Volatility in the stock market: ANN versus parametric models

Forecasting and adequately measuring equity returns volatility is crucial for portfolio selection and trading strategies. Implied volatility is often considered to be informationally superior to the realized volatility. When available, implied volatility is largely used by practitioners and investor...

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Vydáno v:	Annals of operations research Ročník 299; číslo 1-2; s. 1101 - 1127
Hlavní autoři:	D’Ecclesia, Rita Laura, Clementi, Daniele
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	New York Springer US 01.04.2021 Springer Springer Nature B.V
Témata:	Autoregressive models Business and Management Combinatorics Comparative analysis Economic forecasting Equity Forecasts and trends Neural networks Operations research Operations Research/Decision Theory Parametric equations Parametric statistics Pricing S.I.: Recent Developments in Financial Modeling and Risk Management Securities markets Stock markets Technology application Theory of Computation Volatility Volatility (Finance) Italy GARCH models ANN C22 Heston model Conditional volatility G14 Implied volatility
ISSN:	0254-5330, 1572-9338
On-line přístup:	Získat plný text
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