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Modeling and forecasting volatility have gained much interest among researchers as the use of volatility became widespread in financial data analysis. Several studies have been carried out to model stock market volatility in various countries. This paper...
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Leon Li
This paper advances a volatility-regime-switching mechanism to investigate the intensity and direction of the volatility spillover effect in carbon?energy markets. Switching between a low-volatility (LV) and high-volatility (HV) regime, our mechanism inv...
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Kejing Zhao, Jinliang Zhang and Qing Liu
The reasonable pricing of options can effectively help investors avoid risks and obtain benefits, which plays a very important role in the stability of the financial market. The traditional single option pricing model often fails to meet the ideal expect...
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Enna Hirata and Takuma Matsuda
With the increasing availability of large datasets and improvements in prediction algorithms, machine-learning-based techniques, particularly deep learning algorithms, are becoming increasingly popular. However, deep-learning algorithms have not been wid...
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Hualing Lin and Qiubi Sun
Accurately predicting the volatility of financial asset prices and exploring its laws of movement have profound theoretical and practical guiding significance for financial market risk early warning, asset pricing, and investment portfolio design. The tr...
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