Results 21 to 30 of about 507,052 (301)
General to specific modelling of exchange rate volatility : a forecast evaluation [PDF]
, 2008 The general-to-specific (GETS) methodology is widely employed in the modelling of economic series, but less so in financial volatility modelling due to computational complexity when many explanatory variables are involved. This study proposes a simple
Sucarrat, Genaro, Bauwens, Luc
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The predictive power of Bitcoin prices for the realized volatility of US stock sector returns
Financial Innovation, 2023 This paper is motivated by Bitcoin’s rapid ascension into mainstream finance and recent evidence of a strong relationship between Bitcoin and US stock markets.
Elie Bouri +2 more
doaj +1 more source
Forecasting Volatility of Stock Index: Deep Learning Model with Likelihood-Based Loss Function
Complexity, 2021 Volatility is widely used in different financial areas, and forecasting the volatility of financial assets can be valuable. In this paper, we use deep neural network (DNN) and long short-term memory (LSTM) model to forecast the volatility of stock index.
Fang Jia, Boli Yang
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Cogent Economics & Finance, 2016 This paper empirically compares the usefulness of information included in the volatility index (VIX) against several generalized autoregressive conditional heteroskedasticity (GARCH) models for predicting downside risk in the US stock market.
Chikashi Tsuji
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Evaluating Volatility and Correlation Forecasts [PDF]
, 2009 This chapter considers the problems of evaluation and comparison of volatility forecasts, both univariate (variance) and multivariate (covariance matrix and/or correlation). We pay explicit attention to the fact that the object of interest in these applications is unobservable, even ex post, and so the evaluation and comparison of volatility forecasts ...
Andrew J. Patton, Kevin Sheppard
openaire +3 more sources
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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Data Science and Management, 2021 Cryptoassets have experienced dramatic volatility in their prices, especially during the COVID-19 pandemic era. This pilot study explores the volatility asymmetry and correlations among three popular cryptoassets (Bitcoin, Ethereum, and Dogecoin) as well
Stephen Zhang, Ganesh Mani
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International Journal of Financial Studies, 2022 Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of
Apostolos Ampountolas
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Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical ...
Tim Bollerslev +3 more
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Structural and biochemical analysis of a B12 superbinder
FEBS Letters, EarlyView.BtuG proteins are vitamin B12 scavengers in Bacteroides thetaiotaomicron, a dominant human gut bacterium. We present crystal structures of three BtuG homologs bound to cobalamin and its precursor cobinamide, revealing picomolar binding affinities, among the highest known for any natural protein.
Jose M. Martinez Felices +3 more
wiley +1 more source