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Forecasting realised volatility using a long memory stochastic volatility model : estimation, prediction and seasonal adjustment
Deo, Rohit S. (contributor); Hirvich, Clifford (contributor) - 2003
We study the modelling of large data sets of high frequency returns using a long memory stochastic volatility (LMSV) model. Issues pertaining to estimation and forecasting of datasets using the LMSV model are studied in detail. Furthermore, a new method of de-seasonalising the volatility in high...
Persistent link: https://www.econbiz.de/10003022767
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Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
Deo, Rohit S.; Hurvich, Clifford M.; Lu, Yi - In: Journal of econometrics 131 (2006) 1/2, pp. 29-58
Persistent link: https://www.econbiz.de/10003298562
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Microscopic simulation of financial markets : from investor behavior to market phenomena
Levy, Haim; Levy, Moshe; Solomon, Sorin - 2000
Persistent link: https://www.econbiz.de/10001498228
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Systemanalyse auf Basis von Kohonenkarten : dargestellt am Beispiel eines Kapitalmarktmodells
Schneider, Christoph - 1998
Persistent link: https://www.econbiz.de/10000985006
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Financial applications of artificial neural networks
Qi, Min - 1996
Persistent link: https://www.econbiz.de/10001320239
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Errors-in-variables problems in financial models
Maddala, Gangadharrao S. - 1996
Persistent link: https://www.econbiz.de/10001320240
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Bootstrap based tests in financial models
Maddala, Gangadharrao S. - 1996
Persistent link: https://www.econbiz.de/10001320242
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Probability distributions for financial models
McDonald, James B. - 1996
Persistent link: https://www.econbiz.de/10001320245
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Nonlinear time series, complexity theory, and finance
Brock, William A. - 1996
Persistent link: https://www.econbiz.de/10001320253
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The detection of nonstationarity in the market model
Burnett, John E. - In: Quarterly journal of business and economics : QJBE 35 (1996) 1, pp. 36-50
Persistent link: https://www.econbiz.de/10001202406