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Volatility in the stock market: ANN versus parametric models · Study

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ArticleVolatility in the stock market: ANN versus parametric models

Rita L. D’Ecclesia2019

Article2019

Volatility in the stock market: ANN versus parametric models

Rita L. D’Ecclesia · Daniele Clementi

33 citations·0/0 files stored·Annals of Operations Research

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Stock Market Forecasting Methods

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1989Efficient Capital Markets, Inefficient Firms: A Model of Myopic Corporate Behavior 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 2008A Simple Approximate Long-Memory Model of Realized Volatility 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects

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Year2019

Typearticle

Published2019-11-20

VenueAnnals of Operations Research

ISSN-L0254-5330

Languageen

Citations33

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s10479-019-03374-0

openalex_workW2991428028

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