Literatura académica sobre el tema "Volatility predictability"
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Artículos de revistas sobre el tema "Volatility predictability"
Ghosh, Bikramaditya, Krishna M.C., Shrikanth Rao, Emira Kozarević y Rahul Kumar Pandey. "Predictability and herding of bourse volatility: an econophysics analogue". Investment Management and Financial Innovations 15, n.º 2 (25 de junio de 2018): 317–26. http://dx.doi.org/10.21511/imfi.15(2).2018.28.
Texto completoCAO, MELANIE. "EFFECTS OF RETURN PREDICTABILITY ON OPTION PRICES WITH STOCHASTIC VOLATILITY FOR THE MARKET PORTFOLIO". Annals of Financial Economics 01, n.º 01 (junio de 2005): 0550005. http://dx.doi.org/10.1142/s2010495205500053.
Texto completoDichev, Ilia D. y Vicki Wei Tang. "Earnings volatility and earnings predictability". Journal of Accounting and Economics 47, n.º 1-2 (marzo de 2009): 160–81. http://dx.doi.org/10.1016/j.jacceco.2008.09.005.
Texto completoDai, Zhifeng, Huiting Zhou, Xiaodi Dong y Jie Kang. "Forecasting Stock Market Volatility: A Combination Approach". Discrete Dynamics in Nature and Society 2020 (5 de junio de 2020): 1–9. http://dx.doi.org/10.1155/2020/1428628.
Texto completoKim, Jungmu y Yuen Jung Park. "Predictability of OTC Option Volatility for Future Stock Volatility". Sustainability 12, n.º 12 (25 de junio de 2020): 5200. http://dx.doi.org/10.3390/su12125200.
Texto completoNguyen, Tristan y Alexander Schüßler. "Anomalien auf Aktienmärkten". Der Betriebswirt: Volume 54, Issue 2 54, n.º 2 (30 de junio de 2013): 26–30. http://dx.doi.org/10.3790/dbw.54.2.26.
Texto completoChristopherson, Jon A. y Andrew L. Turner. "Volatility and predictability of manager alpha". Journal of Portfolio Management 18, n.º 1 (31 de octubre de 1991): 5–12. http://dx.doi.org/10.3905/jpm.1991.409388.
Texto completoRaunig, Burkhard. "The predictability of exchange rate volatility". Economics Letters 98, n.º 2 (febrero de 2008): 220–28. http://dx.doi.org/10.1016/j.econlet.2007.04.035.
Texto completoMavrides, Marios. "Predictability and volatility of stock returns". Managerial Finance 29, n.º 8 (septiembre de 2003): 46–56. http://dx.doi.org/10.1108/03074350310768427.
Texto completoLi, Xingyi y Valeriy Zakamulin. "The term structure of volatility predictability". International Journal of Forecasting 36, n.º 2 (abril de 2020): 723–37. http://dx.doi.org/10.1016/j.ijforecast.2019.08.010.
Texto completoTesis sobre el tema "Volatility predictability"
Zhang, Yuzhao. "Essays on return predictability and volatility estimation". Diss., Restricted to subscribing institutions, 2008. http://proquest.umi.com/pqdweb?did=1666139151&sid=3&Fmt=2&clientId=1564&RQT=309&VName=PQD.
Texto completoKasch-Haroutounian, Maria. "Transition equity markets of Central Europe : volatility, predictability, integration". Thesis, City University London, 2000. http://openaccess.city.ac.uk/8058/.
Texto completoLetra, Ivo José Santos. "What drives cryptocurrency value? A volatility and predictability analysis". Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/12556.
Texto completoEsta tese descreve como as moedas digitais se tornaram no novo fenómeno nos mercados financeiros e como a mais popular das moedas digitais - Bitcoin - originou perguntas cruciais sobre o seu valor e como ao mesmo tempo as suas séries financeiras criaram uma oportunidade para estudar várias dinâmicas sobre o preço, que tipicamente estão fortemente ligadas a movimentos especulativos e sem análise fundamental. Com a utilização de um modelo GARCH(1,1) sobre dados diários e centrando-se em dois fenómenos recentes - moedas digitais, nomeadamente Bitcoin e conteúdo web oriundo do Google Trends, Wikipedia e Twitter - verificámos que os retornos da Bitcoin são fortemente impulsionados pela sua popularidade. Assim, analisando este relacionamento e modelando a existência de variâncias condicionais heterocedásticas demonstramos que o conteúdo proveniente de motores de busca e redes sociais e a flutuação nos preços Bitcoin estão intensamente ligados e que esta relação exibe alguma previsibilidade.
This thesis describes how digital currencies have rose as a new interesting phenomenon in the financial markets and how the most popular of the digital currencies - BitCoin - have risen crucial questions about their exchange rates and also represents a field to study the dynamics of this market, which is strongly connected with speculative traders with no fundamentals as there is no fundamental value to the currency. Using a GARCH(1,1) model on daily data and focusing on two emerging phenomena of recent years - digital currencies, particularly Bitcoin, and web content provided by search queries on Google Trends and Wikipedia and tweets from Twitter - we discover that Bitcoin returns are driven primarily by its popularity. Thus, we analyze their relationship, the existence of volatility clustering and demonstrate that the web content and Bitcoin prices are connected and they exhibit some predictable power.
Wu, Ruojun. "Essays on the predictability and volatility of returns in the stock market". Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2008. http://wwwlib.umi.com/cr/ucsd/fullcit?p3316421.
Texto completoTitle from first page of PDF file (viewed Sept. 4, 2008). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references (p. 127-132).
Erickson, Matthew James y Matthew James Erickson. "The Relation Between Firm Dividend Policy and the Predictability of Cash Effective Tax Rates". Diss., The University of Arizona, 2017. http://hdl.handle.net/10150/624547.
Texto completoMohamed, El-Emam A. E. "Analysis of behaviour and predictability of stock returns and volatility on the Egyptian stock exchange". Thesis, University of York, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.422541.
Texto completoJones, Greg. "The predictability and performance of the market volatility forecast implied by the premiums of FTSE100 index option contracts". Thesis, University of Reading, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.298751.
Texto completoPsaradellis, I. "Essays on predictability & excess profitability of quantitative methods : modelling implied volatility, technical trading, data snooping and market efficiency". Thesis, University of Liverpool, 2017. http://livrepository.liverpool.ac.uk/3012184/.
Texto completoAlitab, Dario. "Discrete time models for financial volatility and jumps". Doctoral thesis, Scuola Normale Superiore, 2017. http://hdl.handle.net/11384/85716.
Texto completoStan, Denis-Emanuel. "News flow and trading activity: A study of investor attention and market predictability". Thesis, Queensland University of Technology, 2020. https://eprints.qut.edu.au/203276/1/Denis-Emanuel_Stan_Thesis.pdf.
Texto completoLibros sobre el tema "Volatility predictability"
Fund, International Monetary, ed. Volatility and predictability in national stock markets: How do emerging and mature markets differ? Washington, D.C: International Monetary Fund, 1996.
Buscar texto completoRaunig, Burkhard. Testing for longer horizon predictability of return volatility with an application to the German DAX. [Vienna]: Oesterreichische Nationalbank, 2003.
Buscar texto completoDemarest, Heidi Brockmann. US Defense Budget Outcomes: Volatility and Predictability in Army Weapons Funding. Palgrave Macmillan, 2017.
Buscar texto completoDemarest, Heidi Brockmann. US Defense Budget Outcomes: Volatility and Predictability in Army Weapons Funding. Palgrave Macmillan, 2018.
Buscar texto completoTimmerman, A. How learning in financial markets generates excess volatility and predictability in stock prices. Birkbeck College, University of London, 1992.
Buscar texto completoAuinger, Florian. Causal Relationship Between the S&P 500 and the VIX Index: Critical Analysis of Financial Market Volatility and Its Predictability. Springer Vieweg. in Springer Fachmedien Wiesbaden GmbH, 2015.
Buscar texto completoAuinger, Florian. The Causal Relationship between the S&P 500 and the VIX Index: Critical Analysis of Financial Market Volatility and Its Predictability. Springer Gabler, 2015.
Buscar texto completoGooch, Thomas John. Volatility and predictability of exchange rates in an equilibrium model: A case study of the deutsche mark/U.S. dollar and the Canadian dollar/U.S. dollar. 1995.
Buscar texto completoCapítulos de libros sobre el tema "Volatility predictability"
"■ Predictability of Risk Measures in International Stock Markets". En Stock Market Volatility, 343–52. Chapman and Hall/CRC, 2009. http://dx.doi.org/10.1201/9781420099553-23.
Texto completoBali, Turan y K. Ozgur Demirtas. "Predictability of Risk Measures in International Stock Markets". En Stock Market Volatility, 313–22. Chapman and Hall/CRC, 2009. http://dx.doi.org/10.1201/9781420099553.sec3.
Texto completoDias, Rui Teixeira, Pedro Pardal, Nuno Teixeira y Nicole Rebolo Horta. "Tail Risk and Return Predictability for Europe's Capital Markets". En Advances in Human Resources Management and Organizational Development, 281–98. IGI Global, 2022. http://dx.doi.org/10.4018/978-1-6684-5666-8.ch015.
Texto completoSnoussi, Wafa y Azza Béjaoui. "The Influence of Specific Criteria of Emerging Markets on SME Financing in MENA Markets". En Risk and Contingency Management, 398–420. IGI Global, 2018. http://dx.doi.org/10.4018/978-1-5225-3932-2.ch020.
Texto completoArterton, F. Christopher. "War and Democratic Conflict". En Strategy in Politics, 41—C3P59. Oxford University PressNew York, 2023. http://dx.doi.org/10.1093/oso/9780197644836.003.0003.
Texto completoActas de conferencias sobre el tema "Volatility predictability"
Dias, Rui y Hortense Santos. "THE IMPACT OF COVID-19 ON EXCHANGE RATE VOLATILITY: AN ECONOPHYSICS APPROACH". En Sixth International Scientific-Business Conference LIMEN Leadership, Innovation, Management and Economics: Integrated Politics of Research. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2020. http://dx.doi.org/10.31410/limen.2020.39.
Texto completoCohen, Stuart M., John Fyffe, Gary T. Rochelle y Michael E. Webber. "The Effect of Fossil Fuel Prices on Flexible CO2 Capture Operation". En ASME 2009 3rd International Conference on Energy Sustainability collocated with the Heat Transfer and InterPACK09 Conferences. ASMEDC, 2009. http://dx.doi.org/10.1115/es2009-90308.
Texto completoBexten, Thomas, Manfred Wirsum, Björn Roscher, Ralf Schelenz, Georg Jacobs, Daniel Weintraub y Peter Jeschke. "Optimal Operation of a Gas Turbine Cogeneration Unit With Energy Storage for Wind Power System Integration". En ASME Turbo Expo 2018: Turbomachinery Technical Conference and Exposition. American Society of Mechanical Engineers, 2018. http://dx.doi.org/10.1115/gt2018-76688.
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