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Yujie Fang, Juan Chen and Zhengxuan Xue
This paper takes 50 ETF options in the options market with high transaction complexity as the research goal. The Random Forest (RF) model, the Long Short-Term Memory network (LSTM) model, and the Support Vector Regression (SVR) model are used to predict ...
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Carlos Heitor Campani, Assis Gustavo da Silva Duraes
Pág. 687 - 719
Este artigo avalia o impacto de variáveis exógenas nos modelos GARCH, quando aplicadoàs previsões de volatilidade para o mercado de câmbio brasileiro USD-BRL. Como variáveisexógenas, foram utilizadas a variância realizada, baseada em dados de alta frequê...
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Thomas Mazzoni
A new method for pricing contingent claims based on an asymptotic expansion of the dynamics of the pricing density is introduced. The expansion is conducted in a preferred coordinate frame, in which the pricing density looks stationary. The resulting asy...
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Guglielmo Maria Caporale, Luis Gil-Alana and Tommaso Trani
This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE (Financial Times Stock Index) 100 Implied Volatility Index (IVI) and of ...
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Lucía Morales and Bernadette Andreosso-O?Callaghan
An examination of Brexit and its initial impact on the main stock markets in the Greater China Region (GCR) was conducted using augmented market models that integrate Economic Policy Uncertainty (EPU) and implied volatility (VIX). The results do not seem...
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Issa Hijazeen,Ali Al-Assaf
Pág. 14 - 24
The study has investigated the main determinants of dollarization on the assets side and the liability side and financial dollarization using different measures. Following (Mogardini & Mueller, 1999), the econometric results indicated that interest rate ...
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Muhammad Ishfaq,Zhang Bi Qiong,Syed Mehmood Raza Shah
Pág. 119 - 127
This paper examines the impact of the US and Chinese macro economic announcements on foreign exchange implied volatilities of SPX, VXFXI, BPVIX, JYVIX, and EUVIX from 2011 to 2016. The study indicates that implied volatility becomes significant and leads...
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Samih Antoine Azar
Pág. 105 - 112
The classic approach to risk analysis is rooted in the belief that risk aversion is constant, determined by constant preferences. It is becoming clear that this proposition is no longer acceptable. Risk aversion can change over short time, between ...
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Wajih Abbasi,Petr Hájek,Diana Ismailova,Saira Yessimzhanova,Zouhaier Ben Khelifa,Kholnazar Amonov
Pág. 1918 - 1929
This research focuses on the empirical comparative analysis of three models of option pricing: a) the implied volatility daily calibrated Black-Scholes model, b) the Cox and Ross univariate model with the volatility which is a deterministic and inverse f...
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Antonie Kotzé, Rudolf Oosthuizen and Edson Pindza
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