Details about Milan Ficura

Access statistics for papers by Milan Ficura.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pfi341

Working Papers

2023

1. Historical Calibration of SVJD Models with Deep Learning
   Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Journal Articles

2019

1. Profitability of Trading in the Direction of Asset Price Jumps - Analysis of Multiple Assets and Frequencies
   Prague Economic Papers, 2019, 2019, (4), 385-401
2. Sequential Gibbs Particle Filter Algorithm with Applications to Stochastic Volatility and Jumps Estimation
   Czech Journal of Economics and Finance (Finance a uver), 2019, 69, (5), 463-488

2018

3. Use of Adapted Particle Filters in SVJD Models
   European Financial and Accounting Journal, 2018, 2018, (3), 5-20

2017

4. Forecasting Stock Market Realized Variance with Echo State Neural Networks
   European Financial and Accounting Journal, 2017, 2017, (3), 145-155

2016

5. Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods
   Czech Journal of Economics and Finance (Finance a uver), 2016, 66, (4), 278-301 View citations (4)