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. Regression modelling has been used within this study as a methodology to identify the goodness-of-fit between the original and … regression and copula modelling, apart from the usual forecasting. Determining the distribution and stylized facts also allows … of regression modelling. …
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We use machine learning methods to predict stock return volatility. Our out-of-sample prediction of realised volatility for a large cross-section of US stocks over the sample period from 1992 to 2016 is on average 44.1% against the actual realised volatility of 43.8% with an R2 being as high as...
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regression modelling for which we also consider interaction effects: While, according to our modelling results, the price … markets. -- index options ; quotation data ; price change process ; poisson regression ; latent process ; autocorrelation …
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non-random and a random system. Unlike classical regressions, mean regression functions in the new model contain variance …
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