Heterogeneous component multiplicative error models for forecasting trading volumes
Antonio Naimoli, Giuseppe Storti
| Year of publication: |
2019
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|---|---|
| Authors: | Naimoli, Antonio ; Storti, Giuseppe |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 35.2019, 4, p. 1332-1355
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| Subject: | Dynamic component models | Forecasting | Intra-daily trading volume | Long-range dependence | MIDAS | Handelsvolumen der Börse | Trading volume | Prognoseverfahren | Forecasting model | Theorie | Theory | Prognose | Forecast | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | ARCH-Modell | ARCH model |
| Description of contents: | Description [doi.org] |