Search results for "volatility"

Hits ?▲	Authors	Title	Venue	Year	Link	Author keywords
144	Xinwu Zhang, Yan Wang, Handong Li	The Contrast of Parametric and Nonparametric Volatility Measurement Based on Chinese Stock Market.	Complex (1)	2009	DBLP DOI BibTeX RDF	realized volatility, volatility measurement, conditional distribution, GARCH
105	Xiong-Fei Zhuang, Lai-Wan Chan	Volatility Forecasts in Financial Time Series with HMM-GARCH Models.	IDEAL	2004	DBLP DOI BibTeX RDF
104	Nikolay Archak, Panagiotis G. Ipeirotis	Modeling volatility in prediction markets.	EC	2009	DBLP DOI BibTeX RDF	binary option, forecasting, prediction market, volatility
104	Annabella Loconsole, Jürgen Börstler	An Industrial Case Study on Requirements Volatility Measures.	APSEC	2005	DBLP DOI BibTeX RDF	Volatility Measures, Requirements, Case Study, Empirical Validation, Use Case Model
94	Young-Woo Kwon 0001, Eli Tilevich, Taweesup Apiwattanapong	DR-OSGi: Hardening Distributed Components with Network Volatility Resiliency.	Middleware	2009	DBLP DOI BibTeX RDF	Distributed Component Architectures, Network Volatility, Aspect Oriented Programming, OSGi, R-OSGi
85	Evelyn J. Barry	Software Evolution, Volatility and Lifecycle Maintenance Patterns: A Longitudinal Analysis.	ICSM	2002	DBLP DOI BibTeX RDF
83	Nur Nurmuliani, Didar Zowghi, Sue Fowell	Analysis of Requirements Volatility during Software Development Life Cycle.	Australian Software Engineering Conference	2004	DBLP DOI BibTeX RDF	taxonomy of change, causal analysis, requirements volatility
74	Akvilina Valaityte, Eimutis Valakevicius	Stochastic Volatility Models and Option Prices.	International Conference on Computational Science (4)	2006	DBLP DOI BibTeX RDF
73	Dapeng Liu, Qing Wang 0001, Junchao Xiao, Juan Li 0001, Huaizhang Li	RVSim: A Simulation Approach to Predict the Impact of Requirements Volatility on Software Project Plans.	ICSP	2008	DBLP DOI BibTeX RDF	Requirements Dependency, Risk Management, Requirements Traceability, Software Process Simulation, Requirements Volatility
73	Didar Zowghi, Nur Nurmuliani	A Study of the Impact of Requirements Volatility on Software Project Performance.	APSEC	2002	DBLP DOI BibTeX RDF	changing requirements, software project performance, requirements volatility
73	Peter Tiño, Christian Schittenkopf, Georg Dorffner	Volatility Trading ia Temporal Pattern Recognition in Quantised Financial Time Series.	Pattern Anal. Appl.	2001	DBLP BibTeX RDF	Prediction suffix trees, Straddle, Markov models, Options, Volatility, Fractal geometry
64	Carolyn R. Watters, Bonnie MacKay	Transformation Volatility and the Gateway Model for Web Page Migration to Small Screen Devices.	HICSS	2004	DBLP DOI BibTeX RDF
63	Monica Chiarini Tremblay, Donald J. Berndt, Alan R. Hevner	Measuring information volatility in a health care information supply chain.	DESRIST	2009	DBLP DOI BibTeX RDF	decision science research, information volatility, metrics, decision support systems, business intelligence, focus groups
63	Victor Fang, Vincent C. S. Lee, Yee Choon Lim	Volatility Transmission Between Stock and Bond Markets: Evidence from US and Australia.	IDEAL	2005	DBLP DOI BibTeX RDF	Comovement, volatility transmission, conditional varaince, GARCH (1,1)
63	Edmond H. C. Wu, Philip L. H. Yu	Volatility Modelling of Multivariate Financial Time Series by Using ICA-GARCH Models.	IDEAL	2005	DBLP DOI BibTeX RDF	Financial Engineering, ICA, Volatility, Multivariate Time Series, GARCH
63	Gordon H. Dash, Choudary R. Hanumara, Nina Kajiji	Neural network architectures for efficient modeling of FX futures options volatility.	Oper. Res.	2003	DBLP DOI BibTeX RDF	FX Futures Options Volatility, Radial Basis Function, GARCH
61	Paul E. Lynch, Nigel M. Allinson	Adaptive Filtering for GARCH Models.	IDEAL	2002	DBLP DOI BibTeX RDF
60	Bao Rong Chang, Hsiu Fen Tsai	Quantum minimization for adapting ANFIS outputs to its nonlinear generalized autoregressive conditional heteroscedasticity.	Appl. Intell.	2009	DBLP DOI BibTeX RDF	ANFIS/NGARCH composite model, Quantum minimization, Overshoot effect, Volatility clustering, Nonlinear heteroscedasticity, Time-series prediction
60	Juha Savolainen, Juha Kuusela	Violatility analysis framework for product lines.	SSR	2001	DBLP DOI BibTeX RDF	volatility analysis, requirements engineering, evolution, variability, product line, domain analysis, commonality
54	Arunachalam Chockalingam, Kumar Muthuraman	American option pricing under stochastic volatility: a simulation-based approach.	WSC	2007	DBLP DOI BibTeX RDF
54	Derrick Kondo, Gilles Fedak, Franck Cappello, Andrew A. Chien, Henri Casanova	On Resource Volatility in Enterprise Desktop Grids.	e-Science	2006	DBLP DOI BibTeX RDF
54	Bo-Hyun Kim, Daewon Lee, Jaewook Lee 0001	Local Volatility Function Approximation Using Reconstructed Radial Basis Function Networks.	ISNN (2)	2006	DBLP DOI BibTeX RDF
54	Fan-Yong Liu, Fan-Xin Liu	Currency Options Volatility Forecasting with Shift-Invariant Wavelet Transform and Neural Networks.	ICONIP (3)	2006	DBLP DOI BibTeX RDF
54	Lan-Jun Lao	Volatility Patterns of Industrial Stock Price Indices in the Chinese Stock Market.	ICMLC	2005	DBLP DOI BibTeX RDF
53	Turan G. Bali	Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions.	Ann. Oper. Res.	2007	DBLP DOI BibTeX RDF	Modeling interest rates, Stochastic volatility, Interest rate options, Diffusions, GARCH
53	Irwin Ma, Tony Wong, Thiagas Sankar	Volatility forecasting using time series data mining and evolutionary computation techniques.	GECCO	2007	DBLP DOI BibTeX RDF	S&P 100, financial volatility, genetic algorithm, data mining, genetic programming, forecasting
53	Zhifeng Hao, Han Huang 0002, Yong Qin, Ruichu Cai	An ACO Algorithm with Adaptive Volatility Rate of Pheromone Trail.	International Conference on Computational Science (4)	2007	DBLP DOI BibTeX RDF	pheromone trail, adaptive volatility rate, Ant colony optimization
51	Phillip G. Bradford, Alina Olteanu	Issues in Simulation for Valuing Long-Term Forwards.	SCSS (1)	2007	DBLP DOI BibTeX RDF
50	Ling-Bing Tang, Huan-Ye Sheng, Ling-Xiao Tang	GARCH prediction using spline wavelet support vector machine.	Neural Comput. Appl.	2009	DBLP DOI BibTeX RDF	Volatility forecasting, Spline wavelet support vector machine, GARCH
50	Tetsuya Takaishi	Financial Time Series Analysis of SV Model by Hybrid Monte Carlo.	ICIC (1)	2008	DBLP DOI BibTeX RDF	Hybrid Monte Carlo Algorithm, Stochastic Volatility Model, Financial Data Analysis, Bayesian Inference, Markov Chain Monte Carlo
44	Yuming Ou, Longbing Cao, Ting Yu 0008, Chengqi Zhang	Detecting Turning Points of Trading Price and Return Volatility for Market Surveillance Agents.	Web Intelligence/IAT Workshops	2007	DBLP DOI BibTeX RDF
44	Markus Hahn, Wolfgang Putschögl, Jörn Sass	Parameter Estimation for Stock Models with Non-Constant Volatility Using Markov Chain Monte Carlo Methods.	OR	2006	DBLP DOI BibTeX RDF
44	Tae Hyup Roh	Forecasting the Volatility of Stock Price Index.	ADMA	2006	DBLP DOI BibTeX RDF
44	Giuseppe Campolieti, Roman N. Makarov	Parallel Lattice Implementation for Option Pricing under Mixed State-Dependent Volatility Models.	HPCS	2005	DBLP DOI BibTeX RDF
44	Bernard Fong, Alvis Cheuk M. Fong, Guan Y. Hong, Louisa Wong	An Empirical Study of Volatility Predictions: Stock Market Analysis Using Neural Networks.	WINE	2005	DBLP DOI BibTeX RDF
44	Ashish Jain	Convergence of strikes in variance and volatility swaps.	WSC	2005	DBLP BibTeX RDF
44	Magdalena Broszkiewicz, Aleksander Janicki	Exotic Option Prices Simulated by Monte Carlo Method on Market Driven by Diffusion with Poisson Jumps and Stochastic Volatility.	International Conference on Computational Science (3)	2005	DBLP DOI BibTeX RDF
44	Felix Chan, Dora Vasileva Marinova, Michael McAleer	Modelling the asymmetric volatility of anti-pollution patents in the USA.	Scientometrics	2004	DBLP DOI BibTeX RDF
44	Irwin Ma, Tony Wong, Thiagas Sankar, Raymond Siu	Forecasting the volatility of a financial index by wavelet transform and evolutionary algorithm.	SMC (6)	2004	DBLP DOI BibTeX RDF
44	Chokri Slim	Forecasting the Volatility of Stock Index Returns: A Stochastic Neural Network Approach.	ICCSA (3)	2004	DBLP DOI BibTeX RDF
44	David M. Pooley, Peter A. Forsyth, Kenneth R. Vetzal	Two Factor Option Pricing with Uncertain Volatility.	ICCSA (3)	2003	DBLP DOI BibTeX RDF
44	Victor Neimeyer	Forecasting Long-Term Electric Price Volatility for Valuation of Real Power Options.	HICSS	2000	DBLP DOI BibTeX RDF
44	Fernando Alvarado, Rajesh Rajaraman	Understanding Price Volatility in Electricity Markets.	HICSS	2000	DBLP DOI BibTeX RDF	electricity spot pricing, risk management
42	Mehdi Hosseini 0001	A study on performance volatility in information retrieval.	SIGIR	2009	DBLP DOI BibTeX RDF	evaluation, prediction, volatility
42	Chunxia Yang, Yingchao Zhang, Hongfa Wu, Peiling Zhou	The Origin of Volatility Cascade of the Financial Market.	International Conference on Computational Science (4)	2007	DBLP DOI BibTeX RDF	financial market model, self-organization, cascade, volatility, multifractal
41	Bao Rong Chang	Novel Prediction Approach - Quantum-Minimum Adaptation to ANFIS Outputs and Nonlinear Generalized Autoregressive Conditional Heteroscedasticity.	FSKD	2006	DBLP DOI BibTeX RDF
41	Roland Mestel, Henryk Gurgul, Pawel Majdosz	On the Empirical Linkages between Stock Prices and Trading Activity on the German Stock Market.	OR	2004	DBLP DOI BibTeX RDF
41	George Bosilca, Aurélien Bouteiller, Franck Cappello, Samir Djilali, Gilles Fedak, Cécile Germain, Thomas Hérault, Pierre Lemarinier, Oleg Lodygensky, Frédéric Magniette, Vincent Néri, Anton Selikhov	MPICH-V: toward a scalable fault tolerant MPI for volatile nodes.	SC	2002	DBLP DOI BibTeX RDF
40	Henghsiu Tsai, Kung-Sik Chan	A note on the non-negativity of continuous-time ARMA and GARCH processes.	Stat. Comput.	2009	DBLP DOI BibTeX RDF	Lévy process, Global optimization, Kernel, DIRECT, Volatility
40	Fengzhong Wang, Kazuko Yamasaki, Shlomo Havlin, Harry Eugene Stanley	Return Intervals Approach to Financial Fluctuations.	Complex (1)	2009	DBLP DOI BibTeX RDF	Financial marekts, Econophysics, Return interval, Long-term correlation, Scaling, Volatility
40	Bao Rong Chang, Hsiu Fen Tsai	Composite of adaptive support vector regression and nonlinear conditional heteroscedasticity tuned by quantum minimization for forecasts.	Appl. Intell.	2007	DBLP DOI BibTeX RDF	Adaptive support vector regression, Volatility clustering, Nonlinear generalized autoregressive conditional heteroscedasticity, Quantum minimization
40	Shi-Jie Deng, Wenjiang Jiang	An Inverse-Quantile Function Approach for Modeling Electricity Price.	HICSS	2002	DBLP DOI BibTeX RDF	Electricity market signals, Electricity option pricing, Stochastic volatility, Risk management
38	Sanae Rujivan	Valuation of volatility derivatives with time-varying volatility: An analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case.	J. Comput. Appl. Math.	2023	DBLP DOI BibTeX RDF
38	Sanae Rujivan, Udomsak Rakwongwan	Analytically pricing volatility swaps and volatility options with discrete sampling: Nonlinear payoff volatility derivatives.	Commun. Nonlinear Sci. Numer. Simul.	2021	DBLP DOI BibTeX RDF
33	Romain Pierrot, Hongyan Liu	The Influence of Volume and Volatility on Predicting Shanghai Stock Exchange Trends.	FSKD (1)	2008	DBLP DOI BibTeX RDF
33	Liyan Geng, Junhai Ma	TSK Fuzzy Inference System Based GARCH Model for Forecasting Exchange Rate Volatility.	FSKD (3)	2008	DBLP DOI BibTeX RDF
33	Annabella Loconsole, Jürgen Börstler	Are Size Measures Better Than Expert Judgment? An Industrial Case Study on Requirements Volatility.	APSEC	2007	DBLP DOI BibTeX RDF
33	Szymon Borak, Matthias Fengler, Wolfgang Hiirdle	DSFM fitting of Implied Volatility Surfaces.	ISDA	2005	DBLP DOI BibTeX RDF
33	Helmut Berrer, Christian Helmenstein, Wolfgang Polasek	Stochastic Ranking and the Volatility "Croissant": A Sensitivity Analysis of Economic Rankings.	GfKl	2004	DBLP DOI BibTeX RDF
33	Timothy Mount	Market Power and Price Volatility in Restructured Markets for Electricity.	HICSS	1999	DBLP DOI BibTeX RDF
33	Shmuel S. Oren, Alva J. Svoboda, Raymond B. Johnson	Volatility of Unit Commitment in Competitive Electricity Markets.	HICSS (5)	1997	DBLP DOI BibTeX RDF
31	Virgilijus Sakalauskas, Dalia Kriksciuniene	Research of the Calendar Effects in Stock Returns.	BIS (Workshops)	2009	DBLP DOI BibTeX RDF	calendar effect, F-test, mean return, Kolmogorov-Smirnov test, stock market
31	Ramazan Gencay, Rajna Gibson	Model Risk for European-Style Stock Index Options.	IEEE Trans. Neural Networks	2007	DBLP DOI BibTeX RDF
31	Bao Rong Chang, Hsiu Fen Tsai	Forecasting Approach Using Hybrid Model ASVR/NGARCH with Quantum Minimization.	ICIC (2)	2007	DBLP DOI BibTeX RDF	adaptive support vector regression, nonlinear generalized autoregressive conditional heteroscedasticity, quantum minimization
31	Sangwook Lee, Jusang Lee, Daeyoung Shim, Moongu Jeon	Binary Particle Swarm Optimization for Black-Scholes Option Pricing.	KES (1)	2007	DBLP DOI BibTeX RDF	Black-Scholes option pricing, bit change mutation, binary particle swarm optimization
31	Peter Carr 0002, Vadim Linetsky	A jump to default extended CEV model: an application of Bessel processes.	Finance Stochastics	2006	DBLP DOI BibTeX RDF	JEL Classification G12, G13
31	Lea Bloechlinger	A Coherent Spot/Forward Price Model with Regime-Switching.	OR	2006	DBLP DOI BibTeX RDF
31	Evelyn J. Barry, Chris F. Kemerer, Sandra Slaughter	On the Uniformity of Software Evolution Patterns.	ICSE	2003	DBLP DOI BibTeX RDF
31	Panayiotis Ch. Andreou, Chris Charalambous, Spiros H. Martzoukos	Critical Assessment of Option Pricing Methods Using Artificial Neural Networks.	ICANN	2002	DBLP DOI BibTeX RDF
30	Miguel A. Jiménez-Montaño, Matthew He	Irreplaceable Amino Acids and Reduced Alphabets in Short-Term and Directed Protein Evolution.	ISBRA	2009	DBLP DOI BibTeX RDF	Codon volatility, amino acid changeability, genetic mutations, reduced alphabet
30	Panayiotis Ch. Andreou, Chris Charalambous, Spiros H. Martzoukos	European Option Pricing by Using the Support Vector Regression Approach.	ICANN (1)	2009	DBLP DOI BibTeX RDF	implied volatility, non-parametric methods, support vector regression, Option pricing
30	C.-S. Huang, C.-H. Hung, Song Wang 0004	A Fitted Finite Volume Method for the Valuation of Options on Assets with Stochastic Volatilities.	Computing	2006	DBLP DOI BibTeX RDF	Black-Scholes equation, stochastic volatility, option pricing, finite volume method
30	David B. Lowe	Web system requirements: an overview.	Requir. Eng.	2003	DBLP DOI BibTeX RDF	Domain uncertainty, Online systems, Requirements, Web systems, Volatility
30	T. H. Merrett	Database Cost Analysis: a Top-Down Approach.	SIGMOD Conference	1977	DBLP DOI BibTeX RDF	acquisition cost, database analysis, deterioration, file organization model, reorganization cost, retrieval cost, usage distribution, data structure, activity, cost analysis, volatility, database performance, storage cost
26	Tianxiu Zhang, Zhijian Cui	Is R&D Volatility Conducive to Innovation? Distinguishing the Antecedents of Volatility.	IEEE Trans. Engineering Management	2024	DBLP DOI BibTeX RDF
26	Sha Lin, Xin-Jiang He	Analytically pricing variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching.	Expert Syst. Appl.	2023	DBLP DOI BibTeX RDF
26	Emmanuel Djanga, Mihai Cucuringu, Chao Zhang	Cryptocurrency volatility forecasting using commonality in intraday volatility.	ICAIF	2023	DBLP DOI BibTeX RDF
26	Ivaylo V. Boyoukliev, Hristina N. Kulina, Snezhana Georgieva Gocheva-Ilieva	Forecasting Volatility of Bank Deposits of Individuals Using Hybrid Arcing -ARIMA Approach: Forecasting Volatility of Bank Deposits.	ICoMS	2023	DBLP DOI BibTeX RDF
26	Xin-Jiang He, Song-Ping Zhu	Analytical pricing formulae for variance and volatility swaps with a new stochastic volatility and interest rate model.	Expert Syst. Appl.	2022	DBLP DOI BibTeX RDF
26	Mathieu Rosenbaum, Jianfei Zhang	On the universality of the volatility formation process: when machine learning and rough volatility agree.	CoRR	2022	DBLP DOI BibTeX RDF
26	Elisa Alòs, Frido Rolloos, Kenichiro Shiraya	On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility.	SIAM J. Financial Math.	2021	DBLP DOI BibTeX RDF
26	Blanka Horvath, Antoine Jacquier, Peter Tankov	Volatility Options in Rough Volatility Models.	SIAM J. Financial Math.	2020	DBLP DOI BibTeX RDF
26	Ben-Zhang Yang, Jia Yue, Ming-hui Wang, Nan-Jing Huang	Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity.	Appl. Math. Comput.	2019	DBLP DOI BibTeX RDF
26	Ji Won Shin, Dong Wan Shin	Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility.	Commun. Stat. Simul. Comput.	2019	DBLP DOI BibTeX RDF
26	Qifa Xu, Zhongpu Bo, Cuixia Jiang, Yezheng Liu 0001	Does Google search index really help predicting stock market volatility? Evidence from a modified mixed data sampling model on volatility.	Knowl. Based Syst.	2019	DBLP DOI BibTeX RDF
26	Saejoon Kim	Volatility forecasting for low-volatility portfolio selection in the US and the Korean equity markets.	J. Exp. Theor. Artif. Intell.	2018	DBLP DOI BibTeX RDF
26	Xin-Jiang He, Song-Ping Zhu	A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate.	Comput. Math. Appl.	2018	DBLP DOI BibTeX RDF
26	Rui Li 0060, Jun Wang 0075	Symbolic complexity of volatility duration and volatility difference component on voter financial dynamics.	Digit. Signal Process.	2017	DBLP DOI BibTeX RDF
26	Chih-Tung Hsiao, Dong-Shang Chang, Shu-Ming Liu	Complex relationships among firm risk, asymmetric volatility, volatility skew, and the leverage effect.	Complex.	2016	DBLP DOI BibTeX RDF
26	José E. Figueroa-López, Sveinn Ólafsson	Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps.	Finance Stochastics	2016	DBLP DOI BibTeX RDF
26	Ornanong Puarattanaarunkorn, Teera Kiatmanaroch, Songsak Sriboonchitta	Dependence Between Volatility of Stock Price Index Returns and Volatility of Exchange Rate Returns Under QE Programs: Case Studies of Thailand and Singapore.	Causal Inference in Econometrics	2016	DBLP DOI BibTeX RDF
26	Tyrone E. Duncan, Jacek Jakubowski, Bozenna Pasik-Duncan	Stochastic volatility models with volatility driven by fractional Brownian motions.	Commun. Inf. Syst.	2015	DBLP DOI BibTeX RDF
26	José Da Fonseca, Alessandro Gnoatto, Martino Grasselli	Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models.	Oper. Res. Lett.	2015	DBLP DOI BibTeX RDF
26	Hsuan-Ku Liu	Properties of American Volatility Options in the Mean-Reverting 3/2 Volatility Model.	SIAM J. Financial Math.	2015	DBLP DOI BibTeX RDF
26	Song-Ping Zhu, Guang-Hua Lian	Analytically pricing volatility swaps under stochastic volatility.	J. Comput. Appl. Math.	2015	DBLP DOI BibTeX RDF
26	Ariful Hoque, Chandra Krishnamurti	Modeling moneyness volatility in measuring exchange rate volatility.	CIFEr	2011	DBLP DOI BibTeX RDF
26	Hung-Chun Liu, Jui-Cheng Hung	Forecasting S&P-100 stock index volatility: The role of volatility asymmetry and distributional assumption in GARCH models.	Expert Syst. Appl.	2010	DBLP DOI BibTeX RDF
26	Rahul Thakurta, Frederik Ahlemann	Understanding Requirements Volatility in Software Projects - An Empirical Investigation of Volatility Awareness, Management Approaches and their Applicability.	HICSS	2010	DBLP DOI BibTeX RDF
26	Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe	Estimating stochastic volatility models using daily returns and realized volatility simultaneously.	Comput. Stat. Data Anal.	2009	DBLP DOI BibTeX RDF
26	Gianna Figà-Talamanca	Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model.	Comput. Stat. Data Anal.	2009	DBLP DOI BibTeX RDF