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Modeling and predicting historical volatility in exchange rate markets · Study

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ArticleModeling and predicting historical volatility in exchange rate markets

Salim Lahmiri2016

Article2016

Modeling and predicting historical volatility in exchange rate markets

62 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Financial Risk and Volatility Modeling Forecasting Techniques and Applications Stock Market Forecasting Methods

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1978Time Series Analysis: Forecasting and Control.1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2009Time series analysis forecasting and control 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 2001The distribution of realized stock return volatility 1997Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach

Cited by

2022A Hybrid Prediction Model Integrating GARCH Models With a Distribution Manipulation Strategy Based on LSTM Networks for Stock Market Volatility 2017A hybridized ELM-Jaya forecasting model for currency exchange prediction 2018A stock market risk forecasting model through integration of switching regime, ANFIS and GARCH techniques 2019Evolutionary support vector machine for RMB exchange rate forecasting 2023Hybrid deep learning and GARCH-family models for forecasting volatility of cryptocurrencies 2019Forecasting stock volatility process using improved least square support vector machine approach 2020Hybrid Forecasting Models Based on the Neural Networks for the Volatility of Bitcoin

Details

Year2016

Typearticle

Published2016-12-24

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations62

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.physa.2016.12.061

openalex_workW2561462867

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