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You searched for subject:(volatility forecasting). Showing records 1 – 30 of 74 total matches.

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Addis Ababa University

1. AMARE, TEREFE. APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF EXPORT PRICES .

Degree: 2012, Addis Ababa University

 This thesis discusses the GARCH model fitting and volatility forecasting of export prices data. We have chosen to confine our analysis on total export prices,… (more)

Subjects/Keywords: export; GARCH; volatility; forecasting; Ethiopia

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APA (6th Edition):

AMARE, T. (2012). APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF EXPORT PRICES . (Thesis). Addis Ababa University. Retrieved from http://etd.aau.edu.et/dspace/handle/123456789/218

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

AMARE, TEREFE. “APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF EXPORT PRICES .” 2012. Thesis, Addis Ababa University. Accessed October 20, 2019. http://etd.aau.edu.et/dspace/handle/123456789/218.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

AMARE, TEREFE. “APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF EXPORT PRICES .” 2012. Web. 20 Oct 2019.

Vancouver:

AMARE T. APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF EXPORT PRICES . [Internet] [Thesis]. Addis Ababa University; 2012. [cited 2019 Oct 20]. Available from: http://etd.aau.edu.et/dspace/handle/123456789/218.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

AMARE T. APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF EXPORT PRICES . [Thesis]. Addis Ababa University; 2012. Available from: http://etd.aau.edu.et/dspace/handle/123456789/218

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Otago

2. Kelly, Nathan K. Volatility forecasting in the 90-Day Australian bank bill futures market .

Degree: 2011, University of Otago

 This study employs a comprehensive data set from the 90-Day Australian Bank Bills Futures market to test the predictive power of the theoretically superior implied… (more)

Subjects/Keywords: volatility forecasting; forecasting; market efficiency; interest rates; options; implied volatility; Asay; Volatility; Futures market

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APA (6th Edition):

Kelly, N. K. (2011). Volatility forecasting in the 90-Day Australian bank bill futures market . (Masters Thesis). University of Otago. Retrieved from http://hdl.handle.net/10523/1340

Chicago Manual of Style (16th Edition):

Kelly, Nathan K. “Volatility forecasting in the 90-Day Australian bank bill futures market .” 2011. Masters Thesis, University of Otago. Accessed October 20, 2019. http://hdl.handle.net/10523/1340.

MLA Handbook (7th Edition):

Kelly, Nathan K. “Volatility forecasting in the 90-Day Australian bank bill futures market .” 2011. Web. 20 Oct 2019.

Vancouver:

Kelly NK. Volatility forecasting in the 90-Day Australian bank bill futures market . [Internet] [Masters thesis]. University of Otago; 2011. [cited 2019 Oct 20]. Available from: http://hdl.handle.net/10523/1340.

Council of Science Editors:

Kelly NK. Volatility forecasting in the 90-Day Australian bank bill futures market . [Masters Thesis]. University of Otago; 2011. Available from: http://hdl.handle.net/10523/1340


NSYSU

3. Wu, Chia-ying. Volatility Forecasting of Crude Oil Futureï¼Under Normal Mixture Model and NIG Mixture Model.

Degree: Master, Finance, 2012, NSYSU

 This study attempts to capture the behavior of volatility in the commodity futures market by importing the normal mixture GARCH Model and the NIG mixture… (more)

Subjects/Keywords: Normal Mixture; NIG Mixture; GARCH; Volatility forecasting

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APA (6th Edition):

Wu, C. (2012). Volatility Forecasting of Crude Oil Futureï¼Under Normal Mixture Model and NIG Mixture Model. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0530112-102008

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Wu, Chia-ying. “Volatility Forecasting of Crude Oil Futureï¼Under Normal Mixture Model and NIG Mixture Model.” 2012. Thesis, NSYSU. Accessed October 20, 2019. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0530112-102008.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Wu, Chia-ying. “Volatility Forecasting of Crude Oil Futureï¼Under Normal Mixture Model and NIG Mixture Model.” 2012. Web. 20 Oct 2019.

Vancouver:

Wu C. Volatility Forecasting of Crude Oil Futureï¼Under Normal Mixture Model and NIG Mixture Model. [Internet] [Thesis]. NSYSU; 2012. [cited 2019 Oct 20]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0530112-102008.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Wu C. Volatility Forecasting of Crude Oil Futureï¼Under Normal Mixture Model and NIG Mixture Model. [Thesis]. NSYSU; 2012. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0530112-102008

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Technical University of Lisbon

4. Zhao, Richard Folger. Can model-based forecasts predict stock market volatility using range-based and implied volatility as proxies?.

Degree: 2017, Technical University of Lisbon

Mestrado em Finanças

This thesis attempts to evaluate the performance of parametric time series models and RiskMetrics methodology to predict volatility. Range-based price estimators and… (more)

Subjects/Keywords: Implied Volatility; Range-based Volatility; GARCH; Forecasting Accuracy; Information Content.

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APA (6th Edition):

Zhao, R. F. (2017). Can model-based forecasts predict stock market volatility using range-based and implied volatility as proxies?. (Thesis). Technical University of Lisbon. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/13917

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Zhao, Richard Folger. “Can model-based forecasts predict stock market volatility using range-based and implied volatility as proxies?.” 2017. Thesis, Technical University of Lisbon. Accessed October 20, 2019. https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/13917.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Zhao, Richard Folger. “Can model-based forecasts predict stock market volatility using range-based and implied volatility as proxies?.” 2017. Web. 20 Oct 2019.

Vancouver:

Zhao RF. Can model-based forecasts predict stock market volatility using range-based and implied volatility as proxies?. [Internet] [Thesis]. Technical University of Lisbon; 2017. [cited 2019 Oct 20]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/13917.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Zhao RF. Can model-based forecasts predict stock market volatility using range-based and implied volatility as proxies?. [Thesis]. Technical University of Lisbon; 2017. Available from: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/13917

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of California – Santa Cruz

5. Asensio, Ivan Oscar. Essays On The Persistence Of The Forecast Bias Of Option Implied Volatility.

Degree: Economics, 2013, University of California – Santa Cruz

 Chapter I contains a literature review on the forecast bias of implied volatility based on the two fundamental questions addressed in the literature. Does implied… (more)

Subjects/Keywords: Finance; Business; Economics, Commerce-Business; exchange rates; financial openness; implied volatility; options; VIX; volatility forecasting

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APA (6th Edition):

Asensio, I. O. (2013). Essays On The Persistence Of The Forecast Bias Of Option Implied Volatility. (Thesis). University of California – Santa Cruz. Retrieved from http://www.escholarship.org/uc/item/5j25b8m5

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Asensio, Ivan Oscar. “Essays On The Persistence Of The Forecast Bias Of Option Implied Volatility.” 2013. Thesis, University of California – Santa Cruz. Accessed October 20, 2019. http://www.escholarship.org/uc/item/5j25b8m5.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Asensio, Ivan Oscar. “Essays On The Persistence Of The Forecast Bias Of Option Implied Volatility.” 2013. Web. 20 Oct 2019.

Vancouver:

Asensio IO. Essays On The Persistence Of The Forecast Bias Of Option Implied Volatility. [Internet] [Thesis]. University of California – Santa Cruz; 2013. [cited 2019 Oct 20]. Available from: http://www.escholarship.org/uc/item/5j25b8m5.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Asensio IO. Essays On The Persistence Of The Forecast Bias Of Option Implied Volatility. [Thesis]. University of California – Santa Cruz; 2013. Available from: http://www.escholarship.org/uc/item/5j25b8m5

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Uppsala University

6. Fallman, David. FORECASTING FOREIGN EXCHANGE VOLATILITY FOR VALUE AT RISK : CAN REALIZED VOLATILITY OUTPERFORM GARCH PREDICTIONS?.

Degree: Statistics, 2011, Uppsala University

  In this paper we use model-free estimates of daily exchange rate volatilities employing high-frequency intraday data, known as Realized Volatility, which is then forecasted… (more)

Subjects/Keywords: Realized volatility; volatility forecasting; exchange rates; high-frequency data; value-at-risk; Statistics; Statistik

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APA (6th Edition):

Fallman, D. (2011). FORECASTING FOREIGN EXCHANGE VOLATILITY FOR VALUE AT RISK : CAN REALIZED VOLATILITY OUTPERFORM GARCH PREDICTIONS?. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-146571

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Fallman, David. “FORECASTING FOREIGN EXCHANGE VOLATILITY FOR VALUE AT RISK : CAN REALIZED VOLATILITY OUTPERFORM GARCH PREDICTIONS?.” 2011. Thesis, Uppsala University. Accessed October 20, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-146571.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Fallman, David. “FORECASTING FOREIGN EXCHANGE VOLATILITY FOR VALUE AT RISK : CAN REALIZED VOLATILITY OUTPERFORM GARCH PREDICTIONS?.” 2011. Web. 20 Oct 2019.

Vancouver:

Fallman D. FORECASTING FOREIGN EXCHANGE VOLATILITY FOR VALUE AT RISK : CAN REALIZED VOLATILITY OUTPERFORM GARCH PREDICTIONS?. [Internet] [Thesis]. Uppsala University; 2011. [cited 2019 Oct 20]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-146571.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Fallman D. FORECASTING FOREIGN EXCHANGE VOLATILITY FOR VALUE AT RISK : CAN REALIZED VOLATILITY OUTPERFORM GARCH PREDICTIONS?. [Thesis]. Uppsala University; 2011. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-146571

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Lethbridge

7. University of Lethbridge. Faculty of Arts and Science. Testing the predictive power of various exchange rate models in forecasting the volatility of exchange .

Degree: 2016, University of Lethbridge

 This Thesis tests the predictive power of ARCH, GARCH and EGARCH models in forecasting exchange rate volatility of Canadian dollar, Euro, British Pound, Swiss Franc… (more)

Subjects/Keywords: exchange rate; in-sample performance; out-of-sample performance; volatility forecasting; volatility models

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APA (6th Edition):

Science, U. o. L. F. o. A. a. (2016). Testing the predictive power of various exchange rate models in forecasting the volatility of exchange . (Thesis). University of Lethbridge. Retrieved from http://hdl.handle.net/10133/4611

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Science, University of Lethbridge. Faculty of Arts and. “Testing the predictive power of various exchange rate models in forecasting the volatility of exchange .” 2016. Thesis, University of Lethbridge. Accessed October 20, 2019. http://hdl.handle.net/10133/4611.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Science, University of Lethbridge. Faculty of Arts and. “Testing the predictive power of various exchange rate models in forecasting the volatility of exchange .” 2016. Web. 20 Oct 2019.

Vancouver:

Science UoLFoAa. Testing the predictive power of various exchange rate models in forecasting the volatility of exchange . [Internet] [Thesis]. University of Lethbridge; 2016. [cited 2019 Oct 20]. Available from: http://hdl.handle.net/10133/4611.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Science UoLFoAa. Testing the predictive power of various exchange rate models in forecasting the volatility of exchange . [Thesis]. University of Lethbridge; 2016. Available from: http://hdl.handle.net/10133/4611

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

8. Egbulefu, Joseph. Robust GARCH methods and analysis of partial least squares regression.

Degree: PhD, Engineering, 2014, Rice University

 New approaches to modeling volatility are evaluated and properties of partial least squares (PLS) regression are investigated. Common methods for modeling volatility, the standard deviation… (more)

Subjects/Keywords: Volatility forecasting; Partial least squares; GARCH; Asymptotic covariance; Seasonal volatility; Variable selection

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APA (6th Edition):

Egbulefu, J. (2014). Robust GARCH methods and analysis of partial least squares regression. (Doctoral Dissertation). Rice University. Retrieved from http://hdl.handle.net/1911/76713

Chicago Manual of Style (16th Edition):

Egbulefu, Joseph. “Robust GARCH methods and analysis of partial least squares regression.” 2014. Doctoral Dissertation, Rice University. Accessed October 20, 2019. http://hdl.handle.net/1911/76713.

MLA Handbook (7th Edition):

Egbulefu, Joseph. “Robust GARCH methods and analysis of partial least squares regression.” 2014. Web. 20 Oct 2019.

Vancouver:

Egbulefu J. Robust GARCH methods and analysis of partial least squares regression. [Internet] [Doctoral dissertation]. Rice University; 2014. [cited 2019 Oct 20]. Available from: http://hdl.handle.net/1911/76713.

Council of Science Editors:

Egbulefu J. Robust GARCH methods and analysis of partial least squares regression. [Doctoral Dissertation]. Rice University; 2014. Available from: http://hdl.handle.net/1911/76713


University of Otago

9. Berlova, Ekaterina. Informational content of the term structure of forward implied volatility in oil and gas futures market .

Degree: 2011, University of Otago

 This paper is the first to investigate the informational content of model-free forward implied volatility (MF FIV) in energy markets, as previous studies mainly concentrated… (more)

Subjects/Keywords: Term Structure of Implied Volatility; Model Free Implied Volatility; Futures; Oil and Gas; GARCH; Volatility Forecasting

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APA (6th Edition):

Berlova, E. (2011). Informational content of the term structure of forward implied volatility in oil and gas futures market . (Masters Thesis). University of Otago. Retrieved from http://hdl.handle.net/10523/1785

Chicago Manual of Style (16th Edition):

Berlova, Ekaterina. “Informational content of the term structure of forward implied volatility in oil and gas futures market .” 2011. Masters Thesis, University of Otago. Accessed October 20, 2019. http://hdl.handle.net/10523/1785.

MLA Handbook (7th Edition):

Berlova, Ekaterina. “Informational content of the term structure of forward implied volatility in oil and gas futures market .” 2011. Web. 20 Oct 2019.

Vancouver:

Berlova E. Informational content of the term structure of forward implied volatility in oil and gas futures market . [Internet] [Masters thesis]. University of Otago; 2011. [cited 2019 Oct 20]. Available from: http://hdl.handle.net/10523/1785.

Council of Science Editors:

Berlova E. Informational content of the term structure of forward implied volatility in oil and gas futures market . [Masters Thesis]. University of Otago; 2011. Available from: http://hdl.handle.net/10523/1785


Robert Gordon University

10. Sanusi, Muhammad Surajo. Market efficiency, volatility behaviour and asset pricing analysis of the oil & gas companies quoted on the London Stock Exchange.

Degree: PhD, 2015, Robert Gordon University

 This research assessed market efficiency, volatility behaviour, asset pricing, and oil price risk exposure of the oil and gas companies quoted on the London Stock… (more)

Subjects/Keywords: 657; Information efficiency; Seasonality analysis; Volatility; Systematic risk; Asset pricing; Forecasting

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APA (6th Edition):

Sanusi, M. S. (2015). Market efficiency, volatility behaviour and asset pricing analysis of the oil & gas companies quoted on the London Stock Exchange. (Doctoral Dissertation). Robert Gordon University. Retrieved from http://hdl.handle.net/10059/1243

Chicago Manual of Style (16th Edition):

Sanusi, Muhammad Surajo. “Market efficiency, volatility behaviour and asset pricing analysis of the oil & gas companies quoted on the London Stock Exchange.” 2015. Doctoral Dissertation, Robert Gordon University. Accessed October 20, 2019. http://hdl.handle.net/10059/1243.

MLA Handbook (7th Edition):

Sanusi, Muhammad Surajo. “Market efficiency, volatility behaviour and asset pricing analysis of the oil & gas companies quoted on the London Stock Exchange.” 2015. Web. 20 Oct 2019.

Vancouver:

Sanusi MS. Market efficiency, volatility behaviour and asset pricing analysis of the oil & gas companies quoted on the London Stock Exchange. [Internet] [Doctoral dissertation]. Robert Gordon University; 2015. [cited 2019 Oct 20]. Available from: http://hdl.handle.net/10059/1243.

Council of Science Editors:

Sanusi MS. Market efficiency, volatility behaviour and asset pricing analysis of the oil & gas companies quoted on the London Stock Exchange. [Doctoral Dissertation]. Robert Gordon University; 2015. Available from: http://hdl.handle.net/10059/1243


University of Western Ontario

11. Pypko, Sergii. Volatility Modelling with Applications to Equity and Foreign Exchange Markets.

Degree: 2016, University of Western Ontario

 My thesis consists of three chapters describing volatility forecasting during periods of financial booms and busts, the economic and statistical benefits of flexible data generating… (more)

Subjects/Keywords: volatility modelling; derivatives pricing; risk management; forecasting; Econometrics; Finance

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APA (6th Edition):

Pypko, S. (2016). Volatility Modelling with Applications to Equity and Foreign Exchange Markets. (Thesis). University of Western Ontario. Retrieved from https://ir.lib.uwo.ca/etd/4314

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Pypko, Sergii. “Volatility Modelling with Applications to Equity and Foreign Exchange Markets.” 2016. Thesis, University of Western Ontario. Accessed October 20, 2019. https://ir.lib.uwo.ca/etd/4314.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Pypko, Sergii. “Volatility Modelling with Applications to Equity and Foreign Exchange Markets.” 2016. Web. 20 Oct 2019.

Vancouver:

Pypko S. Volatility Modelling with Applications to Equity and Foreign Exchange Markets. [Internet] [Thesis]. University of Western Ontario; 2016. [cited 2019 Oct 20]. Available from: https://ir.lib.uwo.ca/etd/4314.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Pypko S. Volatility Modelling with Applications to Equity and Foreign Exchange Markets. [Thesis]. University of Western Ontario; 2016. Available from: https://ir.lib.uwo.ca/etd/4314

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Dublin City University

12. Sharkasi, Adel. The characterisation of international stock markets using signal processing techniques.

Degree: School of Computing, 2006, Dublin City University

 Investors are constantly asking whether beating the market on a consistent basis is possible. There is probably no definitive answer to the question of how… (more)

Subjects/Keywords: stock market; fluctuations; forecasting; volatility

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APA (6th Edition):

Sharkasi, A. (2006). The characterisation of international stock markets using signal processing techniques. (Thesis). Dublin City University. Retrieved from http://doras.dcu.ie/16926/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Sharkasi, Adel. “The characterisation of international stock markets using signal processing techniques.” 2006. Thesis, Dublin City University. Accessed October 20, 2019. http://doras.dcu.ie/16926/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Sharkasi, Adel. “The characterisation of international stock markets using signal processing techniques.” 2006. Web. 20 Oct 2019.

Vancouver:

Sharkasi A. The characterisation of international stock markets using signal processing techniques. [Internet] [Thesis]. Dublin City University; 2006. [cited 2019 Oct 20]. Available from: http://doras.dcu.ie/16926/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Sharkasi A. The characterisation of international stock markets using signal processing techniques. [Thesis]. Dublin City University; 2006. Available from: http://doras.dcu.ie/16926/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

13. Matias, Ricardo Miguel Borges. A comparison about the predictive ability of FCGARCH, facing EGARCH and GJR.

Degree: 2012, RCAAP

Projeto / JEL: C52, C53

In order to study the volatility of a stock market, several volatility models have been created, studied and improved throughout… (more)

Subjects/Keywords: Forecasting volatility; EGARCH; GJR; FCGARCH; Previsão de volatilidade

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APA (6th Edition):

Matias, R. M. B. (2012). A comparison about the predictive ability of FCGARCH, facing EGARCH and GJR. (Thesis). RCAAP. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/6430

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Matias, Ricardo Miguel Borges. “A comparison about the predictive ability of FCGARCH, facing EGARCH and GJR.” 2012. Thesis, RCAAP. Accessed October 20, 2019. https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/6430.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Matias, Ricardo Miguel Borges. “A comparison about the predictive ability of FCGARCH, facing EGARCH and GJR.” 2012. Web. 20 Oct 2019.

Vancouver:

Matias RMB. A comparison about the predictive ability of FCGARCH, facing EGARCH and GJR. [Internet] [Thesis]. RCAAP; 2012. [cited 2019 Oct 20]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/6430.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Matias RMB. A comparison about the predictive ability of FCGARCH, facing EGARCH and GJR. [Thesis]. RCAAP; 2012. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/6430

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

14. Pereira, Tiago David Cabrita. Aplicação de Modelos Markov-Switching a rendibilidades do mercado accionista português.

Degree: 2012, RCAAP

Mestrado em Economia Monetária e Financeira

Esta dissertação incide sobre rendibilidades do Índice PSI-Geral desde o ano 1990 até ao ano 2010, com periocidade semanal,… (more)

Subjects/Keywords: Markov-Switching; Rendibilidades; Regimes; Previsão; Returns; Regimes; Volatility; Forecasting

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Pereira, T. D. C. (2012). Aplicação de Modelos Markov-Switching a rendibilidades do mercado accionista português. (Thesis). RCAAP. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/4156

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Pereira, Tiago David Cabrita. “Aplicação de Modelos Markov-Switching a rendibilidades do mercado accionista português.” 2012. Thesis, RCAAP. Accessed October 20, 2019. https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/4156.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Pereira, Tiago David Cabrita. “Aplicação de Modelos Markov-Switching a rendibilidades do mercado accionista português.” 2012. Web. 20 Oct 2019.

Vancouver:

Pereira TDC. Aplicação de Modelos Markov-Switching a rendibilidades do mercado accionista português. [Internet] [Thesis]. RCAAP; 2012. [cited 2019 Oct 20]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/4156.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Pereira TDC. Aplicação de Modelos Markov-Switching a rendibilidades do mercado accionista português. [Thesis]. RCAAP; 2012. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/4156

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

15. Trujillo-Barrera, Andres. Essays on commodity price variability.

Degree: PhD, 5273, 2014, University of Illinois – Urbana-Champaign

 This dissertation consists of three papers that investigate different dimensions of commodity price variability which has increased dramatically in recent years. The first paper analyzes… (more)

Subjects/Keywords: Commodity Prices; Volatility; Forecasting

…22 VIX will improve volatility forecasting and enhance market participants’ ability to… …2011). However, relatively less is known about volatility linkages and its transmission… …1 The first paper studies how much of the price volatility of corn and ethanol can be… …explained by crude oil price volatility, and how does this relationship evolved in the period 2006… …2011. Using weekly futures data, I estimate the conditional volatility of crude oil, corn… 

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Trujillo-Barrera, A. (2014). Essays on commodity price variability. (Doctoral Dissertation). University of Illinois – Urbana-Champaign. Retrieved from http://hdl.handle.net/2142/46578

Chicago Manual of Style (16th Edition):

Trujillo-Barrera, Andres. “Essays on commodity price variability.” 2014. Doctoral Dissertation, University of Illinois – Urbana-Champaign. Accessed October 20, 2019. http://hdl.handle.net/2142/46578.

MLA Handbook (7th Edition):

Trujillo-Barrera, Andres. “Essays on commodity price variability.” 2014. Web. 20 Oct 2019.

Vancouver:

Trujillo-Barrera A. Essays on commodity price variability. [Internet] [Doctoral dissertation]. University of Illinois – Urbana-Champaign; 2014. [cited 2019 Oct 20]. Available from: http://hdl.handle.net/2142/46578.

Council of Science Editors:

Trujillo-Barrera A. Essays on commodity price variability. [Doctoral Dissertation]. University of Illinois – Urbana-Champaign; 2014. Available from: http://hdl.handle.net/2142/46578


University of St. Andrews

16. Kambouroudis, Dimos S. Essays on volatility forecasting .

Degree: 2012, University of St. Andrews

 Stock market volatility has been an important subject in the finance literature for which now an enormous body of research exists. Volatility modelling and forecasting(more)

Subjects/Keywords: Volatility forecasting; GARCH; Backward recursion; VaR; Riskmetrics; VIX; Trading volume

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Kambouroudis, D. S. (2012). Essays on volatility forecasting . (Thesis). University of St. Andrews. Retrieved from http://hdl.handle.net/10023/3191

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Kambouroudis, Dimos S. “Essays on volatility forecasting .” 2012. Thesis, University of St. Andrews. Accessed October 20, 2019. http://hdl.handle.net/10023/3191.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Kambouroudis, Dimos S. “Essays on volatility forecasting .” 2012. Web. 20 Oct 2019.

Vancouver:

Kambouroudis DS. Essays on volatility forecasting . [Internet] [Thesis]. University of St. Andrews; 2012. [cited 2019 Oct 20]. Available from: http://hdl.handle.net/10023/3191.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kambouroudis DS. Essays on volatility forecasting . [Thesis]. University of St. Andrews; 2012. Available from: http://hdl.handle.net/10023/3191

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Cambridge

17. Weiss, Christoph. Essays in hierarchical time series forecasting and forecast combination.

Degree: PhD, 2018, University of Cambridge

 This dissertation comprises of three original contributions to empirical forecasting research. Chapter 1 introduces the dissertation. Chapter 2 contributes to the literature on hierarchical time… (more)

Subjects/Keywords: Time Series Analysis; Hierarchical Forecasting; Aggregation; Volatility Modelling; Forecast Combination; Dynamic Model Selection; Inflation Forecasting; R; Healthcare Forecasting

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Weiss, C. (2018). Essays in hierarchical time series forecasting and forecast combination. (Doctoral Dissertation). University of Cambridge. Retrieved from https://www.repository.cam.ac.uk/handle/1810/274757 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.744682

Chicago Manual of Style (16th Edition):

Weiss, Christoph. “Essays in hierarchical time series forecasting and forecast combination.” 2018. Doctoral Dissertation, University of Cambridge. Accessed October 20, 2019. https://www.repository.cam.ac.uk/handle/1810/274757 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.744682.

MLA Handbook (7th Edition):

Weiss, Christoph. “Essays in hierarchical time series forecasting and forecast combination.” 2018. Web. 20 Oct 2019.

Vancouver:

Weiss C. Essays in hierarchical time series forecasting and forecast combination. [Internet] [Doctoral dissertation]. University of Cambridge; 2018. [cited 2019 Oct 20]. Available from: https://www.repository.cam.ac.uk/handle/1810/274757 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.744682.

Council of Science Editors:

Weiss C. Essays in hierarchical time series forecasting and forecast combination. [Doctoral Dissertation]. University of Cambridge; 2018. Available from: https://www.repository.cam.ac.uk/handle/1810/274757 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.744682


University of Cambridge

18. Weiss, Christoph. Essays in Hierarchical Time Series Forecasting and Forecast Combination .

Degree: 2018, University of Cambridge

 This dissertation comprises of three original contributions to empirical forecasting research. Chapter 1 introduces the dissertation. Chapter 2 contributes to the literature on hierarchical time… (more)

Subjects/Keywords: Time Series Analysis; Hierarchical Forecasting; Aggregation; Volatility Modelling; Forecast Combination; Dynamic Model Selection; Inflation Forecasting; R; Healthcare Forecasting

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Weiss, C. (2018). Essays in Hierarchical Time Series Forecasting and Forecast Combination . (Thesis). University of Cambridge. Retrieved from https://www.repository.cam.ac.uk/handle/1810/274757

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Weiss, Christoph. “Essays in Hierarchical Time Series Forecasting and Forecast Combination .” 2018. Thesis, University of Cambridge. Accessed October 20, 2019. https://www.repository.cam.ac.uk/handle/1810/274757.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Weiss, Christoph. “Essays in Hierarchical Time Series Forecasting and Forecast Combination .” 2018. Web. 20 Oct 2019.

Vancouver:

Weiss C. Essays in Hierarchical Time Series Forecasting and Forecast Combination . [Internet] [Thesis]. University of Cambridge; 2018. [cited 2019 Oct 20]. Available from: https://www.repository.cam.ac.uk/handle/1810/274757.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Weiss C. Essays in Hierarchical Time Series Forecasting and Forecast Combination . [Thesis]. University of Cambridge; 2018. Available from: https://www.repository.cam.ac.uk/handle/1810/274757

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

19. Φάσσας, Αθανάσιος. Υποδείγματα πρόβλεψης μεταβλητότητας σε χρηματοοικονομικές αγορές : μετοχές, δικαιώματα προαίρεσης, νομίσματα.

Degree: 2009, University of Patras

Η ακριβής πρόβλεψη της μελλοντικής μεταβλητότητας αποδεικνύεται ιδιαίτερα χρήσιμη για την τιμολόγηση παραγώγων προϊόντων και την αντιστάθμιση κινδύνων στη διαχείριση χαρτοφυλακίων. H τεκμαρτή μεταβλητότητα, όπως… (more)

Subjects/Keywords: Πρόβλεψη μεταβλητότητας; Δείκτες τεκμαρτής μεταβλητότητας; Χρηματιστήριο Αθηνών; Διάχυση μεταβλητότητας; 332.632 2; Forecasting volatility; Implied volatility indices; Athens Stock Exchange; VIX

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Φάσσας, . (2009). Υποδείγματα πρόβλεψης μεταβλητότητας σε χρηματοοικονομικές αγορές : μετοχές, δικαιώματα προαίρεσης, νομίσματα. (Doctoral Dissertation). University of Patras. Retrieved from http://nemertes.lis.upatras.gr/jspui/handle/10889/1769

Chicago Manual of Style (16th Edition):

Φάσσας, Αθανάσιος. “Υποδείγματα πρόβλεψης μεταβλητότητας σε χρηματοοικονομικές αγορές : μετοχές, δικαιώματα προαίρεσης, νομίσματα.” 2009. Doctoral Dissertation, University of Patras. Accessed October 20, 2019. http://nemertes.lis.upatras.gr/jspui/handle/10889/1769.

MLA Handbook (7th Edition):

Φάσσας, Αθανάσιος. “Υποδείγματα πρόβλεψης μεταβλητότητας σε χρηματοοικονομικές αγορές : μετοχές, δικαιώματα προαίρεσης, νομίσματα.” 2009. Web. 20 Oct 2019.

Vancouver:

Φάσσας . Υποδείγματα πρόβλεψης μεταβλητότητας σε χρηματοοικονομικές αγορές : μετοχές, δικαιώματα προαίρεσης, νομίσματα. [Internet] [Doctoral dissertation]. University of Patras; 2009. [cited 2019 Oct 20]. Available from: http://nemertes.lis.upatras.gr/jspui/handle/10889/1769.

Council of Science Editors:

Φάσσας . Υποδείγματα πρόβλεψης μεταβλητότητας σε χρηματοοικονομικές αγορές : μετοχές, δικαιώματα προαίρεσης, νομίσματα. [Doctoral Dissertation]. University of Patras; 2009. Available from: http://nemertes.lis.upatras.gr/jspui/handle/10889/1769


Technical University of Lisbon

20. Belchior, Diogo Francisco Ferreira. Implied volatility as a forecast for future volatility : evidence from european market.

Degree: 2012, Technical University of Lisbon

Mestrado em Finanças

O objetivo principal deste estudo é o de testar se a Volatilidade Implicita em instrumentos financeiros, nomeadamente Opções financeiras, é um estimador… (more)

Subjects/Keywords: Volatilidade Implícita; Opções sobre Índices; Previsão de Volatilidade; Eficiência de Mercado; Implied volatility; Index options; Volatility forecasting; Market efficiency

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Belchior, D. F. F. (2012). Implied volatility as a forecast for future volatility : evidence from european market. (Thesis). Technical University of Lisbon. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/10866

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Belchior, Diogo Francisco Ferreira. “Implied volatility as a forecast for future volatility : evidence from european market.” 2012. Thesis, Technical University of Lisbon. Accessed October 20, 2019. https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/10866.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Belchior, Diogo Francisco Ferreira. “Implied volatility as a forecast for future volatility : evidence from european market.” 2012. Web. 20 Oct 2019.

Vancouver:

Belchior DFF. Implied volatility as a forecast for future volatility : evidence from european market. [Internet] [Thesis]. Technical University of Lisbon; 2012. [cited 2019 Oct 20]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/10866.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Belchior DFF. Implied volatility as a forecast for future volatility : evidence from european market. [Thesis]. Technical University of Lisbon; 2012. Available from: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/10866

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

21. Salgado, José. What best predicts realized and implied volatility: GARCH, GJR or FCGARCH?.

Degree: 2011, RCAAP

JEL: C22, C52, C53

This thesis focuses on forecasting realized volatility (RV) and implied volatility (IV) on equity markets, a subject of major importance for… (more)

Subjects/Keywords: Forecasting; Realized volatility; Implied volatility; GARCH models; Multiple regimes; Previsão; Volatilidade realizada; Volatilidade implícita; Modelos GARCH; Múltiplos regimes

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APA (6th Edition):

Salgado, J. (2011). What best predicts realized and implied volatility: GARCH, GJR or FCGARCH?. (Thesis). RCAAP. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/4070

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Salgado, José. “What best predicts realized and implied volatility: GARCH, GJR or FCGARCH?.” 2011. Thesis, RCAAP. Accessed October 20, 2019. https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/4070.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Salgado, José. “What best predicts realized and implied volatility: GARCH, GJR or FCGARCH?.” 2011. Web. 20 Oct 2019.

Vancouver:

Salgado J. What best predicts realized and implied volatility: GARCH, GJR or FCGARCH?. [Internet] [Thesis]. RCAAP; 2011. [cited 2019 Oct 20]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/4070.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Salgado J. What best predicts realized and implied volatility: GARCH, GJR or FCGARCH?. [Thesis]. RCAAP; 2011. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/4070

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Duke University

22. Zhao, Yi. Bayesian Multiregression Dynamic Models with Applications in Finance and Business .

Degree: 2015, Duke University

  This thesis discusses novel developments in Bayesian analytics for high-dimensional multivariate time series. The focus is on the class of multiregression dynamic models (MDMs),… (more)

Subjects/Keywords: Statistics; Bayesian forecasting; Bayesian model averaging; Energy demand forecasting; Financial portfolio optimization; Multiregression dynamic models; Stochastic volatility

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APA (6th Edition):

Zhao, Y. (2015). Bayesian Multiregression Dynamic Models with Applications in Finance and Business . (Thesis). Duke University. Retrieved from http://hdl.handle.net/10161/9808

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Zhao, Yi. “Bayesian Multiregression Dynamic Models with Applications in Finance and Business .” 2015. Thesis, Duke University. Accessed October 20, 2019. http://hdl.handle.net/10161/9808.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Zhao, Yi. “Bayesian Multiregression Dynamic Models with Applications in Finance and Business .” 2015. Web. 20 Oct 2019.

Vancouver:

Zhao Y. Bayesian Multiregression Dynamic Models with Applications in Finance and Business . [Internet] [Thesis]. Duke University; 2015. [cited 2019 Oct 20]. Available from: http://hdl.handle.net/10161/9808.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Zhao Y. Bayesian Multiregression Dynamic Models with Applications in Finance and Business . [Thesis]. Duke University; 2015. Available from: http://hdl.handle.net/10161/9808

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

23. Φάσσας, Αθανάσιος. Υποδείγματα πρόβλεψης μεταβλητότητας σε χρηματοοικονομικές αγορές: μετοχές, δικαιώματα προαίρεσης, νομίσματα.

Degree: 2009, University of Patras; Πανεπιστήμιο Πατρών

 Η ακριβής πρόβλεψη της μελλοντικής μεταβλητότητας αποδεικνύεται ιδιαίτερα χρήσιμη για την τιμολόγηση παραγώγων προϊόντων και την αντιστάθμιση κινδύνων στη διαχείριση χαρτοφυλακίων. H τεκμαρτή μεταβλητότητα, όπως… (more)

Subjects/Keywords: Δείκτες τεκμαρτής μεταβλητότητας; Πρόβλεψη μεταβλητότητας; Χρηματιστήριο Αξιών Αθηνών; Διάχυση μεταβλητότητας; Δικαιώματα προαίρεσης; Implied volatility indices; Forecasting volatility; Athens Stock Exchange; VIX; Volatility spillover; Options

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Φάσσας, . . (2009). Υποδείγματα πρόβλεψης μεταβλητότητας σε χρηματοοικονομικές αγορές: μετοχές, δικαιώματα προαίρεσης, νομίσματα. (Thesis). University of Patras; Πανεπιστήμιο Πατρών. Retrieved from http://hdl.handle.net/10442/hedi/25670

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Φάσσας, Αθανάσιος. “Υποδείγματα πρόβλεψης μεταβλητότητας σε χρηματοοικονομικές αγορές: μετοχές, δικαιώματα προαίρεσης, νομίσματα.” 2009. Thesis, University of Patras; Πανεπιστήμιο Πατρών. Accessed October 20, 2019. http://hdl.handle.net/10442/hedi/25670.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Φάσσας, Αθανάσιος. “Υποδείγματα πρόβλεψης μεταβλητότητας σε χρηματοοικονομικές αγορές: μετοχές, δικαιώματα προαίρεσης, νομίσματα.” 2009. Web. 20 Oct 2019.

Vancouver:

Φάσσας . Υποδείγματα πρόβλεψης μεταβλητότητας σε χρηματοοικονομικές αγορές: μετοχές, δικαιώματα προαίρεσης, νομίσματα. [Internet] [Thesis]. University of Patras; Πανεπιστήμιο Πατρών; 2009. [cited 2019 Oct 20]. Available from: http://hdl.handle.net/10442/hedi/25670.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Φάσσας . Υποδείγματα πρόβλεψης μεταβλητότητας σε χρηματοοικονομικές αγορές: μετοχές, δικαιώματα προαίρεσης, νομίσματα. [Thesis]. University of Patras; Πανεπιστήμιο Πατρών; 2009. Available from: http://hdl.handle.net/10442/hedi/25670

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Universidade do Rio Grande do Sul

24. Milach, Felipe Tavares. Estimação da volatilidade : uma aplicação utilizando dados intradiários.

Degree: 2010, Universidade do Rio Grande do Sul

O estudo da volatilidade dos retornos dos ativos ocupa um lugar de destaque dentro da moderna teoria de finanças. Tradicionalmente, os modelos empregados para a… (more)

Subjects/Keywords: Volatility; Bolsa de valores; Mercado financeiro; GARCH models; Volatilidade; Realized variance; Forecasting; Financas : Acoes : Investimentos

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APA (6th Edition):

Milach, F. T. (2010). Estimação da volatilidade : uma aplicação utilizando dados intradiários. (Thesis). Universidade do Rio Grande do Sul. Retrieved from http://hdl.handle.net/10183/25153

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Milach, Felipe Tavares. “Estimação da volatilidade : uma aplicação utilizando dados intradiários.” 2010. Thesis, Universidade do Rio Grande do Sul. Accessed October 20, 2019. http://hdl.handle.net/10183/25153.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Milach, Felipe Tavares. “Estimação da volatilidade : uma aplicação utilizando dados intradiários.” 2010. Web. 20 Oct 2019.

Vancouver:

Milach FT. Estimação da volatilidade : uma aplicação utilizando dados intradiários. [Internet] [Thesis]. Universidade do Rio Grande do Sul; 2010. [cited 2019 Oct 20]. Available from: http://hdl.handle.net/10183/25153.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Milach FT. Estimação da volatilidade : uma aplicação utilizando dados intradiários. [Thesis]. Universidade do Rio Grande do Sul; 2010. Available from: http://hdl.handle.net/10183/25153

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

25. Sampson, Thomas W. Forecasting Short-Term Stock Returns Using Irregular Pricing Behavior in the Options Market.

Degree: MAin Economics, Economics, 2014, University of San Francisco

  This paper uses regression analysis to examine the relationship between today's implied volatility on AMD stock options with tomorrow's return on the underlying. An… (more)

Subjects/Keywords: Stock Market Forecasting; Implied Volatility; Regression; Auto-Regressive; Efficient Market Hypothesis; Insider Trading; Econometrics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Sampson, T. W. (2014). Forecasting Short-Term Stock Returns Using Irregular Pricing Behavior in the Options Market. (Thesis). University of San Francisco. Retrieved from https://repository.usfca.edu/thes/81

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Sampson, Thomas W. “Forecasting Short-Term Stock Returns Using Irregular Pricing Behavior in the Options Market.” 2014. Thesis, University of San Francisco. Accessed October 20, 2019. https://repository.usfca.edu/thes/81.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Sampson, Thomas W. “Forecasting Short-Term Stock Returns Using Irregular Pricing Behavior in the Options Market.” 2014. Web. 20 Oct 2019.

Vancouver:

Sampson TW. Forecasting Short-Term Stock Returns Using Irregular Pricing Behavior in the Options Market. [Internet] [Thesis]. University of San Francisco; 2014. [cited 2019 Oct 20]. Available from: https://repository.usfca.edu/thes/81.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Sampson TW. Forecasting Short-Term Stock Returns Using Irregular Pricing Behavior in the Options Market. [Thesis]. University of San Francisco; 2014. Available from: https://repository.usfca.edu/thes/81

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Texas A&M University

26. Dorta, Miguel. Quantile Forecasting of Commodity Futures' Returns: Are Implied Volatility Factors Informative?.

Degree: 2012, Texas A&M University

 This study develops a multi-period log-return quantile forecasting procedure to evaluate the performance of eleven nearby commodity futures contracts (NCFC) using a sample of 897… (more)

Subjects/Keywords: commodity futures; implied volatility; quantile regression; density forecasting; principal components analysis; log-returns; risk management.

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Dorta, M. (2012). Quantile Forecasting of Commodity Futures' Returns: Are Implied Volatility Factors Informative?. (Thesis). Texas A&M University. Retrieved from http://hdl.handle.net/1969.1/ETD-TAMU-2012-05-11193

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Dorta, Miguel. “Quantile Forecasting of Commodity Futures' Returns: Are Implied Volatility Factors Informative?.” 2012. Thesis, Texas A&M University. Accessed October 20, 2019. http://hdl.handle.net/1969.1/ETD-TAMU-2012-05-11193.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Dorta, Miguel. “Quantile Forecasting of Commodity Futures' Returns: Are Implied Volatility Factors Informative?.” 2012. Web. 20 Oct 2019.

Vancouver:

Dorta M. Quantile Forecasting of Commodity Futures' Returns: Are Implied Volatility Factors Informative?. [Internet] [Thesis]. Texas A&M University; 2012. [cited 2019 Oct 20]. Available from: http://hdl.handle.net/1969.1/ETD-TAMU-2012-05-11193.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Dorta M. Quantile Forecasting of Commodity Futures' Returns: Are Implied Volatility Factors Informative?. [Thesis]. Texas A&M University; 2012. Available from: http://hdl.handle.net/1969.1/ETD-TAMU-2012-05-11193

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

27. Srinivasan, K. An analysis of price volatility, trading volume and market depth of futures market in India; -.

Degree: Commerce, 2012, Pondicherry University

Many associate the financial market mostly with the equity market. The financial market is, of course, far broader, encompassing bonds, foreign exchange, real estate, commodities,… (more)

Subjects/Keywords: Forecasting; Trading Volume; Open Interest; Stock Futures Returns; Volatility; Modeling; GARCH Family Models

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APA (6th Edition):

Srinivasan, K. (2012). An analysis of price volatility, trading volume and market depth of futures market in India; -. (Thesis). Pondicherry University. Retrieved from http://shodhganga.inflibnet.ac.in/handle/10603/5536

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Srinivasan, K. “An analysis of price volatility, trading volume and market depth of futures market in India; -.” 2012. Thesis, Pondicherry University. Accessed October 20, 2019. http://shodhganga.inflibnet.ac.in/handle/10603/5536.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Srinivasan, K. “An analysis of price volatility, trading volume and market depth of futures market in India; -.” 2012. Web. 20 Oct 2019.

Vancouver:

Srinivasan K. An analysis of price volatility, trading volume and market depth of futures market in India; -. [Internet] [Thesis]. Pondicherry University; 2012. [cited 2019 Oct 20]. Available from: http://shodhganga.inflibnet.ac.in/handle/10603/5536.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Srinivasan K. An analysis of price volatility, trading volume and market depth of futures market in India; -. [Thesis]. Pondicherry University; 2012. Available from: http://shodhganga.inflibnet.ac.in/handle/10603/5536

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Universidade do Rio Grande do Sul

28. Santos, Douglas Gomes dos. Ensaios em econometria aplicada a finanças e macroeconomia utilizando a abordagem de regressão MIDAS.

Degree: 2014, Universidade do Rio Grande do Sul

 A abordagem de regressão MIDAS (Mixed Data Sampling), proposta por Ghysels et al. (2004), permite relacionar diretamente variáveis em freqüências distintas. Esta característica é particularmente… (more)

Subjects/Keywords: MIDAS regression approach; Econometria; Nonlinear MIDAS models; Volatilidade; Ativos financeiros; Forecasting; Finanças; Volatility; Economic activity

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Santos, D. G. d. (2014). Ensaios em econometria aplicada a finanças e macroeconomia utilizando a abordagem de regressão MIDAS. (Thesis). Universidade do Rio Grande do Sul. Retrieved from http://hdl.handle.net/10183/103954

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Santos, Douglas Gomes dos. “Ensaios em econometria aplicada a finanças e macroeconomia utilizando a abordagem de regressão MIDAS.” 2014. Thesis, Universidade do Rio Grande do Sul. Accessed October 20, 2019. http://hdl.handle.net/10183/103954.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Santos, Douglas Gomes dos. “Ensaios em econometria aplicada a finanças e macroeconomia utilizando a abordagem de regressão MIDAS.” 2014. Web. 20 Oct 2019.

Vancouver:

Santos DGd. Ensaios em econometria aplicada a finanças e macroeconomia utilizando a abordagem de regressão MIDAS. [Internet] [Thesis]. Universidade do Rio Grande do Sul; 2014. [cited 2019 Oct 20]. Available from: http://hdl.handle.net/10183/103954.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Santos DGd. Ensaios em econometria aplicada a finanças e macroeconomia utilizando a abordagem de regressão MIDAS. [Thesis]. Universidade do Rio Grande do Sul; 2014. Available from: http://hdl.handle.net/10183/103954

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Uppsala University

29. Nybrant, Arvid. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk.

Degree: Statistics, 2018, Uppsala University

  Value at Risk has over the last couple of decades become one of the most widely used measures of market risk. Several methods to… (more)

Subjects/Keywords: VaR; GARCH; Volatility Forecasting; Backtesting; Conditional Heteroscedasticity; Probability Theory and Statistics; Sannolikhetsteori och statistik

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Nybrant, A. (2018). Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-352381

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Nybrant, Arvid. “Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk.” 2018. Thesis, Uppsala University. Accessed October 20, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-352381.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Nybrant, Arvid. “Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk.” 2018. Web. 20 Oct 2019.

Vancouver:

Nybrant A. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk. [Internet] [Thesis]. Uppsala University; 2018. [cited 2019 Oct 20]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-352381.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Nybrant A. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk. [Thesis]. Uppsala University; 2018. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-352381

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Uppsala University

30. Enocksson, David. Evaluating VaR with the ARCH/GARCH Family.

Degree: Statistics, 2012, Uppsala University

  The aim of the thesis is to identify an appropriate model in forecasting Value-at-Risk on a morevolatile period than that one from which the… (more)

Subjects/Keywords: Value-at-Risk; ARCH; GARCH; GJR-GARCH; Exchange rates; Conditional Variance; Volatility Forecasting

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Enocksson, D. (2012). Evaluating VaR with the ARCH/GARCH Family. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-168283

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Enocksson, David. “Evaluating VaR with the ARCH/GARCH Family.” 2012. Thesis, Uppsala University. Accessed October 20, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-168283.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Enocksson, David. “Evaluating VaR with the ARCH/GARCH Family.” 2012. Web. 20 Oct 2019.

Vancouver:

Enocksson D. Evaluating VaR with the ARCH/GARCH Family. [Internet] [Thesis]. Uppsala University; 2012. [cited 2019 Oct 20]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-168283.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Enocksson D. Evaluating VaR with the ARCH/GARCH Family. [Thesis]. Uppsala University; 2012. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-168283

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

[1] [2] [3]

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