Stochastic volatility is the unpredictable nature of asset price volatility over time. It's a flexible alternative to the Black Scholes' constant volatility assumption.
Abstract: Considering time-varying transition probability (TVTP), this article combines Markov regime switching with a dynamic conditional correlation generalized autoregressive conditional ...
Machine learning is reshaping the way portfolios are built, monitored, and adjusted. Investors are no longer limited to ...
More old(er) models walked on the runways this season, marking a step in the right direction for age representation. By Elizabeth Paton Old(er) models on the runway at Chloé, Balmain and Miu Miu ...
Kambouroudis DS, McMillan D & Tsakou K (2016) Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models. Journal ...
├── README.md <-- Main README file explaining the project's business case, │ methodology, and findings │ ├── Notebooks <-- Jupyter Notebooks for exploration and presentation │ └── Exploratory <-- ...
Abstract: Data that house topological information is manifested as relationships between multiple variables via a graph formulation. Various methods have been developed for analyzing time series on ...
Traditional GARCH models fail to explain at least two of the stylized facts found in financial series: the asymmetry of the distribution of errors and the leverage effect. The leverage effect stems ...
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