Results 31 to 40 of about 187,018 (291)
Indonesian Capital Market Review, 2015 The purpose of this study is to evaluate performance and volatility of Islamic andconventional stock indices along with their determinant factor variables in Indonesia.
Nika Pranata, Nurzanah Nurzanah
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Income disparities and convergence across regions of Central Europe
Croatian Operational Research Review, 2016 This paper deals with the analysis of regional income disparities of the net disposable income of households (in Euro per inhabitant) across the regions of Central Europe (Austria, Czech Republic, Slovakia, Poland, Hungary and Germany) during the period ...
Michaela Chocholatá, Andrea Furková
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Forecasting Volatility in Indian Stock Market using Artificial Neural Network with Multiple Inputs and Outputs [PDF]
International Journal of Computer Applications, 2015, 2016 Volatility in stock markets has been extensively studied in the applied finance literature. In this paper, Artificial Neural Network models based on various back propagation algorithms have been constructed to predict volatility in the Indian stock market through volatility of NIFTY returns and volatility of gold returns. This model considers India VIX,
arxiv +1 more source
The memory of volatility [PDF]
Quantitative Finance and Economics, 2018 The focus of the volatility literature on forecasting and the predominance of the conceptually simpler HAR model over long memory stochastic volatility models has led to the fact that the actual degree of memory estimates has rarely been considered. Estimates in the literature range roughly between 0.4 and 0.6 - that is from the higher stationary to ...
Wenger, Kai +2 more
openaire +3 more sources
Local volatility under rough volatility
Mathematical Finance, 2023 AbstractSeveral asymptotic results for the implied volatility generated by a rough volatility model have been obtained in recent years (notably in the small‐maturity regime), providing a better understanding of the shapes of the volatility surface induced by rough volatility models, supporting their calibration power to SP500 option data.
Florian Bourgey +3 more
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Investigating Short and Long Run Volatility Movements in the Context of COVID-19 Pandemic: A Case Study for Norwegian Stock Market [PDF]
Ovidius University Annals: Economic Sciences Series, 2021 The main aim of this empirical study is to examine short and long run volatility movements based on a case study for Norwegian Stock Market, i.e. Oslo Stock Exchange.
Cristi Spulbar +2 more
doaj
The ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility [PDF]
arXiv, 2022 Exact relationships between the short time-to-maturity ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility are given.
arxiv
Local volatility under rough volatility [PDF]
arXiv, 2022 Several asymptotic results for the implied volatility generated by a rough volatility model have been obtained in recent years (notably in the small-maturity regime), providing a better understanding of the shapes of the volatility surface induced by rough volatility models, and supporting their calibration power to S&P500 option data. Rough volatility
arxiv
Volatility Forecasting in Financial Risk Management with Statistical Models and ARCH-RBF Neural Networks [PDF]
Journal of Risk Analysis and Crisis Response (JRACR), 2014 As volatility plays very important role in financial risk management, we investigate the volatility dynamics of EUR/GBP currency. While a number of studies examines volatility using statistical models, we also use neural network approach.
Dusan Marcek, Lukas Falat
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Quantitative Finance and Economics, 2022 Models of crisis prediction continue to gain traction with the increased frequency of global crisis such as the ongoing COVID-19 pandemic. Moreover, the connectedness of financial markets appears to be of central importance in determining how shocks ...
Lorna Katusiime
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