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Volatility Forecasting for Low-Volatility Investing
SSRN Electronic Journal, 2022 Low-volatility investing often involves sorting and selecting stocks based on retrospective risk measures, for example, the historical standard deviation of returns. In this paper, we use the volatility forecasts from a wide spectrum of volatility models to sort and select stocks and estimate portfolio weights.
Christian Conrad +2 more
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Assessing Portfolio Risks Involving Bitcoin and Ethereum Using Vector Autoregressive Model [PDF]
Ovidius University Annals: Economic Sciences Series, 2021 Investors now have a multitude of non-traditional assets to choose from, especially from the spectrum of alternative assets, such as financial digital assets.
Andrei-Dragos Popescu
doaj
Risks, 2021 This paper shows the effects of the COVID-19 pandemic on energy markets. We estimate daily volatilities and correlations among energy commodities relying on a mixed-frequency approach that exploits information from the number of weekly deaths related to ...
Mila Andreani +3 more
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The Impact of North Korea’s Nuclear Tests on Asian Stock Markets [PDF]
Eurasian Journal of Business and Economics, 2021 This study investigates the impact of North Korea’s nuclear tests on Asian stock markets. Two approaches are used separately in order to identify how stock market returns and volatilities change immediately after the nuclear tests.
Chung BAEK
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Recent Examination of Energy Markets Volatility
Studies in Business and Economics, 2023 The main aim of the paper is to examine if the energy market (crude oil, gas and electricity) realized volatility exhibits a symmetric or an asymmetric behaviour, for certain commodities over the period May 2012 – August 2022.
Jude Octavian +2 more
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Examining GDP Growth and Its Volatility: An Episodic Approach
Entropy, 2021 In this paper, we study economic growth and its volatility from an episodic perspective. We first demonstrate the ability of the genetic algorithm to detect shifts in the volatility and levels of a given time series.
Jakub Bartak +2 more
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Has the COVID-19 Pandemic Led to a Switch in the Volatility of Biopharmaceutical Companies?
Mathematics, 2023 Biopharmaceutical companies are critical in developing vaccines, treatments, and diagnostics for COVID-19. Thus, understanding the contagion effects of their stock market can have important economic implications, especially in the context of global ...
Adriana AnaMaria Davidescu +5 more
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Methods in econophysics: Estimating the probability density and volatility
Frontiers in Physics, 2022 We discuss and analyze some recent literature that introduced pioneering methods in econophysics. In doing so, we review recent methods of estimating the volatility, volatility of volatility, and probability densities.
Moawia Alghalith
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An Insight into the Machine-Learning-Based Fileless Malware Detection
Sensors, 2023 In recent years, massive development in the malware industry changed the entire landscape for malware development. Therefore, cybercriminals became more sophisticated by advancing their development techniques from file-based to fileless malware.
Osama Khalid +7 more
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A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL [PDF]
International Journal of Theoretical and Applied Finance, 2014 We propose a new type of asymptotic expansion for the transition probability density function (or heat kernel) of certain parabolic partial differential equations (PDEs) that appear in option pricing. As other, related methods developed by Costanzino, Hagan, Gatheral, Lesniewski, Pascucci, and their collaborators, among others, our method is based on ...
Nistor, Victor +2 more
openaire +4 more sources