Results 11 to 20 of about 2,813,405 (313)
Transformer-Based Downside Risk Forecasting: A Data-Driven Approach with Realized Downward Semi-Variance [PDF]
MathematicsRealized downward semi-variance (RDS) has been realized as a key indicator to measure the downside risk of asset prices, and the accurate prediction of RDS can effectively guide traders’ investment behavior and avoid the impact of market fluctuations ...
Yuping Song +5 more
doaj +2 more sources
Journal of Financial Risk Management, 2020 In this paper, random matrix theory is employed to perform information selection and denoising, and mean-realized variance-CVaR multi-objective portfolio models before (after) denoising are constructed for high-frequency data.
Yajie Yang, Yipin Zhu, Xia Zhao
openalex +3 more sources
Social Science Research Network, 2020 In this paper, we develop a generalized method of moments approach for joint estimation of the parameters of a fractional log-normal stochastic volatility model.
Anine E. Bolko +3 more
openalex +2 more sources
Journal of Econometrics, 2018 We propose a nonparametric estimator of the empirical distribution function (EDF) of the latent spot variance of the log-price of a financial asset. We show that over a fixed time span our realized EDF (or REDF)-inferred from noisy high-frequency data-is
Kim Christensen +2 more
openalex +2 more sources
Investigation of the Effects of Price Limit Changes on the Intraday Volatility of Iran’s Stock Market Using Realized Variance (RV) and District Fourier Transform (DFT) [PDF]
Journal of Asset Management and Financing, 2023 In this paper, the effect of a change in price limit on Iran’s stock market and its volatility was studied by applying two methods. One was Realized Variance (RV) before and after the price change was applied and the other was District Fourier Transform (
Mohammad Hasannezhad +2 more
doaj +1 more source
Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers
Energies, 2021 We use a dataset for the group of G7 countries and China to study the out-of-sample predictive value of uncertainty and its international spillovers for the realized variance of crude oil (West Texas Intermediate and Brent) over the sample period from ...
Rangan Gupta, Christian Pierdzioch
doaj +1 more source
Mathematics, 2021 At present, the study concerning pricing variance swaps under CIR the (Cox–Ingersoll–Ross)–Heston hybrid model has achieved many results; however, due to the instantaneous interest rate and instantaneous volatility in the model following the Feller ...
Chen Mao, Guanqi Liu, Yuwen Wang
doaj +1 more source
Economies, 2021 In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for both developed and
Hassan Zada +2 more
doaj +1 more source
Characterizing financial markets from the event driven perspective
Applied Network Science, 2021 In this work we study how company co-occurrence in news events can be used to discover business links between them. We develop a methodology that is able to process raw textual data, embed it into a numerical form, and extract a meaningful network of ...
Miha Torkar, Dunja Mladenic
doaj +1 more source
El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements
Sustainability, 2021 We use the heterogenous autoregressive (HAR) model to compute out-of-sample forecasts of the monthly realized variance (RV) of movements of the spot and futures price of heating oil.
M. Balcılar +3 more
semanticscholar +1 more source