Local adaptive multiplicative error models for high-frequency forecasts
Year of publication: |
2012
|
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Authors: | Härdle, Wolfgang Karl ; Hautsch, Nikolaus ; Mihoci, Andrija |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | Statistische Bestandsanalyse | Prognoseverfahren | Theorie | Schätzung | Börsenkurs | USA | multiplicative error model | local adaptive modelling | high-frequency processes | trading volume | forecasting |
Series: | SFB 649 Discussion Paper ; 2012-031 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 715024116 [GVK] hdl:10419/79578 [Handle] RePEc:hum:wpaper:sfb649dp2012-031 [RePEc] |
Classification: | C41 - Duration Analysis ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; G12 - Asset Pricing ; G17 - Financial Forecasting |
Source: |
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