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Modeling of returns and option pricing using models with flexible volatility
Modeling of returns and option pricing using models with flexible volatility...
BB - Aplikovaná statistika, operační výzkum
- 2003 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Stock market volatility forecasting: Do we need high-frequency data?
-frequency volatility models outperform low-frequency volatility models. However, such a conclusion is reached when low-frequency volatility models are estimated from daily of 18 stock market indi...
Finance
- 2021 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
An Empirical Application of a Two-Factor Model of Stochastic Volatility
This contribution focuses on the modelling of volatility of returns in Czech and US stock markets using a two-factor stochastic volatility model, i.e. the volatility process is modeled as a superp...
AH - Ekonomie
- 2008 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
The effect of non-trading days on volatility forecasts in equity markets
for persistent time series, we focus on volatility modelling, specifically modelling of realized volatility. We suggest a simple way of adjusting volatility models, which we than 15 years, and we...
Finance
- 2017 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Forecasting Exchange Rate Volatility: Suggestions for Further Research
. Several models for volatility forecasting exist. The aim of this paper is to provide a theoretical background for further research in forecasting exchange rate volatility for forecasting exchange rate volatility ...
AH - Ekonomie
- 2016 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Modelling of volatility at Czech financial markets
Basic themes of document: Garch models; volatility; stock prices; exchange rates...
BB - Aplikovaná statistika, operační výzkum
- 2009 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
What drives volatility of the US oil and gas firms?
that in an out-of-sample framework, HAR models augmented with volatility factors outperform the plain HAR model by up to a 3.88% increase in volatility forecast accuracy.We study how the day-ahead stock price ...
Finance
- 2021 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Empirical Modeling the Dynamic Conditional Correlations between Shanghai and Hong Kong Stock Markets
Modelling the volatility of financial time series is essential part market conditions on stock markets. When modeling volatility, univariate volatility models have limited applications only. Howev...
Finance
- 2016 •
- D
Rok uplatnění
D - Stať ve sborníku
Models of appartement building.
Basic themes in document: volatility modeling.
AH - Ekonomie
- 2000 •
- Vx
Rok uplatnění
Vx - Nezařazeno - Výzkumná zpráva obsahující utajované informace (takový výsledek lze do RIV vložit pouze v případě, že zpráva obsahuje utajované informace a pole R12 = U), nebo souhrnná výzkumná zpráva
On estimation of volatility of financial series for pricing derivates
Basic themes of document: volatility models; algorithms for data analysis...
BB - Aplikovaná statistika, operační výzkum
- 2009 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
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