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Modeling multivariate volatility using wavelet-based realized covariance estimator
Our work brings complete theory for the realized covariation estimation generalizing current knowledge and bringing the estimation to the time-frequency domain for the first time....
AH - Ekonomie
- 2011 •
- D
Rok uplatnění
D - Stať ve sborníku
On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model
Recent multivariate extensions of the popular heterogeneous autoregressive model (HAR) for realized volatility leave substantial information unmodelled when realized covariance, subsampled realized covaria...
Economic Theory
- 2017 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Modeling multivariate volatility using wavelet-based realized covariance estimator
realized volatility framework by bringing the robustness to noise as well jumps during the recent decades. Our work brings complete theory for the realized, but decomposes the realized covariation into arbitrarily...
AH - Ekonomie
- 2011 •
- D
Rok uplatnění
D - Stať ve sborníku
Modelling and forecasting volatility of stock index PX
Basic themes of document: volatility forecasting; GARCH; realized volatility; daily data...
BB - Aplikovaná statistika, operační výzkum
- 2013 •
- D
Rok uplatnění
D - Stať ve sborníku
Volatility Prediction By Means Of Rollong Sample Estimation Scheme
Basic themes of document: volatility forecasting; GARCH; realized volatility; daily data...
BB - Aplikovaná statistika, operační výzkum
- 2013 •
- D
Rok uplatnění
D - Stať ve sborníku
Analysis of factors influencing the size of the volatility risk premium of the EUR/USD exchange rate
Basic themes of document: volatility risk premium; volatility forecasting; realized volatility; exchange rates...
AE - Řízení, správa a administrativa
- 2014 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Asymmetric volatility in equity markets around the world
Main topics of the document: asymmetric volatility; high-frequency; realized volatility; HAR; GARCH; forecasting...
Finance
- 2019 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Using High-frequency Power-variation Estimators in the Bayesian Estimation of Stochastic-volatility Jump-diffusion Models
Main topics of the document: stochastic volatility; self-exciting jumps; realized volatility...
AH - Ekonomie
- 2015 •
- D
Rok uplatnění
D - Stať ve sborníku
Covariance matrix forecasting using support vector regression
Main topics of the document: support vector regression; machine learning; multivariate volatility models; high and low prices; range-based models; covariance forecasting......
Finance
- 2021 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Revisiting the long memory dynamics of the implied-realized volatility relationship: New evidence from the wavelet regression
and inefficiencies in using implied volatility as a forecast of future volatility. In this paper, we revisit the implied-realized volatility relationship with wavelet band least squares (WBLS) exploring the long m...
AH - Ekonomie
- 2016 •
- Jx •
- Link
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Výsledek na webu
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