SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Neural Network Approach in Forecasting Realized Variance Using High-Frequency Data
16 references·1 citing·34 second hop
Neural Network Approach in Forecasting Realized Variance Using High-Frequency Data (2018)Neural Network Approach in Forecasting Re…Microstructure Noise, Realized Variance, and Optimal Sampling (2008)Microstructure Noise, Realize…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Realized Variance and Market Microstructure Noise (2006)Realized Variance and Market …How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)How Often to Sample a Continu…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesEconometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Econometric Analysis of Reali…Time series forecasting using a hybrid ARIMA and neural network model (2003)Time series forecasting using…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Estimating quadratic variation using realized variance (2002)Estimating quadratic variatio…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…Nonlinear Time Series Models in Empirical Finance (2000)Nonlinear Time Series Models …Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Utilising Digital Media as a Second Language (L2) Support: A Case Study on Netflix with Translation Applications (2020)Utilising Digital Media as a …Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Forecasting with artificial neural networks: (1998)A hybrid ARIMA and support vector machines model in stock price forecasting (2004)A novel hybridization of artificial neural networks and ARIMA models for time series forecasting (2010)Recurrent Neural Networks for Time Series Forecasting: Current status and future directions (2020)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Expected Stock Returns and Variance Risk Premia (2009)A long memory property of stock market returns and a new model (1993)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Brownian Motion and Stochastic Calculus (2007)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)The Econometrics of Financial Markets (2012)The Distribution of Realized Exchange Rate Volatility (2001)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Option pricing when underlying stock returns are discontinuous (1976)The VIX, the variance premium and stock market volatility (2014)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 2003Time series forecasting using a hybrid ARIMA and neural network model4,469 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 2006Realized Variance and Market Microstructure Noise1,164 cited
  • 2000Nonlinear Time Series Models in Empirical Finance1,111 cited
  • 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
  • 2005How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise876 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2002Estimating quadratic variation using realized variance618 cited
  • 2008Microstructure Noise, Realized Variance, and Optimal Sampling598 cited
  • Cited by

    • 2020Utilising Digital Media as a Second Language (L2) Support: A Case Study on Netflix with Translation Applications30 cited