Results 131 to 140 of about 4,202 (205)

Twitter Sentiment Analysis and Influence on Stock Performance Using Transfer Entropy and EGARCH Methods. [PDF]

Entropy (Basel), 2022
Mendoza-Urdiales RA, Núñez-Mora JA, Santillán-Salgado RJ, Valencia-Herrera H.   +3 more
europepmc   +1 more source

Hybrid Fourier asymmetric-garch estimation of value at risk and expected shortfall: Empirical evidence from crude oil prices. [PDF]

Heliyon
Doabil L, Nasiru S, Iddrisu MM.
europepmc   +1 more source

Forecasting value-at-risk of crude oil futures using a hybrid ARIMA-SVR-POT model. [PDF]

Heliyon
Zhang C, Zhou X.
europepmc   +1 more source

New practice for investors in Chinese stock market: From perspective of fractionally integrated realized GARCH model. [PDF]

Heliyon, 2023
Xiao M, Tao Z, Gu Z, Li Z, Chen X.
europepmc   +1 more source

The price continuity, return and volatility spillover effects of regular and after-hours trading. [PDF]

PLoS One
Chiu CL, Chang TH, Hsiao IF, Chiou DS.
europepmc   +1 more source

Forecasting Equity Volatility Dynamics with Markov-Switching EGARCH Models

Understanding and anticipating stock market volatility enables better portfolio management. We forecast US equity volatility with a Markov-Switching EGARCH model with one high and one low volatility regime.
Dennis-Sharma, Tyson
core  

Analyzing risk contagion and volatility spillover across multi-market capital flow using EVT theory and C-vine Copula. [PDF]

Heliyon
Afzal F, Pan H, Afzal F, Gul RF.
europepmc   +1 more source

Applying Hybrid ARIMA-SGARCH in Algorithmic Investment Strategies on S&P500 Index. [PDF]

Entropy (Basel), 2022
Vo N, Ślepaczuk R.
europepmc   +1 more source

DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions. [PDF]

Quant Finance
Moreno-Pino F, Zohren S.
europepmc   +1 more source