Robust forward investment and consumption under drift and volatility uncertainties: A randomization approach [PDF]
Wing Fung Chong, Gechun Liang
openalex +1 more source
Managing East Asia's macroeconomic volatility [PDF]
East Asia has experienced a dramatic decrease in output growth volatility over the past 20 years. This is good news, as output growth volatility affects poor households because of coping strategies that have long-term, harmful consequences, and the ...
Olaberria, Eduardo, Rigolini, Jamele
core
Extended Libor Market Models with Affine and Quadratic Volatility [PDF]
The market model of interest rates specifies simple forward or Libor rates as lognormally distributed, their stochastic dynamics has a linear volatility function.
Christian Zühlsdorff
core
Modelling and Forecasting the Indian Re/US Dollar Exchange Rate [PDF]
This paper develops vector autoregressive and Bayesian vector autoregressive models to forecast the Indian Re/US dollar exchange rate which is governed by a managed floating exchange rate regime. It considers extensions of the monetary model that include
Pami Dua, Rajiv Ranjan
core
EMAT: Enhanced Multi-Aspect Attention Transformer for Financial Time Series Forecasting. [PDF]
Entropy (Basel)Chen Y, Shen W, Liu H, Cao X.
europepmc +1 more source
Cause-and-effect relationships in a nonlinear model of Bitcoin's energy use and price volatility effect. [PDF]
PLoS OneZournatzidou G.
europepmc +1 more source
A Quasi-Monte Carlo Method Based on Neural Autoregressive Flow. [PDF]
Entropy (Basel)Wei Y, Xi W.
europepmc +1 more source
Cross-market volatility spillovers between China and the United States: A DCC-EGARCH-t-Copula framework with out-of-sample forecasting. [PDF]
PLoS OneZeng J, Wu J.
europepmc +1 more source
The impact of patent activity on idiosyncratic volatility in U.S. pharmaceutical companies. [PDF]
PLoS OneAtilgan E +4 more
europepmc +1 more source