Results 51 to 60 of about 10,453 (290)
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.
core +5 more sources
Modeling of Returns and Trading Volume by Regime Switching Copulas
Managerial Economics, 2013 The structure of links between realized volatility and trading volume can be reflected by regime switching copulas. The estimation by means of copula based regime switching models delivered results concerning the interdependencies between realized return
Henryk Gurgul +2 more
doaj +1 more source
Soft Mechanical‐Electrical Logic Using Liquid Metal‐Filled 3D‐Printed Architectures
Advanced Engineering Materials, EarlyView.We present 3D‐printed soft mechanical–electrical logic elements that use liquid metal–filled silicone tubes actuated by thermoplastic polyurethane/polylactic acid (TPU/PLA) architectures to produce Boolean operations. Complementary normally open and normally closed unit cells perform repeatable binary transitions and can be combined into more complex ...
Christoph Lehmann +2 more
wiley +1 more source
Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil
BBR: Brazilian Business Review, 2016 This paper investigates whether the inclusion of the realized range as regressor in the (E)GARCH volatility equation would add information to the process improving out - of - sample forecasts performance and providing more accurate ...
Victor Bello Accioly +1 more
doaj
Forecast Combinations in the Presence of Structural Breaks: Evidence from U.S. Equity Markets
Mathematics, 2018 Realized volatility, building on the theory of a simple continuous time process, has recently received attention as a nonparametric ex-post estimate of the return variation. This paper addresses the problem of parameter instability due to the presence of
Davide De Gaetano
doaj +1 more source
Advanced Engineering Materials, EarlyView.A distinct semi‐confined inner‐tube chemical vapor deposition geometry enables reproducible, large‐area growth of phase‐pure 2D β′‐In2Se3 from InI + Se precursors. Engineering local vapor transport and optimizing precursor delivery and temperature–time conditions yield uniform continuous films.
Dasun P. W. Guruge +8 more
wiley +1 more source
GARMA, HAR and Rules of Thumb for Modelling Realized Volatility
Risks, 2023 This paper features an analysis of the relative effectiveness, in terms of the Adjusted R-Square, of a variety of methods of modelling realized volatility (RV), namely the use of Gegenbauer processes in Auto-Regressive Moving Average format, GARMA, as ...
David Edmund Allen, Shelton Peiris
doaj +1 more source
Forecasting Realized Volatility of Agricultural Commodities [PDF]
SSRN Electronic Journal, 2019 We forecast the realized and median realized volatility of agricultural commodities using\ud variants of the Heterogeneous AutoRegressive (HAR) model. We obtain tick-by-tick data\ud for five widely traded agricultural commodities (Corn, Rough Rice, Soybeans, Sugar,\ud and Wheat) from the CME/ICE.
Degiannakis, Stavros +3 more
openaire +4 more sources
Advanced Engineering Materials, EarlyView.This article presents an experimental and numerical modal investigation of composite sandwich structures using surfboards as model systems. By comparing different core materials and reinforcement strategies, the study demonstrates how local stiffeners influence vibrational response and introduce characteristic modal features, highlighting modal ...
Brett Connellan +4 more
wiley +1 more source
Quantum reservoir computing for realized volatility forecasting
Physical Review ResearchRecent advances in quantum computing have demonstrated its potential to significantly enhance the analysis and forecasting of complex classical data.
Qingyu Li +3 more
doaj +1 more source