Zobrazeno 1 - 10
of 4 441
pro vyhledávání: '"volatility forecast"'
Volatility, as a measure of uncertainty, plays a crucial role in numerous financial activities such as risk management. The Econometrics and Machine Learning communities have developed two distinct approaches for financial volatility forecasting: the
Externí odkaz:
http://arxiv.org/abs/2402.06642
Publikováno v:
In Journal of Economic Behavior and Organization February 2024 218:1-19
Publikováno v:
In The Journal of Finance and Data Science October 2024
Publikováno v:
Journal of Management Science and Engineering, Vol 8, Iss 2, Pp 214-243 (2023)
We forecast realized volatilities by developing a time-varying heterogeneous autoregressive (HAR) latent factor model with dynamic model average (DMA) and dynamic model selection (DMS) approaches. The number of latent factors is determined using Chan
Externí odkaz:
https://doaj.org/article/5c4148e7a6fc4c9f93e77f144d43c9e5
Publikováno v:
In Expert Systems With Applications 15 December 2023 233
Publikováno v:
In Finance Research Letters December 2023 58 Part A
Publikováno v:
In Journal of International Financial Markets, Institutions & Money October 2023 88
Publikováno v:
In Journal of Management Science and Engineering June 2023 8(2):214-243
Autor:
Alfeus, Mesias1,2 (AUTHOR) mesias@sun.ac.za, Harvey, Justin (AUTHOR), Maphatsoe, Phuthehang (AUTHOR)
Publikováno v:
Journal of Economics & Finance. Dec2024, p1-44.
Publikováno v:
In Energy Economics December 2022 116