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Type: Outros documentos
Title: Evolving hybrid neural fuzzy network for realized volatility forecasting with jumps
Author: Rosa, Raul
Maciel, Leandro
Gomide, Fernando
Ballini, Rosangela
Abstract: Equity assets volatility modeling and forecasting are fundamental in risk management, portfolio construction, financial decision making and derivative pricing. The use of realized volatility models outperforms GARCH and related stochastic volatility model
Subject: Volatilidade (Finanças)
Avaliação de riscos
Derivativos (Finanças)
Índices de mercado de ações
Country: Estados Unidos
Editor: Institute of Electrical and Electronics Engineers
Rights: Fechado
Identifier DOI: 10.1109/CIFEr.2014.6924112
Date Issue: 2014
Appears in Collections:FEEC - Artigos e Outros Documentos
IE - Artigos e Outros Documentos

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