Results 281 to 290 of about 482,787 (390)
Journal of Forecasting, EarlyView.ABSTRACT Using overnight volatility as the proxy for overnight information, this paper models future Chinese stock market realized range–based volatility (RRV) within a class of heterogeneous autoregressive models augmented by this proxy. We confirm the important role of overnight information in volatility forecasting models with strong evidence from ...
Yi Zhang, Long Zhou, Zhidong Liu
wiley +1 more source
MCorrSeqPerm: Searching for the Maximum Statistically Significant System of Linear Correlations and its Application in Work Psychology. [PDF]
Appl Psychol MeasStapor K +4 more
europepmc +1 more source
Commodity Option Return Predictability
Journal of Futures Markets, EarlyView.ABSTRACT This paper investigates the predictability of delta‐hedged commodity option returns using 103 predictors. We estimate several linear and nonlinear machine learning models and forecast ensembles using futures options data on seven commodities.
Constant Aka +2 more
wiley +1 more source
Boosting any learning algorithm with Statistically Enhanced Learning. [PDF]
Sci RepFelice F, Ley C, Bordas SPA, Groll A.
europepmc +1 more source
Trading Games: Beating Passive Strategies in the Bullish Crypto Market
Journal of Futures Markets, EarlyView.ABSTRACT This study examines the effectiveness of cointegrated pairs trading in cryptocurrency markets, introducing systematic parameter optimization within the trading framework. The analysis is conducted using a dataset comprising ten major cryptocurrencies, selected based on market capitalization and consensus mechanism, spanning the period from ...
Rafael Baptista Palazzi
wiley +1 more source
An econometric simulation model of United States agriculture with commodity submodels
, 1971 Daryll E. Ray
openalex +1 more source
A methodological framework for exploring SME finance with SAFE data. [PDF]
PLoS OneFinnegan M, Morales L.
europepmc +1 more source