Neural network–based financial volatility forecasting: A systematic review
Volatility forecasting is an important aspect of finance as it dictates many decisions of market
players. A snapshot of state-of-the-art neural network–based financial volatility forecasting …
players. A snapshot of state-of-the-art neural network–based financial volatility forecasting …
Quantile risk spillovers between energy and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak
The spillover effect is a significant factor impacting the volatility of commodity prices. Unlike
earlier studies, this research uses the rolling window-based Quantile VAR (QVAR) model to …
earlier studies, this research uses the rolling window-based Quantile VAR (QVAR) model to …
[HTML][HTML] Herding in the bad times: The 2008 and COVID-19 crises
S Ferreruela, T Mallor - The North American Journal of Economics and …, 2021 - Elsevier
The objective of this paper is to analyze the imitation behavior of investors in especially
convulsed periods, such as the 2008 financial crisis and the recent global pandemic, both of …
convulsed periods, such as the 2008 financial crisis and the recent global pandemic, both of …
[HTML][HTML] Intra-and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures
We provide empirical evidence on the patterns of intra-and inter-regional transmission of
information across 10 developed and 11 emerging markets in Asia, the Americas, Europe …
information across 10 developed and 11 emerging markets in Asia, the Americas, Europe …
[PDF][PDF] Range volatility: A review of models and empirical studies
The literature on range volatility modeling has been rapidly expanding due to its importance
and applications. This chapter provides alternative price range estimators and discusses …
and applications. This chapter provides alternative price range estimators and discusses …
Momentum strategies in futures markets and trend-following funds
N Baltas, R Kosowski - Available at SSRN 1968996, 2013 - papers.ssrn.com
In this paper, we rigorously establish a relationship between time-series momentum
strategies in futures markets and commodity trading advisors (CTAs) and examine the …
strategies in futures markets and commodity trading advisors (CTAs) and examine the …
[HTML][HTML] Volatility spillovers in commodity markets: A large t-vector autoregressive approach
Prices of commodities have shown large fluctuations. A high volatility of one commodity
today may impact the volatility of another commodity tomorrow. As such, agricultural and …
today may impact the volatility of another commodity tomorrow. As such, agricultural and …
Portfolio diversification benefits of alternative currency investment in Bitcoin and foreign exchange markets
This study examines the portfolio diversification benefits of alternative currency trading in
Bitcoin and foreign exchange markets. The following methods are applied for the analysis …
Bitcoin and foreign exchange markets. The following methods are applied for the analysis …
[图书][B] Range volatility models and their applications in finance
There has been a rapid growth of range volatility due to the demand of empirical finance.
This paper contains a review of the important development of range volatility, including …
This paper contains a review of the important development of range volatility, including …
Financial volatility forecasting with range-based autoregressive volatility model
H Li, Y Hong - Finance Research Letters, 2011 - Elsevier
The classical volatility models, such as GARCH, are return-based models, which are
constructed with the data of closing prices. It might neglect the important intraday information …
constructed with the data of closing prices. It might neglect the important intraday information …