Nie, Huasheng; Waelbroeck, Henri Coupled GARCH(1,1) model. (English) Zbl 1519.91269 Quant. Finance 23, No. 5, 759-776 (2023). MSC: 91G20 62P05 62M10 PDFBibTeX XMLCite \textit{H. Nie} and \textit{H. Waelbroeck}, Quant. Finance 23, No. 5, 759--776 (2023; Zbl 1519.91269) Full Text: DOI
Jakubik, Johannes; Nazemi, Abdolreza; Geyer-Schulz, Andreas; Fabozzi, Frank J. Incorporating financial news for forecasting bitcoin prices based on long short-term memory networks. (English) Zbl 1518.91317 Quant. Finance 23, No. 2, 335-349 (2023). MSC: 91G99 68T07 PDFBibTeX XMLCite \textit{J. Jakubik} et al., Quant. Finance 23, No. 2, 335--349 (2023; Zbl 1518.91317) Full Text: DOI
Zhang, Zehua; Zhao, Ran Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry. (English) Zbl 1518.91269 Quant. Finance 23, No. 1, 35-51 (2023). MSC: 91G15 PDFBibTeX XMLCite \textit{Z. Zhang} and \textit{R. Zhao}, Quant. Finance 23, No. 1, 35--51 (2023; Zbl 1518.91269) Full Text: DOI
Barbieri, Paolo Nicola; Lusignani, Giuseppe; Prosperi, Lorenzo; Zicchino, Lea Model-based approach for scenario design: stress test severity and banks’ resiliency. (English) Zbl 1500.91145 Quant. Finance 22, No. 10, 1927-1954 (2022). MSC: 91G45 62P05 PDFBibTeX XMLCite \textit{P. N. Barbieri} et al., Quant. Finance 22, No. 10, 1927--1954 (2022; Zbl 1500.91145) Full Text: DOI
Wen, Danyan; He, Mengxi; Liu, Li; Zhang, Yaojie Forecasting crude oil prices: do technical indicators need economic constraints? (English) Zbl 1497.91226 Quant. Finance 22, No. 8, 1545-1559 (2022). MSC: 91B84 PDFBibTeX XMLCite \textit{D. Wen} et al., Quant. Finance 22, No. 8, 1545--1559 (2022; Zbl 1497.91226) Full Text: DOI
Hizmeri, Rodrigo; Izzeldin, Marwan; Nolte, Ingmar; Pappas, Vasileios A generalized heterogeneous autoregressive model using market information. (English) Zbl 1497.91291 Quant. Finance 22, No. 8, 1513-1534 (2022). MSC: 91G15 91G30 62P05 PDFBibTeX XMLCite \textit{R. Hizmeri} et al., Quant. Finance 22, No. 8, 1513--1534 (2022; Zbl 1497.91291) Full Text: DOI
Kim, Hongjoong; Jun, Sookyung; Moon, Kyoung-Sook Stock market prediction based on adaptive training algorithm in machine learning. (English) Zbl 1491.91130 Quant. Finance 22, No. 6, 1133-1152 (2022). MSC: 91G15 68T05 PDFBibTeX XMLCite \textit{H. Kim} et al., Quant. Finance 22, No. 6, 1133--1152 (2022; Zbl 1491.91130) Full Text: DOI
Khashanah, Khaldoun; Shao, Chenjie Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model. (English) Zbl 1484.91456 Quant. Finance 22, No. 2, 241-253 (2022). MSC: 91G15 62P05 62M10 PDFBibTeX XMLCite \textit{K. Khashanah} and \textit{C. Shao}, Quant. Finance 22, No. 2, 241--253 (2022; Zbl 1484.91456) Full Text: DOI
Gerlach, Richard; Naimoli, Antonio; Storti, Giuseppe Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics. (English) Zbl 1469.91066 Quant. Finance 20, No. 11, 1849-1878 (2020). MSC: 91G70 62M10 PDFBibTeX XMLCite \textit{R. Gerlach} et al., Quant. Finance 20, No. 11, 1849--1878 (2020; Zbl 1469.91066) Full Text: DOI Link
Fry, John; Burke, Matt An options-pricing approach to election prediction. (English) Zbl 1465.91047 Quant. Finance 20, No. 10, 1583-1589 (2020). Reviewer: Krzysztof Leśniak (Torún) MSC: 91B12 91F10 91G20 62P25 PDFBibTeX XMLCite \textit{J. Fry} and \textit{M. Burke}, Quant. Finance 20, No. 10, 1583--1589 (2020; Zbl 1465.91047) Full Text: DOI Link
Li, Xingyi; Zakamulin, Valeriy Stock volatility predictability in bull and bear markets. (English) Zbl 1454.91255 Quant. Finance 20, No. 7, 1149-1167 (2020). MSC: 91G15 62P05 62M20 PDFBibTeX XMLCite \textit{X. Li} and \textit{V. Zakamulin}, Quant. Finance 20, No. 7, 1149--1167 (2020; Zbl 1454.91255) Full Text: DOI
Cattivelli, Luca; Gallo, Giampiero M. Adaptive Lasso for vector multiplicative error models. (English) Zbl 1448.62113 Quant. Finance 20, No. 2, 255-274 (2020). MSC: 62J07 62H12 62M20 62P20 PDFBibTeX XMLCite \textit{L. Cattivelli} and \textit{G. M. Gallo}, Quant. Finance 20, No. 2, 255--274 (2020; Zbl 1448.62113) Full Text: DOI
Creamer, Germán G.; Lee, Chihoon A multivariate distance nonlinear causality test based on partial distance correlation: a machine learning application to energy futures. (English) Zbl 1420.91455 Quant. Finance 19, No. 9, 1531-1542 (2019). MSC: 91G20 62P05 91-08 PDFBibTeX XMLCite \textit{G. G. Creamer} and \textit{C. Lee}, Quant. Finance 19, No. 9, 1531--1542 (2019; Zbl 1420.91455) Full Text: DOI
Chen, Ying; Chua, Wee Song; Härdle, Wolfgang Karl Forecasting limit order book liquidity supply-demand curves with functional autoregressive dynamics. (English) Zbl 1420.91409 Quant. Finance 19, No. 9, 1473-1489 (2019). MSC: 91G10 62P05 62M20 PDFBibTeX XMLCite \textit{Y. Chen} et al., Quant. Finance 19, No. 9, 1473--1489 (2019; Zbl 1420.91409) Full Text: DOI
Houlihan, Patrick; Creamer, Germán G. Leveraging a call-put ratio as a trading signal. (English) Zbl 1420.91417 Quant. Finance 19, No. 5, 763-777 (2019). MSC: 91G10 91G20 PDFBibTeX XMLCite \textit{P. Houlihan} and \textit{G. G. Creamer}, Quant. Finance 19, No. 5, 763--777 (2019; Zbl 1420.91417) Full Text: DOI
Lee, John B.; Reeves, Jonathan J.; Tjahja, Alice C.; Xie, Xuan Targeting market neutrality. (English) Zbl 1420.91424 Quant. Finance 19, No. 3, 437-451 (2019). MSC: 91G10 PDFBibTeX XMLCite \textit{J. B. Lee} et al., Quant. Finance 19, No. 3, 437--451 (2019; Zbl 1420.91424) Full Text: DOI
Guidolin, Massimo; Orlov, Alexei G.; Pedio, Manuela How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns. (English) Zbl 1471.91539 Quant. Finance 18, No. 1, 139-169 (2018). MSC: 91G15 62P05 62M10 PDFBibTeX XMLCite \textit{M. Guidolin} et al., Quant. Finance 18, No. 1, 139--169 (2018; Zbl 1471.91539) Full Text: DOI
Nystrup, Peter; Madsen, Henrik; Lindström, Erik Dynamic portfolio optimization across hidden market regimes. (English) Zbl 1471.91509 Quant. Finance 18, No. 1, 83-95 (2018). MSC: 91G10 93B45 93E20 PDFBibTeX XMLCite \textit{P. Nystrup} et al., Quant. Finance 18, No. 1, 83--95 (2018; Zbl 1471.91509) Full Text: DOI Link
Ren, Yu; Xie, Tian Consumption, aggregate wealth and expected stock returns: a fractional cointegration approach. (English) Zbl 1406.91494 Quant. Finance 18, No. 12, 2101-2112 (2018). MSC: 91G70 PDFBibTeX XMLCite \textit{Y. Ren} and \textit{T. Xie}, Quant. Finance 18, No. 12, 2101--2112 (2018; Zbl 1406.91494) Full Text: DOI
Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu Volatility is rough. (English) Zbl 1400.91590 Quant. Finance 18, No. 6, 933-949 (2018). MSC: 91G20 60G22 60J60 PDFBibTeX XMLCite \textit{J. Gatheral} et al., Quant. Finance 18, No. 6, 933--949 (2018; Zbl 1400.91590) Full Text: DOI arXiv Link
Taranto, Damian Eduardo; Bormetti, Giacomo; Bouchaud, Jean-Philippe; Lillo, Fabrizio; Tóth, Bence Linear models for the impact of order flow on prices. II: The mixture transition distribution model. (English) Zbl 1400.91565 Quant. Finance 18, No. 6, 917-931 (2018). MSC: 91G10 PDFBibTeX XMLCite \textit{D. E. Taranto} et al., Quant. Finance 18, No. 6, 917--931 (2018; Zbl 1400.91565) Full Text: DOI arXiv
Goyal, Abhinav; Kallinterakis, Vasileios; Kambouroudis, Dimos; Laws, Jason Cross-border exchanges and volatility forecasting. (English) Zbl 1405.62122 Quant. Finance 18, No. 5, 789-799 (2018). MSC: 62M20 62M10 62P05 PDFBibTeX XMLCite \textit{A. Goyal} et al., Quant. Finance 18, No. 5, 789--799 (2018; Zbl 1405.62122) Full Text: DOI Link
Huptas, Roman Point and density prediction of intra-day volume using Bayesian linear ACV models: evidence from the Polish stock market. (English) Zbl 1400.91548 Quant. Finance 18, No. 5, 749-760 (2018). MSC: 91G10 62M10 PDFBibTeX XMLCite \textit{R. Huptas}, Quant. Finance 18, No. 5, 749--760 (2018; Zbl 1400.91548) Full Text: DOI
Liu, Fei; Pantelous, Athanasios A.; von Mettenheim, Hans-Jörg Forecasting and trading high frequency volatility on large indices. (English) Zbl 1400.91555 Quant. Finance 18, No. 5, 737-748 (2018). MSC: 91G10 62P05 PDFBibTeX XMLCite \textit{F. Liu} et al., Quant. Finance 18, No. 5, 737--748 (2018; Zbl 1400.91555) Full Text: DOI
Tsiotas, Georgios A Bayesian encompassing test using combined value-at-risk estimates. (English) Zbl 1400.91670 Quant. Finance 18, No. 3, 395-417 (2018). MSC: 91G70 PDFBibTeX XMLCite \textit{G. Tsiotas}, Quant. Finance 18, No. 3, 395--417 (2018; Zbl 1400.91670) Full Text: DOI
Varneskov, Rasmus T.; Perron, Pierre Combining long memory and level shifts in modelling and forecasting the volatility of asset returns. (English) Zbl 1406.62151 Quant. Finance 18, No. 3, 371-393 (2018). MSC: 62P20 62M20 91B84 PDFBibTeX XMLCite \textit{R. T. Varneskov} and \textit{P. Perron}, Quant. Finance 18, No. 3, 371--393 (2018; Zbl 1406.62151) Full Text: DOI Link
Jiang, Zhi-Qiang; Wang, Gang-Jin; Canabarro, Askery; Podobnik, Boris; Xie, Chi; Stanley, H. Eugene; Zhou, Wei-Xing Short term prediction of extreme returns based on the recurrence interval analysis. (English) Zbl 1400.91549 Quant. Finance 18, No. 3, 353-370 (2018). MSC: 91G10 PDFBibTeX XMLCite \textit{Z.-Q. Jiang} et al., Quant. Finance 18, No. 3, 353--370 (2018; Zbl 1400.91549) Full Text: DOI arXiv
Menden, Christian; Proaño, Christian R. Dissecting the financial cycle with dynamic factor models. (English) Zbl 1406.62123 Quant. Finance 17, No. 12, 1965-1994 (2017). MSC: 62P05 62H25 62P20 62M10 PDFBibTeX XMLCite \textit{C. Menden} and \textit{C. R. Proaño}, Quant. Finance 17, No. 12, 1965--1994 (2017; Zbl 1406.62123) Full Text: DOI Link
Ling, Hui ‘Fox’; Franzen, Christian Online learning of time-varying stochastic factor structure by variational sequential Bayesian factor analysis. (English) Zbl 1402.91714 Quant. Finance 17, No. 8, 1277-1304 (2017). MSC: 91G10 PDFBibTeX XMLCite \textit{H. Ling} and \textit{C. Franzen}, Quant. Finance 17, No. 8, 1277--1304 (2017; Zbl 1402.91714) Full Text: DOI
Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz Risk forecasting in (T)GARCH models with uncorrelated dependent innovations. (English) Zbl 1402.91903 Quant. Finance 17, No. 1, 121-137 (2017). MSC: 91G70 62M10 62M05 PDFBibTeX XMLCite \textit{B. Beckers} et al., Quant. Finance 17, No. 1, 121--137 (2017; Zbl 1402.91903) Full Text: DOI
Guidolin, Massimo; Orlov, Alexei G.; Pedio, Manuela How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns. (English) Zbl 1400.91661 Quant. Finance 17, No. 12, 139-169 (2017). MSC: 91G70 62P05 62M10 62M20 PDFBibTeX XMLCite \textit{M. Guidolin} et al., Quant. Finance 17, No. 12, 139--169 (2017; Zbl 1400.91661) Full Text: DOI
Nystrup, Peter; Madsen, Henrik; Lindström, Erik Dynamic portfolio optimization across hidden market regimes. (English) Zbl 1400.91560 Quant. Finance 17, No. 12, 83-95 (2017). MSC: 91G10 60J20 PDFBibTeX XMLCite \textit{P. Nystrup} et al., Quant. Finance 17, No. 12, 83--95 (2017; Zbl 1400.91560) Full Text: DOI Link
Reher, Gerrit; Wilfling, Bernd A nesting framework for Markov-switching GARCH modelling with an application to the German stock market. (English) Zbl 1468.91153 Quant. Finance 16, No. 3, 411-426 (2016). MSC: 91G15 62P05 62M10 PDFBibTeX XMLCite \textit{G. Reher} and \textit{B. Wilfling}, Quant. Finance 16, No. 3, 411--426 (2016; Zbl 1468.91153) Full Text: DOI
Lyócsa, Štefan; Molnár, Peter Volatility forecasting of strategically linked commodity ETFs: gold-silver. (English) Zbl 1400.91602 Quant. Finance 16, No. 12, 1809-1822 (2016). MSC: 91G20 PDFBibTeX XMLCite \textit{Š. Lyócsa} and \textit{P. Molnár}, Quant. Finance 16, No. 12, 1809--1822 (2016; Zbl 1400.91602) Full Text: DOI
Jiang, Zhi-Qiang; Canabarro, Askery; Podobnik, Boris; Stanley, H. Eugene; Zhou, Wei-Xing Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets. (English) Zbl 1400.91664 Quant. Finance 16, No. 11, 1713-1724 (2016). MSC: 91G70 PDFBibTeX XMLCite \textit{Z.-Q. Jiang} et al., Quant. Finance 16, No. 11, 1713--1724 (2016; Zbl 1400.91664) Full Text: DOI arXiv
Borovkova, Svetlana; Mahakena, Diego News, volatility and jumps: the case of natural gas futures. (English) Zbl 1398.62282 Quant. Finance 15, No. 7, 1217-1242 (2015). MSC: 62P05 91G20 62M10 62M20 PDFBibTeX XMLCite \textit{S. Borovkova} and \textit{D. Mahakena}, Quant. Finance 15, No. 7, 1217--1242 (2015; Zbl 1398.62282) Full Text: DOI
Luss, Ronny; D’Aspremont, Alexandre Predicting abnormal returns from news using text classification. (English) Zbl 1398.91695 Quant. Finance 15, No. 6, 999-1012 (2015). MSC: 91G80 68T05 68T10 PDFBibTeX XMLCite \textit{R. Luss} and \textit{A. D'Aspremont}, Quant. Finance 15, No. 6, 999--1012 (2015; Zbl 1398.91695) Full Text: DOI arXiv
Schizas, Panagiotis; Thomakos, Dimitrios D. Market timing and trading strategies using asset rotation: non-neutral market positioning for exploiting arbitrage opportunities. (English) Zbl 1398.62320 Quant. Finance 15, No. 2, 285-298 (2015). MSC: 62P05 62M20 PDFBibTeX XMLCite \textit{P. Schizas} and \textit{D. D. Thomakos}, Quant. Finance 15, No. 2, 285--298 (2015; Zbl 1398.62320) Full Text: DOI
Chen, Nan-Kuang; Cheng, Han-Liang; Mao, Ching-Sheng Identifying and forecasting house prices: a macroeconomic perspective. (English) Zbl 1402.91425 Quant. Finance 14, No. 12, 2105-2120 (2014). MSC: 91B64 62M20 62P20 91B25 PDFBibTeX XMLCite \textit{N.-K. Chen} et al., Quant. Finance 14, No. 12, 2105--2120 (2014; Zbl 1402.91425) Full Text: DOI
Hwang, Ruey-Ching Forecasting credit ratings with the varying-coefficient model. (English) Zbl 1282.62227 Quant. Finance 13, No. 12, 1947-1965 (2013). MSC: 62P05 62M20 91G99 91G70 PDFBibTeX XMLCite \textit{R.-C. Hwang}, Quant. Finance 13, No. 12, 1947--1965 (2013; Zbl 1282.62227) Full Text: DOI
Hwang, Ruey-Ching Predicting issuer credit ratings using generalized estimating equations. (English) Zbl 1280.91182 Quant. Finance 13, No. 3, 383-398 (2013). MSC: 91G40 62P05 PDFBibTeX XMLCite \textit{R.-C. Hwang}, Quant. Finance 13, No. 3, 383--398 (2013; Zbl 1280.91182) Full Text: DOI
Casassus, Jaime; Higuera, Freddy Short-horizon return predictability and oil prices. (English) Zbl 1280.91196 Quant. Finance 12, No. 12, 1909-1934 (2012). MSC: 91G70 PDFBibTeX XMLCite \textit{J. Casassus} and \textit{F. Higuera}, Quant. Finance 12, No. 12, 1909--1934 (2012; Zbl 1280.91196) Full Text: DOI Link
Tay, Anthony S.; Ting, Christopher; Tse, Yiu Kuen; Warachka, Mitch The impact of transaction duration, volume and direction on price dynamics and volatility. (English) Zbl 1210.91152 Quant. Finance 11, No. 3, 447-457 (2011). MSC: 91G70 62P05 91B84 PDFBibTeX XMLCite \textit{A. S. Tay} et al., Quant. Finance 11, No. 3, 447--457 (2011; Zbl 1210.91152) Full Text: DOI Link
Zumbach, Gilles Volatility conditional on price trends. (English) Zbl 1203.91318 Quant. Finance 10, No. 4, 431-442 (2010). MSC: 91G70 62M10 PDFBibTeX XMLCite \textit{G. Zumbach}, Quant. Finance 10, No. 4, 431--442 (2010; Zbl 1203.91318) Full Text: DOI arXiv
Chen, An-Sing; Liu, Yan-Zhen Enhancing hedging performance with the spanning polynomial projection. (English) Zbl 1152.91723 Quant. Finance 8, No. 6, 605-617 (2008). MSC: 91B84 91B82 91B28 PDFBibTeX XMLCite \textit{A.-S. Chen} and \textit{Y.-Z. Liu}, Quant. Finance 8, No. 6, 605--617 (2008; Zbl 1152.91723) Full Text: DOI