analysis of derivatives pricing and hedging
Bossaerts, Peter L.; Hillion, Pierre Henri - In: Journal of financial markets 6 (2003) 4, pp. 573-605
Persistent link: https://www.econbiz.de/10001780139
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Specification analysis in regime-switching continuous-time diffusion models for market volatility
Bu, Ruijun; Cheng, Jie; Hadri, Kaddour - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 1, pp. 65-80
Persistent link: https://www.econbiz.de/10011650223
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Modeling high-frequency financial data using R and Stan : a bayesian autoregressive conditional duration approach
Tabash, Mosab I.; Navas, T. Muhammed; Thayyib, P. V.; … - In: Journal of open innovation : technology, market, and … 10 (2024) 2, pp. 1-16
In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....
Persistent link: https://www.econbiz.de/10014581582
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Exchange rate volatility, stock prices and returns in BRICS : the moderating effect of inflation with wavelength analysis
Umoru, David; Igbinovia, Beauty; Odegha, Benjamin - 2025
This study aimed to evaluate the conditional effect of exchange rate volatility on stock prices and returns in the … volatility, market performance becomes highly responsive to fluctuations in currency values. The findings of this research will …
Persistent link: https://www.econbiz.de/10015402817