Results 221 to 230 of about 993 (234)

The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes

Energy Economics, 2016
Aktham Maghyereh, Basel Awartani, Elie Bouri   +2 more
exaly  

Forecasting the volatility of stock price index: A hybrid model integrating LSTM with multiple GARCH-type models

Expert Systems With Applications, 2018
Ha Young Kim
exaly  

Implied volatility surface analysis using variational autoencoders

The present work explores the applicability of Variational Autoencoders in the search for a calibrator for implied volatility surfaces. To do this, two data sets provided by a financial entity were analyzed. In the first data set, Amazon, Euro Stoxx 50, S&P 500, Telefónica, and HKD were received. The best result was for the Standard and Poor’s (S&P 500)
openaire   +1 more source

Modeling and Forecasting Realized Volatility

Econometrica, 2003
Torben G Andersen, Tim Bollerslev
exaly  

High idiosyncratic volatility and low returns: International and further U.S. evidence

Journal of Financial Economics, 2009
Robert J Hodrick, Yuhang Xing, Xiaoyan Zhang   +2 more
exaly  

Volatility spillover between oil and agricultural commodity markets

Energy Economics, 2013
Saban Nazlioglu, Ugur Soytas
exaly  

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

Journal of Finance, 2015
Robert F Stambaugh, Jianfeng Yu, Yu Yuan
exaly  

Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis

Energy Economics, 2016
Saban Nazlioglu, Ugur Soytas
exaly  

Geopolitical risk and oil volatility: A new insight

Energy Economics, 2019
Yaojie Zhang
exaly  

News implied volatility and disaster concerns

Journal of Financial Economics, 2017
Asaf Manela, Alan Moreira
exaly