Milan Fičura

University of Economics, Prague - Faculty of Finance and Accounting

VŠE v Praze

Nám. W. Churchilla 4

130 67

Czech Republic

SCHOLARLY PAPERS

6

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Top 27,868

in Total Papers Downloads

1,669

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (6)

1.

Forecasting Foreign Exchange Rate Movements with k-Nearest-Neighbour, Ridge Regression and Feed-Forward Neural Networks

Number of pages: 49 Posted: 23 Jan 2017
Milan Fičura
University of Economics, Prague - Faculty of Finance and Accounting
Downloads 1,063 (19,964)

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Ridge regression, k-Nearest Neighbour, Artificial Neural Networks, Principal Component Analysis, Exchange rate forecasting, Investment strategy, Market efficiency

2.

Profitability of Trading in the Direction of Asset Price Jumps – Analysis of Multiple Assets and Frequencies

Number of pages: 15 Posted: 23 Jan 2017
Milan Fičura
University of Economics, Prague - Faculty of Finance and Accounting
Downloads 302 (101,064)

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Asset price jumps, L-Estimator, High-frequency trading, Momentum trading, Investment strategy

3.

Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods

Number of pages: 25 Posted: 20 Jan 2015
Milan Fičura and Jiri Witzany
University of Economics, Prague - Faculty of Finance and Accounting and University of Economics in Prague
Downloads 181 (167,904)
Citation 2

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Stochastic volatility, Bayesian inference, MCMC, Realized variance, Bipower variation, Shrinkage estimator, Jump clustering, Self-Exciting jumps, Hawkes process

4.

Sequential Gibbs Particle Filter Algorithm with an Application to Stochastic Volatility and Jumps Estimation

Number of pages: 20 Posted: 27 Jun 2018
Jiri Witzany and Milan Fičura
University of Economics in Prague and University of Economics, Prague - Faculty of Finance and Accounting
Downloads 51 (388,676)

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Bayesian methods, MCMC, Particle filters, stochastic volatility, jumps

5.

Identifying Price Jumps from Daily Data with Bayesian vs. Non-Parametric Methods

Number of pages: 30 Posted: 24 Jan 2017
Milan Fičura and Jiri Witzany
University of Economics, Prague - Faculty of Finance and Accounting and University of Economics in Prague
Downloads 51 (388,676)

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Asset price jumps, power variation estimators, L-Estimator, Bayesian estimation, SVJD, MCMC, Particle filters, Hawkes process, Self-exciting jumps

6.

Estimation of SVJD Models with Bayesian Methods and Power-Variation Estimators

Number of pages: 35 Posted: 01 Aug 2018
Milan Fičura and Jiri Witzany
University of Economics, Prague - Faculty of Finance and Accounting and University of Economics in Prague
Downloads 21 (521,135)

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Stochastic Volatility, Bayesian Inference, MCMC, Particle Filters, Realized Variance, Bipower Variation, Z-Estimator, Jump Clustering, Self-Exciting Jumps, Hawkes Process