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Volatility in the stock market: ANN versus parametric models
16 references·1 citing·41 second hop
Volatility in the stock market: ANN versus parametric models (2019)Volatility in the stock market: ANN versu…Stock Market Volatility and Macroeconomic Fundamentals (2012)Stock Market Volatility and M…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…The relation between implied and realized volatility (1998)The relation between implied …Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Option Volume and Stock Price…Implied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…Predicting Volatility in the Foreign Exchange Market (1995)Predicting Volatility in the …The Informational Content of Implied Volatility (1993)The Informational Content of …A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Efficient Capital Markets, Inefficient Firms: A Model of Myopic Corporate Behavior (1989)Efficient Capital Markets, In…Economic prediction using neural networks: the case of IBM daily stock returns (1988)Economic prediction using neu…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Studies of stock market volatility changes (1976)Studies of stock market volat…A deep learning-based approach for performance assessment and prediction: A case study of pulp and paper industries (2022)A deep learning-based approac…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Climate policy uncertainty and world renewable energy index volatility forecasting (2022)Geopolitical risk and dynamic connectedness between commodity markets (2022)Job Market Signaling (1973)Corporate financing and investment decisions when firms have information that investors do not have (1984)Dividend Policy under Asymmetric Information (1985)A Survey of Corporate Governance (1997)Corporate Governance and Equity Prices (2003)The economic implications of corporate financial reporting (2005)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)The Pricing of Options on Assets with Stochastic Volatilities (1987)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Econometric Analysis of Cross Section and Panel Data (2001)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
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  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
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  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
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  • 1998The relation between implied and realized volatility1,114 cited
  • 1998Option Volume and Stock Prices: Evidence on Where Informed Traders Trade1,089 cited
  • 1976Studies of stock market volatility changes885 cited
  • 1993The Informational Content of Implied Volatility761 cited
  • 1995

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Predicting Volatility in the Foreign Exchange Market
723 cited
  • 1988Economic prediction using neural networks: the case of IBM daily stock returns698 cited
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    • 2022A deep learning-based approach for performance assessment and prediction: A case study of pulp and paper industries46 cited