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Análisis del mercado de capitales. Fuerzas elásticas aplicadas al movimiento intraday.
(Universidad de Chile, 2003)
Forecasting volatility using cross-section information
(2022-06-27)
Esse artigo utiliza o modelo Elastic Net para prever a volatilidade intradiária do Índice Dow Jones 30 (DJI) cinco minutos a frente. Nós exploramos o cross-section ao tomarmos como candidatos a previsores as volatilidades ...
Intraday patterns in exchange rate of return of the chilean peso: new evidence for day-of-the-week effect
(CAMBRIDGE UNIV PRESS, 2010)
A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
(Pontificia Universidad Católica del Perú, 2019)
Previsão de retornos intradiários através de regressões usando funções-núcleo
(2009-06-10)
The contributions of this paper are twofold. First we discuss and apply a method for the evaluation of non linear regressions in forecasting intraday returns of Brazilian stocks, in order to maximize the return of a simulated ...
INTRADAY PATTERNS IN EXCHANGE RATE OF RETURN OF THE CHILEAN PESO: NEW EVIDENCE FOR DAY-OF-THE-WEEK EFFECT
(2010)
We use a new statistical test based on the signal coherence function to detect subtle periodicities in the Chilean exchange rate. We resort to a unique intraday data set that allows us to capture persistent cyclical movements ...
An Efficient Forecasting-Optimization Scheme for the Intraday Unit Commitment Process Under Significant Wind and Solar Power
(2018)
Due to their uncertain and variable nature, the large-scale integration of wind and solar power poses significant challenges to the generator scheduling process in power systems. To support this process, system operators ...