Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
create a website

Modeling and Forecasting Intraday Market Returns: a Machine Learning Approach. (2021). Medeiros, Marcelo C ; Ferreira, Iuri H.
In: Papers.
RePEc:arx:papers:2112.15108.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 15

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Bekaert, G. and M. Hoerova (2014). The VIX, the variance premium and stock market volatility. Journal of Econometrics 183(2), 181–192.

  2. Bollerslev, T., G. Tauchen, and H. Zhou (2009). Expected Stock Returns and Variance Risk Premia. Review of Financial Studies 22(11), 4463–4492.

  3. Breiman, L. (2001). Random forests. Machine Learning 45(1), 5–32.
    Paper not yet in RePEc: Add citation now
  4. Campbell, J. Y. and S. B. Thompson (2008). Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? Review of Financial Studies 21(4), 1509–1531.

  5. Chen, L., M. Pelger, and J. Zhu (2019). Deep learning in asset pricing. Technical Report 3350138, SSRN.
    Paper not yet in RePEc: Add citation now
  6. Chinco, A., A. D. Clark-Joseph, and M. Ye (2019). Sparse Signals in the Cross-Section of Returns. Journal of Finance 74(1), 449–492.

  7. Corsi, F. (2009). A simple approximate long-memory model of realized volatility. Journal of Financial Econometrics 7(2), 174–196.

  8. Fernandes, M., M. Medeiros, and M. Scharth (2014). Modeling and predicting the CBOE market volatility index. Journal of Banking & Finance 40(C), 1–10.

  9. Hochreiter, S. and J. Schmidhuber (1997). Long short-term memory. Neural Computation 9, 1735–1780.
    Paper not yet in RePEc: Add citation now
  10. Martin, I. (2017). What is the expected return on the market? The Quarterly Journal of Economics 132(1), 367–433.

  11. Masini, R. P., M. C. Medeiros, and E. F. Mendes (2021). Machine learning advances for time series forecasting. Journal of Economic Surveys. forthcoming.

  12. McAleer, M. and M. C. Medeiros (2008). Realized volatility: A review. Econometric Reviews 27(1-3), 10–45.

  13. Medeiros, M. C., G. Vasconcelos, A. Veiga, and E. Zilberman (2021). Forecasting inflation in a data-rich environment: The benefits of machine learning methods. Journal of Business and Economic Statistics 39, 98–119.

  14. Patton, A. J. and K. Sheppard (2015). Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility. The Review of Economics and Statistics 97(3), 683–697.

  15. Welch, I. and A. Goyal (2008). A comprehensive look at the empirical performance of equity premium prediction. Review of Financial Studies 21(4), 1455–1508.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Deflationary financial shocks and inflationary uncertainty shocks: an SVAR Investigation. (2022). van der Veken, Wouter ; de Santis, Roberto A.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20222727.

    Full description at Econpapers || Download paper

  2. Attention-grabbing IPOs in early stages for IT firms: An empirical analysis of post-IPO performance. (2020). Kwon, Youngok ; Chang, Young Bong.
    In: Journal of Business Research.
    RePEc:eee:jbrese:v:109:y:2020:i:c:p:111-119.

    Full description at Econpapers || Download paper

  3. Forecasting realized volatility: HAR against Principal Components Combining, neural networks and GARCH. (2017). Vortelinos, Dimitrios I.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:39:y:2017:i:pb:p:824-839.

    Full description at Econpapers || Download paper

  4. The joint cross-sectional variation of equity returns and volatilities. (2017). Gonzalez-Urteaga, Ana ; Rubio, Gonzalo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:75:y:2017:i:c:p:17-34.

    Full description at Econpapers || Download paper

  5. Macroeconomic experiences and risk taking of euro area households. (2017). Ehrmann, Michael ; Ampudia Fraile, Miguel.
    In: European Economic Review.
    RePEc:eee:eecrev:v:91:y:2017:i:c:p:146-156.

    Full description at Econpapers || Download paper

  6. Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

    Full description at Econpapers || Download paper

  7. Foreign Booms, Domestic Busts: The Global Dimension of Banking Crises. (2017). Thwaites, Gregory ; Eguren Martin, Fernando ; Cesa-Bianchi, Ambrogio.
    In: Discussion Papers.
    RePEc:cfm:wpaper:1708.

    Full description at Econpapers || Download paper

  8. Market volatility, monetary policy and the term premium. (2017). Mohanty, Madhusudan ; Mallick, Sushanta ; Zampolli, Fabrizio .
    In: BIS Working Papers.
    RePEc:bis:biswps:606.

    Full description at Econpapers || Download paper

  9. Expected Currency Returns and Volatility Risk Premia. (2017). ORNELAS, JOSE ; Haas, Jose Renato.
    In: Working Papers Series.
    RePEc:bcb:wpaper:454.

    Full description at Econpapers || Download paper

  10. Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability. (2017). Violante, Francesco ; Stentoft, Lars.
    In: CREATES Research Papers.
    RePEc:aah:create:2017-10.

    Full description at Econpapers || Download paper

  11. Systemic co-jumps. (2016). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Alexey .
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:149.

    Full description at Econpapers || Download paper

  12. On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:03-2016.

    Full description at Econpapers || Download paper

  13. Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory. (2016). Ghysels, Eric ; Colacito, Riccardo ; Siwasarit, Wasin ; Meng, Jinghan .
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:29:y:2016:i:8:p:2069-2109..

    Full description at Econpapers || Download paper

  14. Macroeconomic effects of financial stress and the role of monetary policy: a VAR analysis for the euro area. (2016). Kremer, Manfred.
    In: International Economics and Economic Policy.
    RePEc:kap:iecepo:v:13:y:2016:i:1:d:10.1007_s10368-015-0325-z.

    Full description at Econpapers || Download paper

  15. Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael .
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-571.

    Full description at Econpapers || Download paper

  16. Option-implied term structures. (2016). Vogt, Erik.
    In: Staff Reports.
    RePEc:fip:fednsr:706.

    Full description at Econpapers || Download paper

  17. Does variance risk have two prices? Evidence from the equity and option markets. (2016). Malkhozov, Aytek.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:121:y:2016:i:1:p:79-92.

    Full description at Econpapers || Download paper

  18. Quadratic variance swap models. (2016). Filipovi, Damir ; Mancini, Loriano ; Gourier, Elise .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:119:y:2016:i:1:p:44-68.

    Full description at Econpapers || Download paper

  19. Credit constraints and the international propagation of US financial shocks. (2016). Metiu, Norbert ; Grill, Michael ; Hilberg, Bjorn .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:72:y:2016:i:c:p:67-80.

    Full description at Econpapers || Download paper

  20. What do asset prices have to say about risk appetite and uncertainty?. (2016). Hoerova, Marie ; Bekaert, Geert.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:67:y:2016:i:c:p:103-118.

    Full description at Econpapers || Download paper

  21. How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns. (2016). Skiadopoulos, George ; Konstantinidi, Eirini.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:62:y:2016:i:c:p:62-75.

    Full description at Econpapers || Download paper

  22. Extreme asymmetric volatility: Stress and aggregate asset prices. (2016). Wagner, Niklas ; Aboura, Sofiane.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:41:y:2016:i:c:p:47-59.

    Full description at Econpapers || Download paper

  23. The impact of political risk on return, volatility and discontinuity: Evidence from the international stock and foreign exchange markets. (2016). Vortelinos, Dimitrios I ; Saha, Shrabani.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:17:y:2016:i:c:p:222-226.

    Full description at Econpapers || Download paper

  24. On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:193:y:2016:i:2:p:367-389.

    Full description at Econpapers || Download paper

  25. Exploiting the errors: A simple approach for improved volatility forecasting. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:192:y:2016:i:1:p:1-18.

    Full description at Econpapers || Download paper

  26. Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression. (2016). Baruník, Jozef ; Hlinkova, Michaela ; Barunik, Jozef.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:54:y:2016:i:c:p:503-514.

    Full description at Econpapers || Download paper

  27. Credit constraints and the international propagation of US financial shocks. (2016). Metiu, Norbert ; Grill, Michael ; Hilberg, Bjorn .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20161954.

    Full description at Econpapers || Download paper

  28. Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets. (2016). Podstawski, Maximilian ; Große Steffen, Christoph.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1602.

    Full description at Econpapers || Download paper

  29. Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds. (2016). Vogt, Erik ; Crump, Richard ; Adrian, Tobias.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11401.

    Full description at Econpapers || Download paper

  30. On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11307.

    Full description at Econpapers || Download paper

  31. Financial market volatility, macroeconomic fundamentals and investor sentiment. (2016). Stoja, Evarist ; Harris, Richard ; Chiu, Ching-Wai (Jeremy).
    In: Bank of England working papers.
    RePEc:boe:boeewp:0608.

    Full description at Econpapers || Download paper

  32. Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael .
    In: CREATES Research Papers.
    RePEc:aah:create:2016-17.

    Full description at Econpapers || Download paper

  33. Financial connectedness among European volatility risk premia. (2015). cipollini, andrea ; Muzzioli, Silvia ; lo Cascio, Iolanda.
    In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance).
    RePEc:mod:wcefin:15112.

    Full description at Econpapers || Download paper

  34. Asset Return Dynamics under Habits and Bad-Environment Good-Environment Fundamentals. (2015). Bekaert, Geert ; Engstrom, Eric.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2015-53.

    Full description at Econpapers || Download paper

  35. The response of stock market volatility to futures-based measures of monetary policy shocks. (2015). Gospodinov, Nikolay ; Jamali, Ibrahim.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:37:y:2015:i:c:p:42-54.

    Full description at Econpapers || Download paper

  36. Tail risk premia and return predictability. (2015). Bollerslev, Tim ; Xu, Lai ; Todorov, Viktor.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:118:y:2015:i:1:p:113-134.

    Full description at Econpapers || Download paper

  37. Risk aversion and monetary policy in a global context. (2015). Nave, Juan M ; Ruiz, Javier .
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:20:y:2015:i:c:p:14-35.

    Full description at Econpapers || Download paper

  38. Volatility-of-volatility and tail risk hedging returns. (2015). Park, Yang-Ho .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:26:y:2015:i:c:p:38-63.

    Full description at Econpapers || Download paper

  39. Volatility co-movements: A time-scale decomposition analysis. (2015). cipollini, andrea ; Muzzioli, Silvia ; lo Cascio, Iolanda.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:34:y:2015:i:c:p:34-44.

    Full description at Econpapers || Download paper

  40. Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market. (2015). Wu, Eliza ; ter Ellen, Saskia ; He, Xuezhong ; Chiarella, Carl.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:32:y:2015:i:c:p:19-34.

    Full description at Econpapers || Download paper

  41. The variance risk premium and fundamental uncertainty. (2015). Conrad, Christian ; Loch, Karin .
    In: Economics Letters.
    RePEc:eee:ecolet:v:132:y:2015:i:c:p:56-60.

    Full description at Econpapers || Download paper

  42. A global factor in variance risk premia and local bond pricing. (2015). Roberts-Sklar, Matt ; Kaminska, Iryna.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0576.

    Full description at Econpapers || Download paper

  43. Volatility contagion: new evidence from market pricing of volatility risk. (2015). Raczko, Marek.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0552.

    Full description at Econpapers || Download paper

  44. Does variance risk have two prices? Evidence from the equity and option markets. (2015). Malkhozov, Aytek.
    In: BIS Working Papers.
    RePEc:bis:biswps:521.

    Full description at Econpapers || Download paper

  45. The Variance Risk Premium and Fundamental Uncertainty. (2015). Conrad, Christian ; Loch, Karin .
    In: Working Papers.
    RePEc:awi:wpaper:0583.

    Full description at Econpapers || Download paper

  46. Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting. (2015). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-14.

    Full description at Econpapers || Download paper

  47. Global Variance Risk Premium and Forex Return Predictability. (2014). Aloosh, Arash.
    In: MPRA Paper.
    RePEc:pra:mprapa:59931.

    Full description at Econpapers || Download paper

  48. Volatility risk premia and financial connectedness. (2014). Muzzioli, Silvia ; cipollini, andrea ; lo Cascio, Iolanda.
    In: Center for Economic Research (RECent).
    RePEc:mod:recent:109.

    Full description at Econpapers || Download paper

  49. Volatility risk premia and financial connectedness. (2014). Muzzioli, Silvia ; cipollini, andrea ; lo Cascio, Iolanda.
    In: Department of Economics.
    RePEc:mod:depeco:0047.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-03-04 13:33:22 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.