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Forecast evaluation of explanatory models of financial return variability
Sucarrat, Genaro (contributor) - 2008
A practice that has become widespread is that of comparing forecasts of financial return variability obtained from discrete time models against high frequency estimates based on continuous time theory. In explanatory financial return variability modelling this raises several methodological and...
Persistent link: https://www.econbiz.de/10003694144
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Forecast evaluation of explanatory models of financial variability
Sucarrat, Genaro - 2009
A practice that has become widespread and widely endorsed is that of evaluating forecasts of financial variability obtained from discrete time models by comparing them with high-frequency ex post estimates (e.g. realised volatility) based on continuous time theory. In explanatory financial...
Persistent link: https://www.econbiz.de/10003829997
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Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes
Liu, Lily Y.; Patton, Andrew J.; Sheppard, Kevin - In: Journal of econometrics 187 (2015) 1, pp. 293-311
Persistent link: https://www.econbiz.de/10011499439
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The predictability of German stock returns
Klähn, Judith - 2000
Persistent link: https://www.econbiz.de/10001476569
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Forecast Evaluation of Explanatory Models of Financial Return Variability
Sucarrat, Genaro - 2011
A practice that has become widespread is that of comparing forecasts of financial return variability obtained from discrete time models against high frequency estimates based on continuous time theory. In explanatory financial return variability modelling this raises several methodological and...
Persistent link: https://www.econbiz.de/10013132293
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Differences of opinion and stock returns
Janunts, Mesrop - 2011
Persistent link: https://www.econbiz.de/10009354977
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Informative Effects of Expert Sentiment on the Return Predictability of Cryptocurrency
Trimborn, Simon; Li, Yang - 2021
Experts’ opinions are widely considered for investment decisions. We collect textual information from cryptocurrency … experts, study the dynamics in their discussion topics and their sentiment in relation to market movements. Based on the … analysis we test various hypothesis which span if the experts tweets have informative value (accepted), their discussion topics …
Persistent link: https://www.econbiz.de/10013230484
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Improving the accuracy: volatility modeling and forecasting using high-frequency data and the variational component
Kumar, Manish - In: Journal of industrial engineering and management : JIEM 3 (2010) 1, pp. 199-220
In this study, we predict the daily volatility of the S&P CNX NIFTY market index of India using the basic "heterogeneous autoregressive" (HAR) and its variant. In doing so, we estimated several HAR and Log form of HAR models using different regressor. The different regressors were obtained by...
Persistent link: https://www.econbiz.de/10011899155
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A comparative study of static and iterative models of ARIMA and SVR to predict stock indices prices in developed and emerging economies
Beniwal, Mohit; Archana Singh; Kumar, Nand - In: International journal of applied management science : IJAMS 15 (2023) 4, pp. 352-371
Persistent link: https://www.econbiz.de/10014391724
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High frequency data analysis in an emerging and a developed market
Palágyi, Zoltán; Kőrösi, Gábor; Mantegna, Rosario N. - In: Empirical science of financial fluctuations : the …, (pp. [102]-109). 2002
Persistent link: https://www.econbiz.de/10001679243