DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions. [PDF]
Quant FinanceMoreno-Pino F, Zohren S.
europepmc +1 more source
Stock Market Volatility and Return Analysis: A Systematic Literature Review. [PDF]
Entropy (Basel), 2020 Bhowmik R, Wang S.
europepmc +1 more source
Cointegration and causality relationship of Indian stock market with selected world markets. [PDF]
F1000Res, 2022 Ali F, Suri P, Kaur T, Bisht D.
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Pseudo-Maximum Likelihood Estimation of ARCH(8) Models [PDF]
Strong consistency and asymptotic normality of the Gaussian pseudo-maximumlikelihood estimate of the parameters in a wide class of ARCH(8) processesare established.
Paolo Zaffaroni, Peter M Robinson
core
Risk contagion of COVID-19 to oil prices: A Markov switching GARCH and PCA approach. [PDF]
PLoS OneSiddiqui N, Mohamad Hasim H.
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Modelling stock market data in China: Crisis and Coronavirus. [PDF]
Financ Res Lett, 2021 Cristofaro L +3 more
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Volatility Dynamics of Non-Linear Volatile Time Series and Analysis of Information Flow: Evidence from Cryptocurrency Data. [PDF]
Entropy (Basel), 2022 Sheraz M, Dedu S, Preda V.
europepmc +1 more source
How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method. [PDF]
Physica A, 2022 Zhu P, Lu T, Chen S.
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Memory-Driven Dynamics: A Fractional Fisher Information Approach to Economic Interdependencies. [PDF]
Entropy (Basel)Batrancea LM +4 more
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Market-crash forecasting based on the dynamics of the alpha-stable distribution. [PDF]
Physica A, 2020 Molina-Muñoz J +2 more
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