Results 291 to 300 of about 2,349,483 (333)

On Forecasting Realized Volatility for Bitcoin Based on Deep Learning PSO–GRU Model

Computational Economics, 2023
Xiaolong Tang, Yuping Song, Xingrui Jiao, Yan Sun   +3 more
semanticscholar   +1 more source

A moving average heterogeneous autoregressive model for forecasting the realized volatility of the US stock market: Evidence from over a century of data

, 2020
This study forecasts the monthly realized volatility of the US stock market covering the period of February, 1885 to September, 2019 using a recently developed novel approach – a moving average heterogeneous autoregressive (MAT-HAR) model, which treats ...
Afees A. Salisu, Rangan Gupta, A. E. Ogbonna   +2 more
semanticscholar   +1 more source

Transition Risk, Physical Risk, and the Realized Volatility of Oil and Natural Gas Prices

Social Science Research Network, 2023
Afees A. Salisu, U. Ndako, X. V. Vo
semanticscholar   +1 more source

Dynamic volatility management: from conditional volatility to realized volatility

Journal of Investment Strategies, 2019
The volatility of concern in conventional volatility-managed strategies such as volatility-targeting strategy and mean-variance optimization is the expected conditional volatility. However for investors, it is the realized volatility that is important, because there is only one realization in the market.
Rongju Zhang, Nicolas Langrene, Yu Tian, Zili Zhu   +3 more
openaire   +1 more source

Intraday Realized Volatility Measures

2015
This chapter presents techniques for the construction of realized volatility measures. The focus is on the creation of a realized volatility measure which will be accurate and straightforward to implement, i.e. not extremely complicated in its construction, not too time consuming in its computation.
Stavros Degiannakis, Christos Floros
openaire   +1 more source

Modeling returns volatility: Realized GARCH incorporating realized risk measure

Physica A: Statistical Mechanics and its Applications, 2018
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jiang, Wei, Ruan, Qingsong, Li, Jianfeng, Li, Ye   +3 more
openaire   +2 more sources

Forecasting realized volatility with machine learning: Panel data perspective

Journal of Empirical Finance, 2023
Haibin Zhu, Lu Bai, Lidan He, Zhi Liu
semanticscholar   +1 more source

Realized Volatility Forecasting: Applications

2015
The realized volatility is constructed based on ultra-high frequency data for three stock indices and the euro to yen exchange rate. The sampling frequency is selected according to the volatility signature plot, and the realized volatility is adjusted to changes in the prices during the hours that the markets are closed.
Stavros Degiannakis, Christos Floros
openaire   +1 more source

Forecasting the realized volatility of stock price index: A hybrid model integrating CEEMDAN and LSTM

Expert systems with applications, 2022
Yu Lin, Zi Lin, Ying Liao, Yizhuo Li, Jiali Xu, Yangtian Yan   +5 more
semanticscholar   +1 more source

Trading Volume and Realized Volatility Forecasting: Evidence from the China Stock Market

Journal of Forecasting, 2022
Min Liu, W. Choo, Chi‐Chuan Lee, Chien‐Chiang Lee   +3 more
semanticscholar   +1 more source