Results 271 to 280 of about 2,349,483 (333)
Introducing NBEATSx to realized volatility forecasting
Expert Systems with Applications, 2023 Hugo Gobato Souto, Amir Moradi
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International Review of Economics & Finance, 2023
In this study, we construct an investor sentiment indicator (SsPCA) to predict stock volatility in the Chinese stock market by applying the scaled principal component analysis (sPCA).
Ziyu Song +3 more
semanticscholar +1 more source
In this study, we construct an investor sentiment indicator (SsPCA) to predict stock volatility in the Chinese stock market by applying the scaled principal component analysis (sPCA).
Ziyu Song +3 more
semanticscholar +1 more source
Climate risks and realized volatility of major commodity currency exchange rates
Journal of financial markets, 2022We find that climate-related risks forecast the intraday-data-based realized volatility of exchange-rate returns of eight major fossil fuel-exporters (Australia, Brazil, Canada, Malaysia, Mexico, Norway, Russia, and South Africa).
M. Bonato +3 more
semanticscholar +1 more source
The realized volatility of commodity futures: Interconnectedness and determinants
, 2021Using high frequency data and connectedness measures based on a time-varying parameter vector autoregression (TVP-VAR) model, we study dynamic connectedness among the realized volatility of 15 commodity futures (Gold, Heating oil, Light crude oil ...
Elie Bouri +3 more
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Tail risk forecasting of realized volatility CAViaR models
Finance Research Letters, 2022This research proposes a new class of RES-CAViaR (conditional autoregressive value-at-risk) models, that incorporate daily realized volatility and expected shortfall (ES) to forecast VaR and ES simultaneously.
Cathy W. S. Chen +2 more
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Forecasting Bitcoin realized volatility by measuring the spillover effect among cryptocurrencies
Economics Letters, 2021This paper studies whether the volatility spillover effect among cryptocurrencies matters for forecasting Bitcoin realized volatility. Our results show that Bitcoin volatility models considering the linkage effect have better in-sample explanatory power ...
Yue Qiu, Y. Wang, Tian Xie
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Realized volatility forecasting: Robustness to measurement errors
, 2021In this paper, we reconsider the issue of measurement errors affecting the estimates of a dynamic model for the conditional expectation of realized variance arguing that heteroskedasticity of such errors may be adequately represented with a ...
F. Cipollini, G. Gallo, E. Otranto
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Investor sentiment, realized volatility and stock returns
, 2021PurposeThis paper examines the relationship between volatility, sentiment and returns in terms of levels and changes for both lower and higher data frequencies using quantile regression (QR) method.Design/methodology/approachIn the first step, the study ...
Wafa Abdelmalek
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Implied Volatility Forecasting Realized Volatility
2021This chapter conducts an empirical analysis of IV to forecast the RV through testing hypothesis 1–9. The analysis includes three steps. First, estimate the IV for ATM price of currency options with 1-, 2-, and 3-month maturity during opening, midday, and closing period.
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