Results 11 to 20 of about 25,094 (140)
Stock Return Prediction Based on a Functional Capital Asset Pricing Model
Journal of Forecasting, EarlyView.ABSTRACT The capital asset pricing model (CAPM) is readily used to capture a linear relationship between the daily returns of an asset and a market index. We extend this model to an intraday high‐frequency setting by proposing a functional CAPM estimation approach.
Ufuk Beyaztas +3 more
wiley +1 more source
Parameter estimation in nonlinear AR–GARCH models [PDF]
This paper develops an asymptotic estimation theory for nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a general nonlinear autoregression of order p (AR(p)) with the conditional variance specified as a general ...
Mika Meitz, Pentti Saikkonen
core +3 more sources
Application of a Modified Generalized Regression Neural Networks Algorithm in Economics and Finance [PDF]
, 2011 In this paper we propose an alternative and modified Generalized Regression Neural Networks Autoregressive model (GRNN-AR) in S&P 500 and FTSE 100 index returns, as also in Gross domestic product growth rate of Italy, USA and UK. We compare the forecasts
Giovanis, Eleftherios
core
Pricing VXX Options With Observable Volatility Dynamics From High‐Frequency VIX Index
Journal of Futures Markets, EarlyView.ABSTRACT This paper develops a discrete‐time joint analytical framework for pricing volatility index (VIX) and VXX options consistently. We show that our framework is more flexible than continuous‐time VXX models as it allows the information contained in the high‐frequency VIX index to be incorporated for the joint pricing of VIX and VXX options, and ...
Shan Lu
wiley +1 more source
Journal of Futures Markets, EarlyView.ABSTRACT This paper investigates the economic consequences for Bitcoin options' prices of a long memory in conditional volatility and conditional non‐normality of Bitcoin returns. The arbitrage‐free prices of Bitcoin options are determined by market consistent valuation and the conditional Esscher transform. Monte Carlo estimates for option prices from
Tak Kuen Siu
wiley +1 more source
A General Framework for Observation Driven Time-Varying Parameter Models [PDF]
, 2008 We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function.
Creal, D.D., Koopman, S.J., Lucas, A.
core +7 more sources
International Journal of Finance &Economics, EarlyView.ABSTRACT This research aims to explore and understand the dynamic nature of volatility connectedness between BRICS stock markets and various asset price implied volatility indices through a TVP‐VAR broadened connectedness approach. Results display nontrivial dynamic connectedness in the BRICS stock markets and uncertainties in different markets during ...
Halilibrahim Gökgöz +3 more
wiley +1 more source
Forecasting Digital Asset Return: An Application of Machine Learning Model
International Journal of Finance &Economics, EarlyView.ABSTRACT In this study, we aim to identify the machine learning model that can overcome the limitations of traditional statistical modelling techniques in forecasting Bitcoin prices. Also, we outline the necessary conditions that make the model suitable.
Vito Ciciretti +4 more
wiley +1 more source
Contemporaneous-threshold smooth transition GARCH models [PDF]
, 2011 This paper proposes a contemporaneous-threshold smooth transition GARCH (or C-STGARCH)model for dynamic conditional heteroskedasticity. The C-STGARCH model is a generalization tosecond conditional moments of the contemporaneous smooth transition ...
Dueker, M.J. +3 more
core +2 more sources
Information Flows, Stock Market Volatility and the Systemic Risk in Global Finance
International Journal of Finance &Economics, EarlyView.ABSTRACT Information flows are a theoretical explanation for stock market volatility, but controversy remains regarding how to measure them. Based on cross‐sectional and temporal properties of information flows, we decompose total trading volume into four types: cross‐country shocks and country‐specific shocks due to arrivals of private information ...
Yen‐Hsiao Chen +3 more
wiley +1 more source