Non-linear dynamics in financial asset returns: the predictive power of the CBOE volatility index
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DOI: 10.1080/13518470802042203
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- Dungey, Mardi & Milunovich, George & Thorp, Susan, 2010. "Unobservable shocks as carriers of contagion," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1008-1021, May.
- Henriques, Irene & Sadorsky, Perry, 2023. "Forecasting rare earth stock prices with machine learning," Resources Policy, Elsevier, vol. 86(PA).
- Salman Bahoo & Marco Cucculelli & Xhoana Goga & Jasmine Mondolo, 2024. "Artificial intelligence in Finance: a comprehensive review through bibliometric and content analysis," SN Business & Economics, Springer, vol. 4(2), pages 1-46, February.
- Riza Erdugan & Nada Kulendran & Riccardo Natoli, 2019. "Incorporating financial market volatility to improve forecasts of directional changes in Australian share market returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(4), pages 417-445, December.
- Luis H. R. Alvarez E. & Paavo Salminen, 2017.
"Timing in the presence of directional predictability: optimal stopping of skew Brownian motion,"
Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 86(2), pages 377-400, October.
- Luis H. R. Alvarez E. & Paavo Salminen, 2016. "Timing in the Presence of Directional Predictability: Optimal Stopping of Skew Brownian Motion," Papers 1608.04537, arXiv.org.
- Evangelos Liaras & Michail Nerantzidis & Antonios Alexandridis, 2024. "Machine learning in accounting and finance research: a literature review," Review of Quantitative Finance and Accounting, Springer, vol. 63(4), pages 1431-1471, November.
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Keywords
technical trading rules; recurrent neural networks; implied volatility;All these keywords.
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