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Forecasting realized volatility through financial turbulence and neural networks
Economics and Business Review, 2023 This paper introduces and examines a novel realized volatility forecasting model that makes use of Long Short-Term Memory (LSTM) neural networks and the risk metric financial turbulence (FT).
Souto Hugo Gobato, Moradi Amir
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RisksIf intraday price data are unavailable, then using daily returns to construct realized measures of the variances of lower-frequency returns is a natural substitute for using high-frequency returns in this context.
Chris Kirby
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FORECASTING THE REALIZED VOLATILITY OF ISLAMIC EQUITIES USING MULTIVARIATE HAR-TYPE MODELS
The International Journal of Banking and FinanceThis study proposes nine multivariate intraday models using various realized variation measures with the aim to improve volatility forecasting in the Islamic stock market in Malaysia using a dataset from 1st April 2008 to 31st March 2018.
Sew Lai Ng +3 more
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Arthritis Care &Research, EarlyView.Objective This study aimed to characterize cannabis product choices (cannabinoid content and formulation) among patients with rheumatologic conditions and their associations with patient factors, patient‐reported perceived side effects, and positive impacts.
Susan Zhang +10 more
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Arthritis Care &Research, EarlyView.Objective Systemic lupus erythematosus (SLE) significantly impacts employment capacity. This study aimed to investigate the impact of burden of disease activity, damage, and treatment on employment outcomes and transitions in patients with SLE. Methods Using data from a single center, we analyzed employment transitions, adjusted mean disease activity ...
Javier Mencia‐Ledo +4 more
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Comparing GARCH Models by Introducing Fuzzy Asymmetric Realized GARCH [PDF]
مدلسازی اقتصادسنجی, 2018 Estimation of conditional variance has lots of application reflecting economic, especially financial economics, social economics and political economics’ risk and volatility research.
Esmaiel Abounoori, Mohammad Amin Zabol
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Arthritis Care &Research, EarlyView.Objective Ambulatory care–sensitive conditions (ACSCs) serve as indicators of access, quality, and performance of the health system. This study aimed to determine rheumatoid arthritis (RA)‐specific ACSCs for use in the evaluation of care system access and quality.
Kara Irwin +7 more
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Advanced Engineering Materials, EarlyView.Geometry‐driven thermal behavior in wire‐arc additive manufacturing (WAAM) influences microstructural evolution during nonequilibrium solidification of a chemically complex Fe–Cr–Nb–W–Mo–C nanocomposite system. By comparing different deposits configurations, distinct entropy–cooling rate correlations, segregation, and carbide evolution are revealed ...
Blanca Palacios +5 more
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Forecasting Realized Volatility with Linear and Nonlinear Models [PDF]
In this paper we consider a nonlinear model based on neural networks as well as linear models to forecast the daily volatility of the S&P 500 and FTSE 100 indexes.
McAleer, M.J., Medeiros, M.C.
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Bivariate Volatility Modeling with High-Frequency Data
Econometrics, 2019 We propose a methodology to include night volatility estimates in the day volatility modeling problem with high-frequency data in a realized generalized autoregressive conditional heteroskedasticity (GARCH) framework, which takes advantage of the natural
Marius Matei, Xari Rovira, Núria Agell
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