The forecasting power of EPU for crude oil return volatility
Energy Reports, 2019 Economic policy uncertainty (EPU) has important implications for crude oil market. To explore the implications, this paper investigates the impact of EPU on the crude oil return volatility and which EPU index has the most forecasting power in crude oil ...
Rufei Ma +3 more
doaj +1 more source
A model-free approach to do long-term volatility forecasting and its variants. [PDF]
Financ Innov, 2023 Wu K, Karmakar S.
europepmc +1 more source
Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets [PDF]
Volatility forecasting is an imperative research field in financial markets and crucial component in most financial decisions. Nevertheless, which model should be used to assess volatility remains a complex issue as different volatility models result in ...
Aldrin Herwany, Erie Febrian
core
Advanced Functional Materials, EarlyView.In this study, the preparation techniques for silver‐based gas diffusion electrodes used for the electrochemical reduction of carbon dioxide (eCO2R) are systematically reviewed and compared with respect to their scalability. In addition, physics‐based and data‐driven modeling approaches are discussed, and a perspective is given on how modeling can aid ...
Simon Emken +6 more
wiley +1 more source
The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets [PDF]
We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables in the information set, including implied volatility backed out from option prices.
Bent Jesper Christensen +2 more
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Does a Morphotropic Phase Boundary Exist in ZrxHf1‐xO2‐Based Thin Films?
Advanced Functional Materials, EarlyView.This study investigates 6 nm zirconium‐rich hafnium‐zirconium oxide thin–film metal–insulator–metal capacitors using a combination of experimental methods and machine learning–based molecular dynamics simulations to provide insight into the physical mechanisms that enhance the dielectric constant near 0 V and attribute it to the field‐induced ...
Pramoda Vishnumurthy +9 more
wiley +1 more source
Stock market volatility predictability: new evidence from energy consumption
Humanities & Social Sciences CommunicationsThis research develops a group of novel indicators from the energy consumption perspective and assesses their ability to forecast stock market volatility using various techniques.
Fei Lu, Feng Ma, Elie Bouri
doaj +1 more source
Hybrid fuzzy inference rules of descent method and wavelet function for volatility forecasting. [PDF]
PLoS One, 2022 Alenezy AH +4 more
europepmc +1 more source
Small-sample Properties of Estimators in an ARCH(1) and GARCH(1,1) Model with a Generalized Error Distribution: a Robustness Study [PDF]
GARCH Models have become a workhouse in volatility forecasting of financial and monetary market time series. In this article, we assess the small sample properties in estimation and the performance in volatility forecasting of four competing distribution
Peter Kosater, Ralf Pauly
core
Volatility Forecasting and Volatility Risk Premium
Journal of Applied Mathematics and Physics, 2015 Volatility is an important variable in the financial market. We propose a model-free implied volatility method to measure the volatility and test the volatility risk premium. The model-free implied volatility does not depend on the option pricing model, and extracts information from all the option contracts. We provide empirical evidence from the S & P
openaire +2 more sources