Forecasting volatility in the financial markets: a comparison of alternative distributional assumptions

2007 ◽  
Vol 17 (13) ◽  
pp. 1051-1060 ◽  
Author(s):  
I.-Yuan Chuang ◽  
Jin-Ray Lu ◽  
Pei-Hsuan Lee
Keyword(s):  
Financial Markets ◽  
Distributional Assumptions ◽  
Forecasting Volatility

Forecasting Volatility in Financial Markets

2010 ◽  
Vol 439-440 ◽  
pp. 679-682
Author(s):  
Hong Zhang ◽  
Shu Fang Li
Keyword(s):  
Financial Markets ◽  
Nearest Neighbors ◽  
September 11 ◽  
Experimental Results ◽  
Nearest Neighbour ◽  
Embedding Dimension ◽  
Traditional Methods ◽  
Modified Method ◽  
Forecasting Volatility ◽  
False Nearest Neighbors

In this paper, we analyze the stock of Tsingtao Brewery Co Ltd for the 8-year period, from July 31, 2001, to September 11, 2009, a total of 2003 trading days. Using the False Nearest Neighbors method, we obtain the embedding dimension m in the k-nearest neighbour Algorithm. In order to investigate the validity of this method, we apply the modified method to the daily adjusted opening values of the Tsingtao Brewery Co Ltd. We find that the prediction of experimental results is more accurate than traditional methods.

Forecasting Volatility in Financial Markets: A Review

2003 ◽  
Vol 41 (2) ◽  
pp. 478-539 ◽  
Author(s):  
Ser-Huang Poon ◽  
Clive W. J Granger
Keyword(s):  
Financial Markets ◽  
Forecasting Volatility

Forecasting Volatility in Financial Markets: A Review

CFA Digest ◽  
2004 ◽  
Vol 34 (1) ◽  
pp. 84-85 ◽  
Author(s):  
Frank T. Magiera
Keyword(s):  
Financial Markets ◽  
Forecasting Volatility

European Financial Markets and Institutions

2009 ◽  
Author(s):  
Jakob de Haan ◽  
Sander Oosterloo ◽  
Dirk Schoenmaker
Keyword(s):  
Financial Markets ◽  
Markets And Institutions
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