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Ultra-high-frequency algorithmic arbitrage across international index futures
Alsayed, Hamad; McGroarty, Frank - In: Journal of forecasting 33 (2014) 6, pp. 391-408
Persistent link: https://www.econbiz.de/10010425562
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Signal diffusion mapping : optimal forecasting with time-varying lags
Gaskell, Paul; McGroarty, Frank; Tiropanis, Thanassis - In: Journal of forecasting 35 (2016) 1, pp. 70-85
Persistent link: https://www.econbiz.de/10011417716
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Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta
Choudhry, Taufiq; Wu, Hao - In: Journal of forecasting 27 (2008) 8, pp. 670-689
Persistent link: https://www.econbiz.de/10008146633
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Forecasting ability of GARCH vs Kalman filter method : evidence from daily UK time-varying beta
Choudhry, Taufiq; Wu, Hao - In: Journal of forecasting 27 (2008) 8, pp. 670-689
Persistent link: https://www.econbiz.de/10003799954
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Forecasting the daily time‐varying beta of European banks during the crisis period : comparison between GARCH models and the Kalman filter
Zhang, Yuanyuan; Choudhry, Taufiq - In: Journal of forecasting 36 (2017) 8, pp. 956-973
Persistent link: https://www.econbiz.de/10011860929