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Showing 1 to 4 of 4 for “"Volatility forecast"”.
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Volatility Forecasting and Value-at-Risk: An Application to Cattle Feeding
… error criteria, the overall conclusion of the volatility forecasting exercise mirrors that found in the literature: performance of any volatility forecast is both data and horizon specific. However, composite techniques, especially simple composites that combine both conditional time series and …
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Volatility and Price Information Contained in Selected Agricultural Futures Options
This dissertation assesses the volatility and price information contained in selected agricultural futures options with respect to three important dimensions: (1) forecasts of future levels of volatility, (2) forecasts of the direction and magnitude of changes in future volatility, and (3) …
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Volatility and return forecasting : time series and options-based methods
This thesis attempts to model and forecast returns and realized volatility using two different methods: time series models that exploit the historical information set and options-based approach that provides a natural forecast of return variation from listed option prices. Both univariate and …
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Pronóstico de volatilidad de la TRM mediante un modelo híbrido LSTM-GARCH
En este trabajo se propone un modelo híbrido LSTM-GARCH para el pronóstico de la volatilidad de la tasa representativa del mercado (TRM). Este modelo es una red neuronal recurrente LSTM, en la cual se incluyen como variables explicativas los coeficientes de modelos de series de tiempo GARCH, EGARCH …