Zobrazeno 1 - 10
of 3 357
pro vyhledávání: '"Realized volatility"'
Autor:
Anupam Dutta, Elie Bouri
Publikováno v:
Energy Strategy Reviews, Vol 56, Iss , Pp 101588- (2024)
This paper proposes an augmented heterogenous autoregressive (HAR) model with time-varying jumps to forecast the realized volatility (RV) of crude oil futures. Jump-induced volatility of crude oil futures is obtained from a GARCH-jump process, then u
Externí odkaz:
https://doaj.org/article/06221de19a3f43e682926a49d94e915c
Publikováno v:
The International Journal of Banking and Finance, Vol 20, Iss 1 (2024)
This study proposes nine multivariate intraday models using various realized variation measures with the aim to improve volatility forecasting in the Islamic stock market in Malaysia using a dataset from 1st April 2008 to 31st March 2018. The finding
Externí odkaz:
https://doaj.org/article/ce00b38adc1346648f034b8ef4a6abe9
Autor:
Aloui, Donia, Ben Maatoug, Abderrazek
Publikováno v:
Studies in Economics and Finance, 2024, Vol. 41, Issue 2, pp. 268-285.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/SEF-02-2022-0108
Akademický článek
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Akademický článek
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Publikováno v:
In Journal of Banking and Finance January 2025 170
Publikováno v:
In Research in International Business and Finance January 2025 73 Part A
Autor:
Aykut Karakaya, Melih Kutlu
Publikováno v:
Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Vol 11, Iss 1, Pp 134-152 (2024)
The aim of this study is to investigate heterogeneous market efficiency in European stock exchanges using Augmented HAR-RV model. According to the heterogeneous market efficiency hypothesis, investors create portfolios according to different time hor
Externí odkaz:
https://doaj.org/article/3badac0f2ec6485c80119c5e418bfd39
Autor:
Werner Kristjanpoller
Publikováno v:
Financial Innovation, Vol 10, Iss 1, Pp 1-32 (2024)
Abstract Determining which variables affect price realized volatility has always been challenging. This paper proposes to explain how financial assets influence realized volatility by developing an optimal day-to-day forecast. The methodological prop
Externí odkaz:
https://doaj.org/article/28ea0e20c6ae4e4ab5c4c323b8008d03
Publikováno v:
Frontiers in Applied Mathematics and Statistics, Vol 10 (2024)
IntroductionRealized volatility analysis of assets in the Brazilian market within a multivariate framework is the focus of this study. Despite the success of volatility models in univariate scenarios, challenges arise due to increasing dimensionality
Externí odkaz:
https://doaj.org/article/c6fd3a9a08a04af5b51888a5c0449563