Forecasting Foreign Exchange Volatility Using Deep Learning Autoencoder‐LSTM Techniques
Complexity, Volume 2021, Issue 1, 2021., 2021 Since the breakdown of the Bretton Woods system in the early 1970s, the foreign exchange (FX) market has become an important focus of both academic and practical research. There are many reasons why FX is important, but one of most important aspects is the determination of foreign investment values. Therefore, FX serves as the backbone of international
Gunho Jung +2 more
wiley +1 more source
سیستم سبدگردان خودکار با استفاده از ترکیب مدلهای پیشبینی تلاطم و مبانی تحلیل تکنیکال [PDF]
راهبرد مدیریت مالی, 2019 یکی از مواردی که درزمینهی خریدوفروش سهام کمتر موردتوجه قرار گرفتهشده، ارائه مدلی خودکار جهت تشکیل سبد سرمایهگذاری بوده که در طول زمان بهصورت پویا عمل کرده و برحسب شرایط بازار اقدام به تصمیمگیری نماید.
سید حجت وکیلی +2 more
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Financial Uncertainty from a Dual Shock at Global Level–Insights from Kuwait
International Journal of Financial Studies, 2022 Global stock markets experienced a dual shock in 2020 due to the impact of the global health crisis, parallel to a simultaneous shock derived from the Saudi Arabia and Russia oil price war. The dual shock fueled oil market volatility with lasting effects
Talal A. N. M. S. Alotaibi +1 more
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Testing for long memory in volatility in the Indian Forex market [PDF]
Ekonomski Anali, 2014 This article attempts to verify the presence of long memory in volatility in the Indian foreign exchange market using daily bilateral returns of the Indian Rupee against the US dollar from 17/02/1994 to 08/11/2013.
Kumar Anoop S.
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Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis [PDF]
SSRN Electronic Journal, 2014 Previous version available as DIW Berlin Discussion Paper No.
Caporale, GM, Skare, M
openaire +4 more sources
Stock-return volatility persistence over short and long range horizons: Some empirical evidences
Jurnal Perspektif Pembiayaan dan Pembangunan Daerah, 2020 In this paper, we account for memory failure or otherwise in the daily evolution of stock return and volatility within the purview of short and long ranges based on the arrival of fundamental news.
Kolawole Subair, Ajibola Arewa
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Evaluation of the Value-at-Risk Estimation Methods with applying a Penalty for Risk Overestimation [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2020 In this paper, Value at Risk for Gold prices Is estimated by the Extreme Value theory and parametric method with Normal and t-student distribution for disturbance term in the mean equation together with a range of the conditional variances estimation ...
Ghlamreza Keshavarz-Haddad +1 more
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Short‐run wavelet‐based covariance regimes for applied portfolio management
Journal of Forecasting, Volume 39, Issue 4, Page 642-660, July 2020., 2020 Abstract Decisions on ass et allocations are often determined by covariance estimates from historical market data. In this paper, we introduce a wavelet‐based portfolio algorithm, distinguishing between newly embedded news and long‐run information that has already been fully absorbed by the market.
Theo Berger, Ramazan Gençay
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How Does Internet Information Affect Oil Price Fluctuations? Evidence from the Hot Degree of Market
Discrete Dynamics in Nature and Society, Volume 2020, Issue 1, 2020., 2020 Not only the fundamentals of supply and demand but also international oil prices are affected by nonfundamental indicators such as emergencies. With the development of big data technology, many unstructured and semistructured factors can be reflected through Internet information. Based on this, this paper proposes a HD‐based oil price forecasting model
Lu-Tao Zhao +4 more
wiley +1 more source
Comparing the accuracy of the model Meta heuristic and Econometric in forecasting of financial time series with long-term memory (Case Study, Stock Index of Cement Industry in Iran) [PDF]
تحقیقات مالی, 2011 Data with high frequency have a particular type of none stationary that is called fractional none stationary. This property causes the emergence of long-term memory in financial time series with high frequency. The existence of long-term memory in cement
Farnaz Barzinpour +3 more
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